Nikos K. Nomikos

Cass Business School, City University London

London, EC2Y 8HB

Great Britain

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 42,082

SSRN RANKINGS

Top 42,082

in Total Papers Downloads

1,051

SSRN CITATIONS
Rank 38,974

SSRN RANKINGS

Top 38,974

in Total Papers Citations

5

CROSSREF CITATIONS

10

Scholarly Papers (13)

Price Discovery, Causality and Forecasting in the Freight Futures Market

EFMA 2001 Lugano Meetings, Cass Business School Research Paper
Number of pages: 40 Posted: 23 May 2001
Manolis G. Kavussanos and Nikos K. Nomikos
Athens University of Economics and Business - Department of Accounting and Finance and Cass Business School, City University London
Downloads 853 (27,984)
Citation 2

Abstract:

Loading...

Futures Markets, Forecasting, Granger Causality, Generalised Impulse Response Analysis, Shipping.

Price Discovery, Causality and Forecasting in the Freight Futures Market

Review of Derivatives Research, Vol. 6, No. 3, 2003, 203 -230
Posted: 07 Feb 2014
Manolis G. Kavussanos and Nikos K. Nomikos
Athens University of Economics and Business - Department of Accounting and Finance and Cass Business School, City University London

Abstract:

Loading...

Futures markets, Forecasting, Granger causality, Generalised impulse analysis, Shipping

2.

Shipping Investor Sentiment and International Stock Return Predictability

Transportation Research Part E: Logistics and Transportation Review 96 (2016), 81-94.
Number of pages: 78 Posted: 12 Feb 2015 Last Revised: 31 Oct 2016
Cass Business School, City, University of London, Cass Business School,City, University of London, Cass Business School, City University London and City University London - Sir John Cass Business School
Downloads 86 (303,237)
Citation 2

Abstract:

Loading...

Investor sentiment, asset pricing, return predictability, trading simulation

3.

Freight Options: Price Modelling and Empirical Analysis

Transportation Research Part E: Logistics and Transportation Review, 2013, 51, 82-94
Number of pages: 27 Posted: 17 Dec 2010 Last Revised: 08 Nov 2015
Cass Business School, City University London, City University London - Sir John Cass Business School, Cass Business School, City, University of London and Cass Business School,City, University of London
Downloads 66 (352,665)

Abstract:

Loading...

Shipping, Spot freight rates, Jump diffusion model, Forward start average options, Freight option price model

Affine-Structure Models and the Pricing of Energy Commodity Derivatives

European Financial Management, 2016, 22(5), 853-881
Number of pages: 39 Posted: 09 Jul 2014 Last Revised: 11 Feb 2019
City University London - Sir John Cass Business School, Cass Business School, City University London, Cass Business School,City, University of London and Cass Business School, City, University of London
Downloads 41 (445,588)

Abstract:

Loading...

Energy prices, affine models, futures, arithmetic Asian options, control variate Monte Carlo

Affine‐Structure Models and the Pricing of Energy Commodity Derivatives

European Financial Management, Vol. 22, Issue 5, pp. 853-881, 2016
Number of pages: 29 Posted: 22 Nov 2016
City University London - Sir John Cass Business School, Cass Business School, City University London, Cass Business School, City, University of London and Cass Business School,City, University of London
Downloads 1 (708,521)
  • Add to Cart

Abstract:

Loading...

energy prices, affine models, futures, arithmetic Asian options, control variate Monte Carlo

Income Uncertainty and the Decision to Invest in Bulk Shipping

European Financial Management, 2018, 24(3), 387-417
Number of pages: 50 Posted: 30 Sep 2016 Last Revised: 11 Feb 2019
City University London - Sir John Cass Business School, Cass Business School,City, University of London, Cass Business School, City, University of London and Cass Business School, City University London
Downloads 4 (675,143)
Citation 1

Abstract:

Loading...

Contingent Claims, Investment, Real Options, Shipping, Uncertainty

Income Uncertainty and the Decision to Invest in Bulk Shipping

European Financial Management, Vol. 24, Issue 3, pp. 387-417, 2018
Number of pages: 31 Posted: 14 Jun 2018
City University London - Sir John Cass Business School, City, University of London, Cass Business School, City, University of London and Cass Business School, City University London
Downloads 0
  • Add to Cart

Abstract:

Loading...

contingent claims, investment, real options, shipping, uncertainty

6.

The Forward Pricing Function of the Shipping Freight Futures Market

The Journal of Futures Markets, May 1999, Vol. 19 No. 3, 353-376
Posted: 18 Feb 2014
Nikos K. Nomikos and Manolis G. Kavussanos
Cass Business School, City University London and Athens University of Economics and Business - Department of Accounting and Finance

Abstract:

Loading...

7.

Constant versus Time Varying Hedge Ratios and Hedging Efficiency in the Biffex Market

Transportation Research Part E (the Logistics and Transportation Review), December 2000, Vol. 36, No 4, Pp. 229-248,
Posted: 18 Feb 2014
Nikos K. Nomikos and Manolis G. Kavussanos
Cass Business School, City University London and Athens University of Economics and Business - Department of Accounting and Finance

Abstract:

Loading...

8.

Futures Hedging when the Composition of the Underlying Asset Changes; The Case of the BIFFEX Contract

The Journal of Futures Markets, September 2000, Vol. 20, No 8, pp 775-801
Posted: 18 Feb 2014
Nikos K. Nomikos and Manolis G. Kavussanos
Cass Business School, City University London and Athens University of Economics and Business - Department of Accounting and Finance

Abstract:

Loading...

9.

Hedging in the Freight Futures Market

Journal of Derivatives, Vol. Fall, No. 2000, pp. 41 - 58
Posted: 18 Feb 2014
Nikos K. Nomikos and Manolis G. Kavussanos
Cass Business School, City University London and Athens University of Economics and Business - Department of Accounting and Finance

Abstract:

Loading...

10.

Investor Sentiment for Real Assets: The Case of Dry-Bulk Shipping Market

Review of Finance, 2014, 18(4), 1507-1539
Posted: 02 Aug 2012 Last Revised: 10 Jun 2014
Cass Business School, City, University of London, Cass Business School, City University London, Cass Business School,City, University of London and City University London - Sir John Cass Business School

Abstract:

Loading...

investor sentiment, real assets, cycles, trading strategies

11.

The Role of Volatility Regimes on Volatility Transmission Patterns

Posted: 31 May 2011
Enrique Salvador and Nikos K. Nomikos
Universitat Jaume I - Department of Finance and Accounting and Cass Business School, City University London

Abstract:

Loading...

regime-swithcing, volatility, spillover effects, state-dependent volatility response functions, correlation

12.

Modelling Energy Spot Prices: 'Empirical Evidence from Nymex'

Posted: 09 Apr 2009
Kostas D. Andriosopoulos and Nikos K. Nomikos
ESCP Europe Business School and Cass Business School, City University London

Abstract:

Loading...

Energy Markets, Volatility, Modelling, Stochastic Models, Mean reversion jump diffusion, GARCH, EGARCH

13.

Estimating the Probability of Default for Shipping High Yield Bond Issues

Transportation Research, Part E: Logistics and Transportation Research Review, Vol. 44, No. 6, p. 1123-1138, 2008
Posted: 17 Mar 2009 Last Revised: 02 Oct 2011
City University London - Sir John Cass Business School, Cass Business School, City University London and Cass Business School, City, University of London

Abstract:

Loading...

High yield bonds, Probability of default, Logit model, Shipping