Nikos K. Nomikos

Cass Business School, City University London

London, EC2Y 8HB

Great Britain

SCHOLARLY PAPERS

14

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15

CROSSREF CITATIONS

10

Scholarly Papers (14)

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 866 (32,420)
Citation 2

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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

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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 104 (306,330)
Citation 4

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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 75 (374,771)

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

A Quantitative Model of the Oil Tanker Market in the Arabian Gulf

CFS Working Paper, No. 648, 2020
Number of pages: 34 Posted: 28 Feb 2021
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 22 (619,200)
Citation 2

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Shipping, VLCC, crude oil, bunker fuel, tanker, voyage, time charter, profits, exports, passthrough.

A Quantitative Model of the Oil Tanker Market in the Arabian Gulf

FRB of Dallas Working Paper No. 2015
Number of pages: 32 Posted: 23 May 2020
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 21 (626,539)

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Shipping, VLCC, crude oil, bunker fuel, tanker, voyage, time charter, profits, exports, passthrough

A Quantitative Model of the Oil Tanker Market in the Arabian Gulf

CEPR Discussion Paper No. DP14798
Number of pages: 34 Posted: 28 May 2020
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
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bunker fuel, crude oil, exports, Pass-Through, profits, shipping, tanker, time charter, VLCC, voyage

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 42 (501,482)

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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
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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 6 (745,223)
Citation 1

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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
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contingent claims, investment, real options, shipping, uncertainty

7.

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

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8.

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

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9.

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

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10.

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

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11.

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

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investor sentiment, real assets, cycles, trading strategies

12.

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

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

13.

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

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

14.

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

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