Ilias Tsiakas

University of Guelph

Professor

Department of Economics and Finance

University of Guelph

Guelph, Ontario N1G 2W1

Canada

http://www.uoguelph.ca/~itsiakas

  • University of Guelph

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    • Tel: 5198244120 ext 53054
    • Fax: 5197638497
SCHOLARLY PAPERS

9

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CITATIONS
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77

Scholarly Papers (9)

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1.

Foreign Exchange Risk and the Predictability of Carry Trade Returns

Number of pages: 34 Posted: 03 May 2012 Last Revised: 05 Feb 2014
Gino Cenedese, Lucio Sarno and Ilias Tsiakas
Fulcrum Asset Management, City University London - Sir John Cass Business School and University of Guelph
Downloads 612 (42,460)
Citation 1

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Exchange Rates, Carry Trade, Market Variance, Average Variance, Average Correlation, Quantile Regression

2.

Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?

Number of pages: 54 Posted: 13 Feb 2014
Jiahan Li, Ilias Tsiakas and Wei Wang
University of Notre Dame, University of Guelph and Fifth Third Bank
Downloads 428 (66,705)
Citation 1

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Exchange Rates, Out-of-Sample Forecasting, Elastic Net, Kitchen-Sink Regression, Combined Forecasts

3.

Carbon Emissions and Stock Returns: Evidence from the EU Emissions Trading Scheme

Number of pages: 43 Posted: 15 Dec 2012 Last Revised: 12 May 2015
Andreas Marcel Oestreich and Ilias Tsiakas
Brock University - Department of Economics and University of Guelph
Downloads 188 (159,889)

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European Union Emissions Trading Scheme, Carbon Emission Allowances, Carbon Risk, Stock Returns

4.

Equity Premium Prediction: The Role of Economic and Statistical Constraints

Number of pages: 32 Posted: 17 Sep 2014 Last Revised: 23 Jul 2016
Jiahan Li and Ilias Tsiakas
University of Notre Dame and University of Guelph
Downloads 176 (169,649)
Citation 1

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Equity Premium, Out-of-Sample Prediction, Economic Fundamentals, Technical Indicators, Shrinkage Estimation.

5.

What Drives International Portfolio Flows?

Number of pages: 32 Posted: 01 Apr 2015
Lucio Sarno, Ilias Tsiakas and Barbara Ulloa
City University London - Sir John Cass Business School, University of Guelph and Central Bank of Chile
Downloads 62 (349,134)

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International Portfolio Flows, Dynamic Factor Model, Push and Pull Factors.

6.

An Economic Evaluation of Empirical Exchange Rate Models

Downloads 4 (618,492)

An Economic Evaluation of Empirical Exchange Rate Models

CEPR Discussion Paper No. DP6598
Number of pages: 43 Posted: 06 Jun 2008
Pasquale Della Corte, Lucio Sarno and Ilias Tsiakas
Imperial College Business School, City University London - Sir John Cass Business School and University of Guelph
Downloads 4 (646,720)
Citation 4
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Bayesian MCMC Estimation, Bayesian Model Averaging, Economic Value, Exchange Rates, Forward Premium, Monetary Fundamentals, Volatility

An Economic Evaluation of Empirical Exchange Rate Models

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3491-3530, 2009
Posted: 08 Sep 2009
Pasquale Della Corte, Lucio Sarno and Ilias Tsiakas
Imperial College Business School, City University London - Sir John Cass Business School and University of Guelph

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F31, F37, G11

7.

Spot and Forward Volatility in Foreign Exchange

Downloads 3 (626,533)

Spot and Forward Volatility in Foreign Exchange

CEPR Discussion Paper No. DP7893
Number of pages: 42 Posted: 19 Jul 2010
Pasquale Della Corte, Lucio Sarno and Ilias Tsiakas
Imperial College Business School, City University London - Sir John Cass Business School and University of Guelph
Downloads 3 (655,636)
Citation 3
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Foreign Exchange, Forward Volatility Agreement, Implied Volatility, Unbiasedness, Volatility Speculation

Spot and Forward Volatility in Foreign Exchange

EFA 2009 Bergen Meetings Paper
Posted: 16 Feb 2009 Last Revised: 02 May 2012
Pasquale Della Corte, Lucio Sarno and Ilias Tsiakas
Imperial College Business School, City University London - Sir John Cass Business School and University of Guelph

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Implied Volatility, Foreign Exchange, Forward Volatility Agreement, Unbiasedness, Volatility Speculation

8.

Periodic Stochastic Volatility and Fat Tails

Journal of Financial Econometrics, Vol. 4, No. 1, pp. 90-135, 2006
Posted: 29 Feb 2008
Ilias Tsiakas
University of Guelph

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stochastic volatility, calendar effects, seasonal heteroskedasticity, bootstrapping, Bayesian MCMC estimation

9.

The Economic Value of Conditioning on Overnight Information

Posted: 12 Mar 2005
Ilias Tsiakas
University of Guelph

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Overnight Information, Economic Value, Opening Call Auction, Stochastic Volatility, Bayesian MCMC Estimation