Timotheos Angelidis

University of Peloponnese - Department of Economics

Tripolis, 22100

Greece

SCHOLARLY PAPERS

34

DOWNLOADS
Rank 3,927

SSRN RANKINGS

Top 3,927

in Total Papers Downloads

10,590

SSRN CITATIONS
Rank 11,885

SSRN RANKINGS

Top 11,885

in Total Papers Citations

13

CROSSREF CITATIONS

74

Scholarly Papers (34)

1.

Liquidity Adjusted Value-at-Risk Based on the Components of the Bid-Ask Spread

Number of pages: 20 Posted: 04 Feb 2005
Timotheos Angelidis and Alexander Benos
University of Peloponnese - Department of Economics and University of Piraeus - Department of Banking and Financial Management
Downloads 1,607 (11,390)
Citation 6

Abstract:

Loading...

Liquidity Adjusted Value-at-Risk, Bid-Ask Spread, Asymmetry Information, Transaction

2.

Measuring the Market Risk of Freight Rates: A Value-at-Risk Approach

International Journal of Theoretical and Applied Finance, Vol. 11, No. 5, pp. 447-469, 2008
Number of pages: 28 Posted: 29 May 2007 Last Revised: 24 Oct 2008
Timotheos Angelidis and George S. Skiadopoulos
University of Peloponnese - Department of Economics and Queen Mary, University of London, School of Economics and Finance
Downloads 1,354 (14,902)

Abstract:

Loading...

Backtesting, Expected Shortfall, Forward Freight Agreements, Freight Markets, Freight Rates, Value-at-Risk

Backtesting VAR Models: An Expected Shortfall Approach

Number of pages: 35 Posted: 26 Apr 2006
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 1,301 (15,503)
Citation 8

Abstract:

Loading...

Backtesting, Value-at-Risk, Expected Shortfall, Volatility Forecasting, Arch Models

Backtesting VaR Models: An Expected Shortfall Approach

Journal of Risk Model Validation, Vol. 1, No. 2
Posted: 30 Jan 2008 Last Revised: 08 Oct 2018
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences

Abstract:

Loading...

Backtesting, Value-at-Risk, Expected Shortfall, Volatility Forecasting, Arch Models

4.

The Use of GARCH Models in VAR Estimation

Statistical Methodology, Vol. 1, No. 2, pp. 105-128, 2004
Number of pages: 23 Posted: 05 Feb 2005
University of Peloponnese - Department of Economics, University of Piraeus - Department of Banking and Financial Management and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 973 (24,410)
Citation 2

Abstract:

Loading...

Value at Risk, GARCH estimation, Backtesting, Volatility forecasting, Quantile Loss Function

5.

Econometric Modeling of Value-at-Risk

New Econometric Modeling Research, 2007
Number of pages: 72 Posted: 29 Sep 2006
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 708 (38,031)

Abstract:

Loading...

Backtesting, Expected Shortfall, Value-at-Risk, Volatility Forecasting

Modeling Risk: VAR Methods for Long and Short Trading Positions

Number of pages: 11 Posted: 07 Feb 2005
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 660 (41,225)
Citation 1

Abstract:

Loading...

Asymmetric Power ARCH model, Skewed-t Distribution, Value-at-Risk, Volatility Forecasting

Modeling Risk: VAR Methods for Long and Short Trading Positions

Journal of Risk Finance, Vol. 6, No. 3, pp. 226-238, 2005
Posted: 12 Sep 2005 Last Revised: 01 Oct 2019
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences

Abstract:

Loading...

Asymmetric Power ARCH model, Skewed-t Distribution, Value-at-Risk, Volatility Forecasting

Modeling Risk: VaR Methods for Long and Short Trading Positions

Journal of Risk Finance, Vol. 6, No. 3, pp. 226-238, 2005
Posted: 30 Jan 2008 Last Revised: 08 Oct 2018
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences

Abstract:

Loading...

Asymmetric Power ARCH model, Skewed-t Distribution, Value-at-Risk, Volatility Forecasting

7.
Downloads 462 ( 65,934)
Citation 4

Value-at-Risk for Greek Stocks

Number of pages: 28 Posted: 05 Feb 2005
Timotheos Angelidis and Alexander Benos
University of Peloponnese - Department of Economics and University of Piraeus - Department of Banking and Financial Management
Downloads 418 (73,767)
Citation 1

Abstract:

Loading...

Value-at-Risk, GARCH, Backtesting

Value-at-Risk for Greek Stocks

Multinational Finance Journal, Vol. 12, No. 1/2, p. 67-104, 2008
Number of pages: 38 Posted: 26 Jun 2015
Timotheos Angelidis and Alexandros Benos
University of Peloponnese - Department of Economics and National Bank of Greece
Downloads 44 (444,946)

Abstract:

Loading...

value-at-risk; GARCH; historical simulation; backtesting

8.

A Robust VAR Model

Number of pages: 24 Posted: 20 Apr 2005
University of Peloponnese - Department of Economics, University of Piraeus - Department of Banking and Financial Management and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 396 (79,275)

Abstract:

Loading...

Value-at-Risk, Asymmetric Power ARCH, Filtered Historical Simulation, Extreme Value Theory, Backtesting

The Components of the Bid-Ask Spread: The Case of the Athens Stock Exchange

EFMA 2004 Basel Meetings Paper
Number of pages: 32 Posted: 02 Apr 2004
Timotheos Angelidis and Alexander Benos
University of Peloponnese - Department of Economics and University of Piraeus - Department of Banking and Financial Management
Downloads 374 (84,010)
Citation 1

Abstract:

Loading...

Bid-ask spread, asymmetry information, transaction costs, price impact

The Components of the Bid-Ask Spread: The Case of the Athens Stock Exchange

European Financial Management, Vol. 15, Issue 1, pp. 112-144, January 2009
Number of pages: 33 Posted: 02 Jan 2009
Timotheos Angelidis and Alexandros Benos
University of Peloponnese - Department of Economics and National Bank of Greece
Downloads 2 (712,341)
  • Add to Cart

Abstract:

Loading...

10.

Revisiting Mutual Fund Performance Evaluation

Journal of Banking and Finance, Vol. 37, No. 5, pp. 1759-1776, May 2013
Number of pages: 61 Posted: 13 Feb 2012 Last Revised: 03 Oct 2013
Timotheos Angelidis, Daniel Giamouridis and Nikolaos Tessaromatis
University of Peloponnese - Department of Economics, Bank of America - Bank of America Merrill Lynch and EDHEC BUSINESS SCHOOL
Downloads 375 (84,460)
Citation 2

Abstract:

Loading...

Mutual funds, short-term performance, market timing, factor timing

11.
Downloads 364 ( 87,416)
Citation 4

Idiosyncratic Risk in Emerging Markets

The Financial Review, Forthcoming
Number of pages: 35 Posted: 22 Jan 2008 Last Revised: 29 Oct 2010
Timotheos Angelidis
University of Peloponnese - Department of Economics
Downloads 363 (87,025)

Abstract:

Loading...

Emerging markets, Idiosyncratic risk, Portfolio management, Tracking error

Idiosyncratic Risk in Emerging Markets

Financial Review, Vol. 45, Issue 4, pp. 1053-1078, November 2010
Number of pages: 26 Posted: 13 Oct 2010
Timotheos Angelidis
University of Peloponnese - Department of Economics
Downloads 1 (726,182)
  • Add to Cart

Abstract:

Loading...

12.

VaR and Intra-Day Volatility Forecasting: The Case of the Athens Stock Exchange

Managerial Finance, 2006
Number of pages: 12 Posted: 01 Nov 2005
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 295 (110,448)

Abstract:

Loading...

Asymmetric Power ARCH model, Intra Day Realized Volatility, Skewed-t Distribution, Value-at-Risk, Volatility Forecasting

13.

Forecasting One-Day-Ahead VAR and Intra-Day Realized Volatility in the Athens Stock Exchange Market

Managerial Finance, 2005
Number of pages: 18 Posted: 12 Sep 2005
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 290 (112,451)

Abstract:

Loading...

Asymmetric Power ARCH model, Intra Day Realized Volatility, Skewed-t Distribution, Value-at-Risk, Volatility Forecasting

14.

Idiosyncratic Risk, Returns and Liquidity in the London Stock Exchange: A Spillover Approach

Number of pages: 24 Posted: 03 Mar 2008
Andreas Andrikopoulos and Timotheos Angelidis
University of the Aegean - Department of Business Administration and University of Peloponnese - Department of Economics
Downloads 285 (114,569)

Abstract:

Loading...

liquidity spillover, idiosyncratic risk, London Stock Exchange

15.

Equity Returns and Idiosyncratic Volatility: UK Evidence

Number of pages: 46 Posted: 02 Jun 2005
Timotheos Angelidis and Nikolaos Tessaromatis
University of Peloponnese - Department of Economics and EDHEC BUSINESS SCHOOL
Downloads 232 (141,383)
Citation 3

Abstract:

Loading...

Idiosyncratic risk, stock market volatility and stock return predictability

16.

Volatility Forecasting: The Illusion of Choosing One Model in All Cases

Athens University Statistics Technical Report No. 218
Number of pages: 40 Posted: 29 Sep 2005
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 174 (184,525)

Abstract:

Loading...

ARFIMA, ARCH, FIAPARCH, fractional integration, option pricing, skewed Student-t distribution, value at risk, volatility forecasting

17.

The Efficiency of Greek Public Pension Fund Portfolios

Number of pages: 40 Posted: 25 Apr 2009
Timotheos Angelidis and Nikolaos Tessaromatis
University of Peloponnese - Department of Economics and EDHEC BUSINESS SCHOOL
Downloads 132 (231,960)
Citation 1

Abstract:

Loading...

Portfolio Efficiency, Idiosyncratic Risk, Asset Allocation, Utility Loss, Pension Funds.

18.

Idiosyncratic Risk and Expected Returns: A Regime Switching Approach

Number of pages: 20 Posted: 12 Aug 2007
Timotheos Angelidis and Nikolaos Tessaromatis
University of Peloponnese - Department of Economics and EDHEC BUSINESS SCHOOL
Downloads 130 (234,652)

Abstract:

Loading...

Idiosyncratic Risk, Stock Market Volatility and Regime Switching

19.

Greek Closed-End Fund Premia: An Empirical Investigation

Number of pages: 43 Posted: 27 Jan 2004
Gikas A. Hardouvelis, Timotheos Angelidis and Emmanuel D. Tsiritakis
University of Piraeus, University of Peloponnese - Department of Economics and University of Piraeus
Downloads 129 (235,994)
Citation 1

Abstract:

Loading...

Closed-End Fund, Net Asset Value, Fund Premium, Fund Discount, Mean Reversion, Excess Volatility, Common Factor, Predictive Ability, Over-Sensitivity, Noise Trading, Small Investor, Bank Subsidiary, Arbitrage, Measurement Error, Market Friction

20.

Idiosyncratic Risk in Greece: Properties and Portfolio Implications

Number of pages: 27 Posted: 26 Apr 2006
Timotheos Angelidis and Nikolaos Tessaromatis
University of Peloponnese - Department of Economics and EDHEC BUSINESS SCHOOL
Downloads 108 (268,740)

Abstract:

Loading...

Idiosyncratic Risk, Stock Market Volatility, Risk Management

21.

Backtesting VaR Models: A Τwo-Stage Procedure

Number of pages: 28 Posted: 26 Oct 2018
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 79 (328,169)
Citation 1

Abstract:

Loading...

Backtesting, Value-at-Risk, Expected Shortfall, Volatility Forecasting, Arch Models

22.

VAR and Intraday Volatility Forecasting: The Case of the Athens Stock Exchange

Number of pages: 12 Posted: 07 Feb 2005 Last Revised: 08 Oct 2018
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 57 (390,306)

Abstract:

Loading...

Asymmetric Power ARCH model, Intra Day Realized Volatility, Skewed-t Distribution, Value-at-Risk, Volatility Forecasting

23.

Evaluate the Impacts of Land Use/Land Cover Dynamics on Stream Flow of Gelda Watershed, Upper Blue Nile Basin, Ethiopia

Number of pages: 14 Posted: 03 Jul 2019
Mulugeta Ayalew, Dr. Temesgen and Timotheos Angelidis
Bahir Dar University Institute of Technology-department of Hydrology, affiliation not provided to SSRN and University of Peloponnese - Department of Economics
Downloads 49 (417,652)

Abstract:

Loading...

CFSR data, SWAT, SWAT-CUP, LULCC, Calibration, and validation

24.

Persistence of Shocks and the Reallocation of Labor

FRB St. Louis Working Paper No. 2016-14
Number of pages: 42 Posted: 20 Jul 2016 Last Revised: 05 Jan 2019
University of Peloponnese - Department of Economics, University of Piraeus - Department of Banking and Financial Management and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 23 (537,832)

Abstract:

Loading...

Firm Dynamics, Adjustment Costs, Misallocation, Persistence of Shocks

25.

Modeling Risk for Long and Short Trading Positions

MPRA Paper No. 80467, Journal of Risk Finance, Vol. 3, No. 6 (2005)
Number of pages: 20 Posted: 25 Oct 2018
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 12 (608,197)

Abstract:

Loading...

Asymmetric Power ARCH Model, Evaluate Forecasting Ability, Skewed-T Distribution, Value-at-Risk, Volatility Forecasting

26.

US Stock Market Regimes and Oil Price Shocks

MPRA Paper No. 80436
Number of pages: 30 Posted: 26 Oct 2018
University of Peloponnese - Department of Economics, Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Bournemouth University
Downloads 11 (614,941)
Citation 2

Abstract:

Loading...

Oil Price Shocks, Oil Price Volatility, Regime Switching, Stock Market Volatility, US Stock Market

27.

A Robust VaR Model under Different Time Periods and Weighting Schemes

Number of pages: 25 Posted: 25 Oct 2018
University of Peloponnese - Department of Economics, National Bank of Greece and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 8 (635,299)

Abstract:

Loading...

Asymmetric Power ARCH, Backtesting, Extreme Value Theory, Filtered Historical Simulation, Value-at-Risk

28.

Empirical Study on the Relationship between Regional Industrial Structure Difference and Regional Real Estate Price Fluctuation—Based on Case Analysis of 31 Large and Medium Cities in China

Abstract Proceedings of 2019 International Conference on Resource Sustainability - Cities (icRS Cities)
Posted: 26 Jun 2019
Xin Xia and Timotheos Angelidis
Independent and University of Peloponnese - Department of Economics

Abstract:

Loading...

industrial structure, advanced level, rationalized level, housing prices

29.

Barriers and Solutions of Promoting Tax Culture in Iran's Sports

Posted: 23 Jun 2019
Timotheos Angelidis
University of Peloponnese - Department of Economics

Abstract:

Loading...

solutions, tax culture, barriers, sport

30.

Costco Superstore

Posted: 30 Jul 2017
Nuttapat Kanjanapradit, Alexander Benos and Timotheos Angelidis
Independent, University of Piraeus - Department of Banking and Financial Management and University of Peloponnese - Department of Economics

Abstract:

Loading...

capm, wacc, ebit, etc.

31.

Illiquidity, Return and Risk in G7 Stock Markets: Interdependencies and Spillovers

International Review of Financial Analysis, Vol. 35, 2014
Posted: 14 Nov 2016
Andreas Andrikopoulos, Timotheos Angelidis and Vasiliki D. Skintzi
University of the Aegean - Department of Business Administration, University of Peloponnese - Department of Economics and Athens University of Economics and Business - Department of Management Science and Technology

Abstract:

Loading...

Illiquidity spillovers, Return spillovers, Volatility spillovers, VAR, G7 stock markets

32.

Stock Market Dispersion, the Business Cycle and Expected Factor Returns

Journal of Banking and Finance, Vol. 59, pp. 265-279, October 2015
Posted: 20 Apr 2015 Last Revised: 08 Aug 2015
Timotheos Angelidis, Athanasios Sakkas and Nikolaos Tessaromatis
University of Peloponnese - Department of Economics, University of Nottingham and EDHEC BUSINESS SCHOOL

Abstract:

Loading...

Stock Market Return Dispersion, Business Cycle, Market and Factor Returns

33.

Active Portfolio Management with Cardinality Constraints: An Application of Particle Swarm Optimization

Journal of New Mathematical and Natural Computation, Vol. 5, No. 3, 2009
Posted: 04 Feb 2008 Last Revised: 24 Sep 2009
Nikolaos S. Thomaidis and Timotheos Angelidis
School of Economics, Aristotle University of Thessaloniki and University of Peloponnese - Department of Economics

Abstract:

Loading...

active portfolio management, tracking error, particle swarm optimization

34.

The Use of Garch Models in Var Estimation

Minnesota Law Review, Forthcoming
Number of pages: 1
University of Peloponnese - Department of Economics, University of Piraeus - Department of Banking and Financial Management and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 0
  • Add to Cart

Abstract:

Loading...

Value at Risk, GARCH estimation, Backtesting, Volatility forecasting, Quantile Loss Function