Raphael N. Markellos

University of East Anglia (UEA) - Norwich Business School

Professor of Finance and Director of Research and Enterprise

Norwich

NR4 7TJ

United Kingdom

SCHOLARLY PAPERS

20

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5,007

CITATIONS
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Top 19,606

in Total Papers Citations

34

Scholarly Papers (20)

1.

Does the Weather Affect Stock Market Volatility?

Finance Research Letters, Vol. 7, No. 4, pp. 214-223, 2010
Number of pages: 18 Posted: 13 Oct 2008 Last Revised: 26 Jan 2011
Lazaros Symeonidis, George Daskalakis and Raphael N. Markellos
University of East Anglia (UEA) - Norwich Business School, Norwich Business School - University of East Anglia and University of East Anglia (UEA) - Norwich Business School
Downloads 979 (22,129)

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Stock market anomalies, Volatility, Sunshine effect, SAD effect, Behavioral Finance

2.

Parameter Uncertainty in Portfolio Selection: Shrinking the Inverse Covariance Matrix

Journal of Banking and Finance, Vol. 36, No. 9, pp. 2522-2531, 2012
Number of pages: 35 Posted: 16 Feb 2009 Last Revised: 10 Sep 2012
Apostolos Kourtis, George Dotsis and Raphael N. Markellos
University of East Anglia (UEA) - Norwich Business School, National and Kapodistrian University of Athens - Faculty of Economics and University of East Anglia (UEA) - Norwich Business School
Downloads 649 (39,191)
Citation 1

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Portfolio Choice, Inverse Covariance Matrix, Parameter Uncertainty, Shrinkage

3.

Are Electricity Risk Premia Affected by Emission Allowance Prices? Evidence from the EEX, Nord Pool and Powernext

Energy Policy, Vol. 37, No. 7, pp. 2594-2604, 2009
Number of pages: 29 Posted: 28 Jan 2008 Last Revised: 16 Sep 2009
George Daskalakis and Raphael N. Markellos
Norwich Business School - University of East Anglia and University of East Anglia (UEA) - Norwich Business School
Downloads 528 (51,329)

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Electricity, Risk Premium, Emission Allowances

4.

Offshore Petroleum Lease Evaluation under Uncertainty and Volatility Estimation Risk

Number of pages: 16 Posted: 10 Oct 2006 Last Revised: 03 Dec 2008
George Dotsis, Vasiliki Makropoulou and Raphael N. Markellos
National and Kapodistrian University of Athens - Faculty of Economics, Athens University of Economics and Business - Department of Management Science and University of East Anglia (UEA) - Norwich Business School
Downloads 404 (71,463)

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Real Options, Estimation Risk, Investment Evaluation, Uncertainty Aversion

5.

Interest Rate Volatility and Risk Management: Evidence from CBOE Treasury Options

Number of pages: 27 Posted: 08 Apr 2010 Last Revised: 02 Aug 2013
Raphael N. Markellos and Dimitris Psychoyios
University of East Anglia (UEA) - Norwich Business School and University of Piraeus - Department of Industrial Management
Downloads 381 (76,458)
Citation 1

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interest rate volatility, treasury options, volatility risk premium, volatility index, option pricing

6.

Wine Price Risk Management: International Diversification and Derivative Instruments

International Review of Financial Analysis, Vol. 22, pp. 30-37, 2012
Number of pages: 23 Posted: 09 Nov 2010 Last Revised: 10 Sep 2012
Apostolos Kourtis, Raphael N. Markellos and Dimitris Psychoyios
University of East Anglia (UEA) - Norwich Business School, University of East Anglia (UEA) - Norwich Business School and University of Piraeus - Department of Industrial Management
Downloads 365 (80,421)
Citation 1

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Fine Wine, International Diversification, Derivatives, Option Pricing

7.

Estimation of Continuous-Time Stochastic Volatility Models

HANDBOOK OF ECONOMETRICS, Vol. 2, Palgrave, Forthcoming
Number of pages: 32 Posted: 04 Nov 2008 Last Revised: 03 Dec 2008
George Dotsis, Raphael N. Markellos and Terence C. Mills
National and Kapodistrian University of Athens - Faculty of Economics, University of East Anglia (UEA) - Norwich Business School and Loughborough University - Department of Economics
Downloads 324 (92,032)

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8.

Nonlinear Times Series in Financial Economics

ENCYCLOPEDIA OF COMPLEXITY AND SYSTEMS SCIENCE, Bruce Mizrach, ed., Springer-Verlag, 2008
Number of pages: 27 Posted: 15 Jun 2008
Terence C. Mills and Raphael N. Markellos
Loughborough University - Department of Economics and University of East Anglia (UEA) - Norwich Business School
Downloads 285 (105,854)

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Nonlinear Time Series, Finance

9.

Nonlinear Cointegration Using Lyapunov Stability Theory

PROGRESS IN FINANCIAL MARKETS RESEARCH, K. Kirtsou, ed., New York: Nova Science Publishers, Forthcoming
Number of pages: 31 Posted: 13 Jun 2004
Raphael N. Markellos
University of East Anglia (UEA) - Norwich Business School
Downloads 231 (131,457)

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Nonlinear cointegration, Attractors, Lyapunov stability theory, Gilt-equity ratio

10.

An International Comparison of Implied, Realized and GARCH Volatility Forecasts

Journal of Futures Markets, Forthcoming
Number of pages: 98 Posted: 26 Mar 2016 Last Revised: 20 Apr 2016
Apostolos Kourtis, Raphael N. Markellos and Lazaros Symeonidis
University of East Anglia (UEA) - Norwich Business School, University of East Anglia (UEA) - Norwich Business School and University of East Anglia (UEA) - Norwich Business School
Downloads 197 (152,928)

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Implied Volatility, Realized Volatility, Volatility Risk Premium, Financial Crisis, International Diversification

11.

Sovereign Debt Markets in Light of the Shadow Economy

Number of pages: 30 Posted: 06 Mar 2011 Last Revised: 23 Oct 2015
Raphael N. Markellos, Dimitris Psychoyios and Friedrich Schneider
University of East Anglia (UEA) - Norwich Business School, University of Piraeus - Department of Industrial Management and Johannes Kepler University Linz - Department of Economics
Downloads 184 (162,818)
Citation 2

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Informal Sector, Credit Ratings, Sovereign Debt

12.

Investor Co-Attention and Stock Market Comovement

Number of pages: 51 Posted: 05 Dec 2017
Efthymia Symitsi and Raphael N. Markellos
University of Leeds - Division of Accounting and Finance and University of East Anglia (UEA) - Norwich Business School
Downloads 154 (190,041)

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Investor Attention, Return Comovement, International Stock Markets

13.

Is There an Olympic Gold Medal Rush in the Stock Market?

Number of pages: 35 Posted: 11 Jul 2015 Last Revised: 10 Apr 2018
Jessica Wang and Raphael N. Markellos
Nottingham Trent University and University of East Anglia (UEA) - Norwich Business School
Downloads 151 (193,230)

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Attention, Sentiment, Olympic Games, Stock Market

14.

Environmental Policy Implications of Extreme Variations in Pollutant Stock Levels and Socioeconomic Costs

Number of pages: 39 Posted: 18 May 2007
Vasiliki Makropoulou, George Dotsis and Raphael N. Markellos
Athens University of Economics and Business - Department of Management Science, National and Kapodistrian University of Athens - Faculty of Economics and University of East Anglia (UEA) - Norwich Business School
Downloads 94 (274,324)

Abstract:

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Q28, L51, H23

15.

Covariance Forecasting in Equity Markets

Journal of Banking and Finance, vol. 96, pp. 153-168
Number of pages: 79 Posted: 16 Jul 2018 Last Revised: 04 Oct 2018
University of Leeds - Division of Accounting and Finance, University of East Anglia (UEA) - Norwich Business School, University of East Anglia (UEA) - Norwich Business School and University of East Anglia (UEA) - Norwich Business School
Downloads 80 (303,247)

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covariance forecasting, high-frequency data, implied volatility, asset allocation, risk-return trade-off

16.

Optimal Price Setting in Fixed‐Odds Betting Markets Under Information Uncertainty

Scottish Journal of Political Economy, Vol. 58, Issue 4, pp. 519-536, 2011
Number of pages: 18 Posted: 15 Jun 2011
Vasiliki Makropoulou and Raphael N. Markellos
Athens University of Economics and Business - Department of Management Science and University of East Anglia (UEA) - Norwich Business School
Downloads 1 (648,213)
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17.

Dynamic Interaction between Markets for Leasing and Selling Automobiles

Posted: 08 Jul 2012 Last Revised: 17 Aug 2018
Thanos Andrikopoulos and Raphael N. Markellos
Hull University Business School (HUBS) and University of East Anglia (UEA) - Norwich Business School

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Interacting markets, Automobiles, Differential Games, Leasing, Valuation

18.

Are the European Carbon Markets Efficient?

Review of Futures Markets, Vol. 17, No. 2, pp. 103-128, 2008
Posted: 01 Aug 2007 Last Revised: 24 May 2014
George Daskalakis and Raphael N. Markellos
Norwich Business School - University of East Anglia and University of East Anglia (UEA) - Norwich Business School

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European carbon markets, efficiency, European Union emission trading scheme

19.

The Finite Sample Properties of the GARCH Option Pricing Model

Journal of Future Markets, Forthcoming
Posted: 04 Oct 2006
George Dotsis and Raphael N. Markellos
National and Kapodistrian University of Athens - Faculty of Economics and University of East Anglia (UEA) - Norwich Business School

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GARCH, European Options, Maximum Likelihood, Bias Reduction, Jackknife

20.

Modeling CO2 Emission Allowance Prices and Derivatives: Evidence from the European Trading Scheme

Journal of Banking & Finance, Vol. 33, No. 7, pp. 1230-1241, 2009
Posted: 27 Jun 2006 Last Revised: 10 May 2014
George Daskalakis, Dimitris Psychoyios and Raphael N. Markellos
Norwich Business School - University of East Anglia, University of Piraeus - Department of Industrial Management and University of East Anglia (UEA) - Norwich Business School

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Emission Allowances, Futures, Options on Futures, Derivative Pricing

Other Papers (1)

Total Downloads: 416
1.

An Application of Bootstrapping in Option Pricing

Athens University of Economics and Business, MSL Working Paper
Number of pages: 33 Posted: 08 Feb 2005 Last Revised: 02 Nov 2008
George Dotsis and Raphael N. Markellos
National and Kapodistrian University of Athens - Faculty of Economics and University of East Anglia (UEA) - Norwich Business School
Downloads 416

Abstract:

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Option Pricing, Bootstrapping, Asymptotic Theory, Estimation Risk, American Options