Michael Tamvakis

City University London - The Business School

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

  • City University London - The Business School

SCHOLARLY PAPERS

7

DOWNLOADS

300

TOTAL CITATIONS

0

Scholarly Papers (7)

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1.

Forecasting Energy Price Volatilities and Correlations: New Evidence From Fractionally Integrated Multivariate Garch Models

Energy Economics, Forthcoming
Number of pages: 22 Posted: 20 Mar 2020
Malvina Marchese, Ioannis Kyriakou, Michael Tamvakis and Francesca Di Iorio
Cass Business School, City, University of london, Bayes Business School (formerly Cass), City, University of London, City University London - The Business School and Istituto Nazionale di Statistica
Downloads 174 (343,876)

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Multivariate GARCH, Long Memory, Superior Predictive Ability Test, Model

2.

Structural Changes in Asset Correlations And  Macroeconomic Fundamentals

Number of pages: 40 Posted: 22 Jun 2023
Malvina Marchese, Francesca Di Iorio, Michael Tamvakis and Ioannis Kyriakou
Cass Business School, City, University of london, CSEF - University of Naples Federico II, City University London - The Business School and affiliation not provided to SSRN
Downloads 67 (670,053)

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Mixed frequency datastructural breakscorrelation component modelsrisk managementValue at RiskEnergy Markets financialization

3.

Determinants of the Price Premium for Eco Vessels

Downloads 59 (712,499)

Determinants of the Price Premium for Eco Vessels

Number of pages: 20 Posted: 07 Mar 2024 Last Revised: 13 May 2024
Ioannis Moutzouris, Nikos C. Papapostolou, Malvina Marchese and Michael Tamvakis
Bayes Business School, Cass Business School, City, University of London, Cass Business School, City, University of london and City University London - The Business School
Downloads 51 (778,320)

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Asset Pricing, Sustainable Shipping, Maritime Decarbonisation, Vessel Prices, Net Zero Shipping, Price Premium

Determinants of the Price Premium for Eco Vessels

Number of pages: 30 Posted: 29 Jun 2024
Ioannis Moutzouris, Nikos C. Papapostolou, Malvina Marchese, Michael Tamvakis and Yao Shi
Bayes Business School, Cass Business School, City, University of London, Cass Business School, City, University of london, City University London - The Business School and University of Sussex
Downloads 8 (1,210,883)

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Asset Pricing, Sustainable Shipping, Maritime Decarbonisation, Vessel Prices, Net Zero Shipping, Price Premium

4.

A Combination Approach to Forecasting Precious Metals Correlations

Posted: 10 Apr 2024
Malvina Marchese, Ioannis Kyriakou, Ioannis Moutzouris, Michael Tamvakis and Sjur Westgaard
Cass Business School, City, University of london, Bayes Business School (formerly Cass), City, University of London, Bayes Business School, City University London - The Business School and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology

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Precious metals correlations, forecast combinations, Value at Risk, macroeconomic fundamentals, structural breaks

5.

Structural changes in asset correlations and macroeconomic fundamentals

Posted: 27 Apr 2022 Last Revised: 28 Feb 2023
Malvina Marchese, Ioannis Kyriakou, Michael Tamvakis and Francesca Di Iorio
Cass Business School, City, University of london, Bayes Business School (formerly Cass), City, University of London, City University London - The Business School and Istituto Nazionale di Statistica

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Mixed frequency data, structural breaks, correlation component models, risk management

6.

The Relation between Return and Volatility in the Commodity Markets

Journal of Alternative Investments, Vol. 22, No.1, pp. 54-62, Summer 2001
Posted: 21 Jul 2004 Last Revised: 24 Mar 2008
Daniel Giamouridis and Michael Tamvakis
Qube Research & Technologies and City University London - The Business School

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7.

Asymptotic Distribution Expansions in Option Pricing

Journal of Derivatives, Vol. 9, No. 4, pp. 33-44, Summer 2002
Posted: 21 Jul 2004 Last Revised: 24 Mar 2008
Daniel Giamouridis and Michael Tamvakis
Qube Research & Technologies and City University London - The Business School

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