Christina Sklibosios Nikitopoulos

University of Technology Sydney - Business School

15 Broadway, Ultimo

Sydney 2007, New South Wales

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

30

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SSRN CITATIONS
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31

CROSSREF CITATIONS

13

Scholarly Papers (30)

1.

Climate Transition Risk in Sovereign Bond Markets

Number of pages: 49 Posted: 08 Jun 2021 Last Revised: 22 Dec 2022
University of Technology Sydney (UTS), Ardea Investment Management, University of Technology Sydney - Business School, University of New South Wales (UNSW) - School of Mathematics and StatisticsUniversity of Technology Sydney (UTS) - UTS Business School and University of Technology Sydney (UTS)
Downloads 1,060 (39,104)
Citation 2

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climate change, transition risk, sovereign yields, carbon dioxide, natural resources rents, renewables, GDP

2.

Forecasting Commodity Markets Volatility: HAR or Rough?

Number of pages: 33 Posted: 10 Feb 2020 Last Revised: 08 Mar 2020
Mesias Alfeus and Christina Sklibosios Nikitopoulos
Department of Statistics and Actuarial Science - Stellenbosch University and University of Technology Sydney - Business School
Downloads 427 (126,683)
Citation 3

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commodity markets, realized volatility, fractional Brownian motion, HAR, volatility forecast

3.

Wind Generation and the Dynamics of Electricity Prices in Australia

Energy Economics, Volume 103, 2021, 105547, ISSN 0140-9883, https://www.sciencedirect.com/science/article/pii/S0140988321004230
Number of pages: 81 Posted: 02 Nov 2020 Last Revised: 12 Nov 2021
Muthe Mathias Mwampashi, Christina Sklibosios Nikitopoulos, Otto Konstandatos and Alan Rai
University of Technology Sydney, University of Technology Sydney - Business School, University of Technology Sydney and University of Technology Sydney (UTS) - UTS Business School
Downloads 300 (186,690)

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wind generation, electricity price volatility, merit order effect, hydro generation, interconnectors, carbon pricing mechanism, COVID-19

4.

Economic Determinants of Oil Futures Volatility: A Term Structure Perspective

Energy Economics, Vol. 88, No. 104743, 2020
Number of pages: 46 Posted: 11 Jul 2019 Last Revised: 09 Nov 2020
Boda Kang, Christina Sklibosios Nikitopoulos and Marcel Prokopczuk
AMP, University of Technology Sydney - Business School and University of Reading - ICMA Centre
Downloads 280 (200,574)
Citation 2

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oil market, volatility, term structure, macroeconomy

5.

Mechanisms to Incentivise Fossil Fuel Divestment and Implications on Portfolio Risk and Returns

Number of pages: 95 Posted: 17 Jun 2022 Last Revised: 14 Feb 2023
Heriot-Watt University, University of Technology Sydney - Business School, De Montfort University, University of California Santa Barbara and University of New South Wales (UNSW) - School of Mathematics and StatisticsUniversity of Technology Sydney (UTS) - UTS Business School
Downloads 278 (202,045)

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Decarbonization, Fossil Fuel Divestment, Emission Reduction Investing, Portfolio Analysis, ETF

From 30- to 5-Minute Settlement Rule in the NEM: An Early Evaluation

Number of pages: 91 Posted: 28 Dec 2022 Last Revised: 21 Feb 2023
Muthe Mathias Mwampashi, Christina Sklibosios Nikitopoulos and Alan Rai
University of Technology Sydney, University of Technology Sydney - Business School and University of Technology Sydney (UTS) - UTS Business School
Downloads 196 (281,820)

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electricity spot price, 5-minute settlement, dispatch-weighted price, Bayesian structural time series model, regulatory change

From 30- to 5-Minute Settlement Rule in the Nem: An Early Evaluation

Number of pages: 39 Posted: 15 Jun 2023
Muthe Mathias Mwampashi, Christina Sklibosios Nikitopoulos and Alan Rai
University of Technology Sydney, University of Technology Sydney - Business School and University of Technology Sydney (UTS) - UTS Business School
Downloads 48 (735,364)

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electricity spot price, 5-minute settlement, dispatch-weighted price, Bayesian structural time series model, regulatory change

7.

Empirical Hedging Performance on Long-Dated Crude Oil Derivatives

FIRN Research Paper
Number of pages: 24 Posted: 20 Sep 2016
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlögl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 213 (261,890)
Citation 1

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Stochastic interest rates, Delta hedge, Interest rate hedge, Long-dated crude oil options

8.

A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps

Quantitative Finance Research Centre Research Paper Number No. 167
Number of pages: 33 Posted: 02 May 2006
Carl Chiarella, Christina Sklibosios Nikitopoulos and Erik Schlögl
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 211 (264,189)
Citation 1

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HJM model, jump process, bond option prices, control variate, Monte Carlo simulations

9.

The Return-Volatility Relation in Commodity Futures Markets

UNSW Business School Research Paper No. 2015 BFIN 05
Number of pages: 30 Posted: 13 Jun 2015
Carl Chiarella, Boda Kang, Christina Sklibosios Nikitopoulos and Thuy Duong To
University of Technology, Sydney - UTS Business School, Finance Discipline Group, AMP, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 206 (270,119)
Citation 3

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Return-volatility relation; Commodity futures returns; Gold futures volatility

10.

Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 38 Posted: 09 Oct 2012
Carl Chiarella, Boda Kang, Christina Sklibosios Nikitopoulos and Thuy Duong To
University of Technology, Sydney - UTS Business School, Finance Discipline Group, AMP, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 191 (289,330)
Citation 4

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Commodity derivatives, Crude oil derivatives, Unspanned stochastic volatility, Hump-shaped volatility, Pricing, Hedging

11.

Determinants of the Crude Oil Futures Curve: Inventory, Consumption and Volatility

Journal of Banking and Finance, Vol. 84, 2017
Number of pages: 32 Posted: 14 Sep 2016 Last Revised: 09 Nov 2020
Christina Sklibosios Nikitopoulos, Matthew Squires, Susan Thorp and Danny Yeung
University of Technology Sydney - Business School, University of Technology Sydney (UTS), The University of Sydney Business School and University of Technology Sydney (UTS)
Downloads 186 (296,228)
Citation 3

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Oil futures curve, Inventory, Consumption, Implied volatility, VAR

12.

A Markovian Defaultable Term Structure Model with State Dependent Volatilities

Number of pages: 40 Posted: 07 Oct 2004
Carl Chiarella, Erik Schlögl and Christina Sklibosios Nikitopoulos
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Technology Sydney - Business School
Downloads 175 (312,624)
Citation 3

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Interest rates, credit risk, default, Markov property, jump diffusion

13.

Pricing American Options Under Regime Switching Using Method of Lines

Number of pages: 19 Posted: 11 Feb 2016
Carl Chiarella, Christina Sklibosios Nikitopoulos, Erik Schlögl and Hongang Yang
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney - Business School, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Technology Sydney (UTS)
Downloads 164 (330,716)
Citation 6

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American option, regime switching, method of lines

14.

Dynamic Roughness in the Term Structure of Oil Markets Volatility

Number of pages: 34 Posted: 04 Mar 2023
Mesias Alfeus, Christina Sklibosios Nikitopoulos and Ludger Overbeck
Department of Statistics and Actuarial Science - Stellenbosch University, University of Technology Sydney - Business School and University of Giessen
Downloads 159 (339,546)

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Fractional Brownian motion, rough volatility, oil volatility, calibrated Hurst parameter, options

15.

Pricing of Long-Dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates

Number of pages: 30 Posted: 08 Jan 2016
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlögl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 157 (343,114)
Citation 3

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Futures options, Stochastic interest rates, Stochastic volatility, Correlations, Long-dated commodity derivatives

16.

Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility

Quantitative Finance Research Centre Research Paper No. 283
Number of pages: 47 Posted: 22 Oct 2010
Carl Chiarella, Samuel Chege Maina and Christina Sklibosios Nikitopoulos
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney - Business School
Downloads 151 (354,455)
Citation 7

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stochastic volatility, Heath-Jarrow-Morton model, defaultable forward rates, credit spreads

17.

Hedging Futures Options with Stochastic Interest Rates

Number of pages: 27 Posted: 20 Sep 2016
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlögl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 144 (368,336)
Citation 1

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Futures options, Stochastic interest rates, Delta hedging, Interest rate hedging

18.

DivFolio: A Shiny Application for Portfolio Divestment in Green Finance Wealth Management

Number of pages: 56 Posted: 15 Feb 2023
Heriot-Watt University, University of California Santa Barbara, De Montfort University, University of Technology Sydney - Business School and University of New South Wales (UNSW) - School of Mathematics and StatisticsUniversity of Technology Sydney (UTS) - UTS Business School
Downloads 138 (380,663)

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Shiny application, ESG investing , Fossil-fuel divestment, Portfolio management

19.

Large Scale and Rooftop Solar Generation in the NEM: A Tale of Two Renewables Strategies

Published by Elsevier, Energy Economics, Year – 2022, Volume - 115, pages - 106372, ISSN - 0140-9883, doi: https://doi.org/10.1016/j.eneco.2022.106372. url: https://www.sciencedirect.com/science/article/pii/S0140988322005011
Number of pages: 104 Posted: 10 Nov 2021 Last Revised: 03 Nov 2022
Muthe Mathias Mwampashi, Christina Sklibosios Nikitopoulos, Otto Konstandatos and Alan Rai
University of Technology Sydney, University of Technology Sydney - Business School, University of Technology Sydney and University of Technology Sydney (UTS) - UTS Business School
Downloads 120 (423,761)
Citation 2

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large-scale solar generation, rooftop solar generation, electricity spot price volatility, merit order effect, variable renewable energy curtailment

20.

Pricing of Long-Dated Commodity Derivatives: Do Stochastic Interest Rates Matter?

Journal of Banking and Finance, Vol. 95, 2018
Number of pages: 38 Posted: 25 Jan 2016 Last Revised: 09 Nov 2020
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlögl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 120 (423,761)
Citation 2

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Futures options pricing, Stochastic interest rates, Correlations, Long-dated crude oil derivatives, commodity futures

21.

Pricing American Options With Jumps in Asset and Volatility

Number of pages: 41 Posted: 17 Nov 2018
Blessing Taruvinga, Boda Kang and Christina Sklibosios Nikitopoulos
University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group, AMP and University of Technology Sydney - Business School
Downloads 109 (455,262)
Citation 1

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American Options, Method of Lines, Stochastic Interest Rate, Jumps, Greeks

22.

The Economic Impact of Volatility Persistence on Energy Markets

Nikitopoulos, C., Thomas, A.C., Wang, J., (2022) “The economic impact of daily volatility persistence in energy markets”, Journal of Commodity Markets, 100285 https://www.sciencedirect.com/science/article/abs/pii/S2405851322000423
Number of pages: 44 Posted: 10 Nov 2020 Last Revised: 22 Dec 2022
Christina Sklibosios Nikitopoulos, Alice Thomas and Jian-Xin Wang
University of Technology Sydney - Business School, University of Technology Sydney (UTS), UTS Business School, Students and University of Technology Sydney
Downloads 103 (474,122)

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Realized Volatility, Volatility Persistence, Energy Markets, HAR, Forecasting

23.

Credit Derivative Pricing with Stochastic Volatility Models

University of Technology Sydney Quantitative Finance Research Centre Research Paper No. 293
Number of pages: 40 Posted: 23 Oct 2012
Carl Chiarella, Samuel Chege Maina and Christina Sklibosios Nikitopoulos
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney - Business School
Downloads 96 (496,943)

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stochastic volatility, Heath-Jarrow-Morton framework, defaultable bond prices, credit spreads, CDS rates

24.

The Impact of Jumps on American Option Pricing: The S&P 100 Options Case.

Number of pages: 49 Posted: 25 Jan 2019
Boda Kang, Christina Sklibosios Nikitopoulos, Erik Schlögl and Blessing Taruvinga
AMP, University of Technology Sydney - Business School, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group
Downloads 84 (540,282)

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American options; S&P 100 options; Method of Lines; asset jumps; volatility jumps; stochastic interest rate

25.

Alternative Defaultable Term Structure Models

Quantitative Finance Research Centre Research Paper No. 242
Number of pages: 33 Posted: 13 Nov 2012
Nicola Bruti-Liberati, Christina Sklibosios Nikitopoulos, Eckhard Platen and Erik Schlögl
affiliation not provided to SSRN, University of Technology Sydney - Business School, University of Technology, Sydney (UTS) - Finance Discipline Group and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 81 (552,249)

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defaultable forward rates, jump-diffusion processes, growth optimal portfolio, real-world pricing

26.

A Price Mechanism Survey of the Australian National Electricity Market

Number of pages: 77 Posted: 28 Apr 2023
Krisztina Katona, Christina Sklibosios Nikitopoulos and Erik Schlögl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 77 (568,599)

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Electricity market design

Alternative Term Structure Models for Reviewing Expectations Puzzles

Research Paper Number 305, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 28 Posted: 27 Oct 2012
Christina Sklibosios Nikitopoulos and Eckhard Platen
University of Technology Sydney - Business School and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 39 (800,866)

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expectations hypothesis, time-varying term premiums, real-world probability measure, market price of risk

Alternative Term Structure Models for Reviewing Expectations Puzzles

Research Paper Number No. 305, Quantitative Finance Research Centre, University of Technology, Sydney
Number of pages: 28 Posted: 29 Oct 2012
Christina Sklibosios Nikitopoulos and Eckhard Platen
University of Technology Sydney - Business School and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 37 (816,554)

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expectations hypothesis, time-varying term premiums, real-world probability measure, market price of risk

28.

Hedging pressure and oil volatility: Insurance versus liquidity demands

Open Access on the Journal of Futures Markets https://onlinelibrary.wiley.com/doi/full/10.1002/fut.22470
Number of pages: 43 Posted: 18 Apr 2022 Last Revised: 07 Dec 2023
Christina Sklibosios Nikitopoulos, Alice Thomas and Jian-Xin Wang
University of Technology Sydney - Business School, University of Technology Sydney (UTS), UTS Business School, Students and University of Technology Sydney
Downloads 74 (581,680)

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oil markets, oil volatility, liquidity provision, hedging pressure, hedgers, speculators

29.

Beyond the Mean: Examining Electricity Spot Price Distribution in Australia

Number of pages: 52 Posted: 16 Aug 2023
Muthe Mathias Mwampashi and Christina Sklibosios Nikitopoulos
University of Technology Sydney and University of Technology Sydney - Business School
Downloads 51 (699,956)

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electricity spot price, quantile regression, merit order effect, energy crisis, electricity market suspension

30.

A Hyperbolic Bid Stack Approach to Electricity Price Modelling

Number of pages: 58 Posted: 21 Dec 2022
Krisztina Katona, Christina Sklibosios Nikitopoulos and Erik Schlögl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 50 (706,187)

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Electricity price modelling, Bid stack functions, Renewable fuels, Storage technology, Network constraint effects, Inter-regional trade