Evarist Stoja

University of Bristol

Professor of Finance

School of Accounting and Finance

8 Woodland Road

Bristol, BS8 1TN

United Kingdom

http://sites.google.com/view/evarist-stoja/

  • University of Bristol

SCHOLARLY PAPERS

25

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4,339

SSRN CITATIONS
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SSRN RANKINGS

Top 44,272

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12

CROSSREF CITATIONS

3

Scholarly Papers (25)

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1.

Day-of-the-Month Effects in the Performance of Momentum Trading Strategies in the Foreign Exchange Market

Downloads 668 (61,485)

Day-of-the-Month Effects in the Performance of Momentum Trading Strategies in the Foreign Exchange Market

XFi Working Paper No. 08-07
Number of pages: 16 Posted: 06 Oct 2008 Last Revised: 28 Oct 2008
Richard D. F. Harris, Evarist Stoja and Fatih Yilmaz
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, University of Bristol and Bank of America, U.K.
Downloads 668 (60,655)

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Momentum, Moving average rules, Seasonality, Conditional volatility

Day-of-The-Month Effects in the Performance of Momentum Trading Strategies in the Foreign Exchange Market

Journal of Trading, Vol. 4, pp. 48-55, Winter 2009
Posted: 12 Oct 2010
Richard D. F. Harris, Evarist Stoja and Fatih Yilmaz
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, University of Bristol and Bank of America, U.K.

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Momentum, Moving Average Rules, Seasonality, Conditional Volatility

2.

Long and Short-Run Capital Structure Dynamics in the UK - An Industry Level Study

Number of pages: 46 Posted: 03 Dec 2007 Last Revised: 21 Apr 2009
Evarist Stoja, Jon Tucker and Jon Tucker
University of Bristol and Coventry UniversityUWE Bristol
Downloads 611 (68,960)
Citation 1

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Capital Structure, Trade-off, Pecking Order, Optimal Dynamic Debt Equity Choice, UK Quoted Firms, Cointegration of Capital Structure Ratio Components

3.

A Simplified Approach to Modelling the Co-Movement of Asset Returns

University of Exeter Finance and Investment Working Paper
Number of pages: 20 Posted: 14 Jan 2005 Last Revised: 29 Apr 2019
Richard D. F. Harris, Evarist Stoja, Jon Tucker and Jon Tucker
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, University of Bristol and Coventry UniversityUWE Bristol
Downloads 489 (90,868)

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Multivariate GARCH, hedging, minimum-variance hedge ratio, FTSE 100 index

4.

The Dynamic Black-Litterman Approach to Asset Allocation

Downloads 322 (146,052)
Citation 6

The Dynamic Black-Litterman Approach to Asset Allocation

Bank of England Working Paper No. 596
Number of pages: 35 Posted: 30 Apr 2016
Richard D. F. Harris, Evarist Stoja and Linzhi Tan
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, University of Bristol and Nottingham Trent University - Department of Accounting and Finance
Downloads 322 (145,135)
Citation 6

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Black-Litterman model, multivariate conditional volatility, portfolio optimization, non-normality, tail risk

The Dynamic Black-Litterman Approach to Asset Allocation

European Journal of Operational Research, Forthcoming
Posted: 16 Jan 2017
Richard D. F. Harris, Evarist Stoja and Linzhi Tan
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, University of Bristol and Nottingham Trent University - Department of Accounting and Finance

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Finance, Black–Litterman model, Multivariate conditional volatility, Portfolio optimization, Tail risk

5.

Target Gearing in UK

Number of pages: 40 Posted: 04 May 2005
Jon Tucker, Jon Tucker and Evarist Stoja
Coventry UniversityUWE Bristol and University of Bristol
Downloads 303 (155,752)
Citation 1

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Capital Structure, Target Adjustment, Trade off Theory, Pecking Order Theory

6.

The Limits to Minimum-Variance Hedging

University of Exeter XFi Working Paper No. 07-12
Number of pages: 34 Posted: 05 Nov 2007
Richard D. F. Harris, Jian Shen and Evarist Stoja
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, University of Exeter Business School and University of Bristol
Downloads 294 (160,742)

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Minimum-variance hedge ratio, Realized beta, Multivariate conditional volatility models, Bias correction

7.

Incorporating Higher Moments into Value at Risk Estimation

Number of pages: 20 Posted: 12 Oct 2008
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol
Downloads 288 (164,224)

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Value-at-Risk (VaR) estimation, Time-varying variance, skewness, kurtosis, Gram-Charlier series expansion

8.

Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment

Downloads 247 (191,665)

Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment

Bank of England Working Paper No. 608
Number of pages: 40 Posted: 23 Aug 2016
Ching-Wai (Jeremy) Chiu, Richard D. F. Harris, Evarist Stoja and Michael Chin
Bank of England, University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, University of Bristol and Norges Bank Investment Management (NBIM)
Downloads 247 (190,986)
Citation 2

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Stock and bond market volatility, two-factor volatility model, macroeconomic

Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment

Journal of Banking and Finance, Vol. 92, No. 1, 2018
Posted: 30 Apr 2019
Ching-Wai (Jeremy) Chiu, Richard D. F. Harris, Evarist Stoja and Michael Chin
Bank of England, University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, University of Bristol and Norges Bank Investment Management (NBIM)

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stock and bond market volatility, two-factor volatility model, macroeconomic fundamentals, structural vector autoregression, Bayesian estimation

9.

Systematic Tail Risk

Bank of England Working Paper No. 637
Number of pages: 31 Posted: 21 Dec 2016
Richard D. F. Harris, Linh Nguyen and Evarist Stoja
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, University of Exeter and University of Bristol
Downloads 229 (206,097)

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Asset Pricing, Downside Risk, Tail Risk, Co-Moments, Value at Risk, Systematic Risk

10.

A Cyclical Model of Exchange Rate Volatility

Downloads 143 (311,169)

A Cyclical Model of Exchange Rate Volatility

University of Exeter Business School Working Paper No. 10/03
Number of pages: 31 Posted: 14 May 2010
Richard D. F. Harris, Evarist Stoja and Fatih Yilmaz
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, University of Bristol and Bank of America, U.K.
Downloads 143 (311,875)
Citation 2

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Conditional volatility, Intraday range, Hodrick-Prescott filter

A Cyclical Model of Exchange Rate Volatility

Journal of Banking and Finance, Vol. 35, pp. 3055-3064, 2011
Posted: 27 Apr 2011 Last Revised: 22 Aug 2012
Richard D. F. Harris, Evarist Stoja and Fatih Yilmaz
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, University of Bristol and Bank of America, U.K.

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Conditional volatility, Intraday range, Non-parametric filter

11.

Telling Tales from the Tails: High-Dimensional Tail Interdependence

Downloads 125 (344,770)

Telling Tales from the Tails: High-Dimensional Tail Interdependence

Number of pages: 44 Posted: 30 Apr 2019
Arnold Polanski, Evarist Stoja and Frank Windmeijer
University of East Anglia, University of Bristol and University of Bristol - Department of Economics
Downloads 125 (346,123)

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Telling Tales from the Tails: High-Dimensional Tail Interdependence

Journal of Applied Econometrics, Forthcoming
Posted: 30 Apr 2019
Arnold Polanski, Evarist Stoja and Frank Windmeijer
University of East Anglia, University of Bristol and University of Bristol - Department of Economics

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co-exceedance, tail interdependence, high dimensions

12.

Extreme Downside Risk and Financial Crises

Bank of England Working Paper No. 547
Number of pages: 39 Posted: 15 Sep 2015
Richard D. F. Harris, Linh Nguyen and Evarist Stoja
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, University of Exeter and University of Bristol
Downloads 102 (398,075)

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Downside risk, Markov switching, financial crisis, value at risk, leverage effect, volatility

13.

Multidimensional Risk and Risk Dependence

Downloads 95 (417,283)

Multidimensional Risk and Risk Dependence

Number of pages: 39 Posted: 05 Feb 2014
Arnold Polanski, Evarist Stoja and Ren Zhang
University of East Anglia, University of Bristol and University of East Anglia (UEA)
Downloads 95 (420,617)

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Multiple Sources of Risk, Multidimensional Value at Risk, Risk Distribution, Dependence in Risk, Systemic Risk

Multidimensional Risk and Risk Dependence

Journal of Banking and Finance, Vol. 37, No. 8, pp.3286–3294, 2013
Posted: 05 Feb 2014
Arnold Polanski, Evarist Stoja and Ren Zhang
University of East Anglia, University of Bristol and University of East Anglia (UEA)

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Multiple Sources of Risk, Multidimensional Value at Risk, Risk Distribution, Dependence in Risk, Systemic Risk

14.

Extreme Risk Interdependence

Downloads 93 (423,088)

Extreme Risk Interdependence

Bank of England Working Paper No. 563
Number of pages: 39 Posted: 09 Nov 2015
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol
Downloads 83 (457,957)
Citation 1

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Co-exceedance, Kullback-Leibler divergence, multi-information, relative entropy

Extreme Risk Interdependence

ESRB: Working Paper Series No. 2016/12
Number of pages: 38 Posted: 05 Nov 2020
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol
Downloads 10 (899,152)

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co-exceedance, Kullback-Leibler divergence, multi-information, relative entropy, risk contribution, risk interdependence

15.

Dynamic Density Forecasts for Multivariate Asset Returns

Downloads 68 (507,090)
Citation 1

Dynamic Density Forecasts for Multivariate Asset Returns

Number of pages: 26 Posted: 09 Aug 2010
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol
Downloads 68 (513,904)
Citation 1

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Time-Varying Higher Co-Moments, Joint Density Forecasting, Method of Moments, Multivariate Value-at-Risk

Dynamic Density Forecasts for Multivariate Asset Returns

Journal of Forecasting, Vol. 30, pp. 523-540, 2011
Posted: 09 Aug 2010 Last Revised: 22 Aug 2012
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol

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16.

Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with an Application to Risk Management

Downloads 62 (531,581)

Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with an Application to Risk Management

Number of pages: 32 Posted: 08 Sep 2010
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol
Downloads 62 (539,679)

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Multivariate Density Forecast Evaluation, Probability Integral Transformation, Multidimensional Value at Risk, Monte Carlo Simulations

Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with an Application to Risk Management

International Journal of Forecasting, Vol. 28, pp. 343–352, 2012
Posted: 09 Oct 2010 Last Revised: 22 Aug 2012
Evarist Stoja and Arnold Polanski
University of Bristol and University of East Anglia

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17.

Co-Dependence of Extreme Events in High Frequency FX Returns

Downloads 55 (562,669)

Co-Dependence of Extreme Events in High Frequency FX Returns

Number of pages: 39 Posted: 05 Feb 2014
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol
Downloads 55 (572,524)

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High Frequency Returns, Distributional Characteristics, Multidimensional Risk, Dependence in Risk, Extreme Risk Assessment, Multidimensional Value at Risk

Co-Dependence of Extreme Events in High Frequency FX Returns

Journal of International Money and Finance, Forthcoming
Posted: 05 Feb 2014
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol

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High Frequency Returns, Distributional Characteristics, Multidimensional Risk, Dependence in Risk, Extreme Risk Assessment, Multidimensional Value at Risk

18.

Tail Risk Interdependence

Downloads 54 (567,358)

Tail Risk Interdependence

Bank of England Working Paper No. 815, August 2019
Number of pages: 28 Posted: 06 Aug 2019
Arnold Polanski, Evarist Stoja and Ching-Wai (Jeremy) Chiu
University of East Anglia, University of Bristol and Bank of England
Downloads 54 (577,480)

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co-exceedance, systemic distress, risk contribution, extreme risk interdependence

Tail Risk Interdependence

Forthcoming in International Journal of Finance and Economics, https://doi.org/10.1002/ijfe.2077
Posted: 05 Sep 2020
Arnold Polanski, Evarist Stoja and Ching-Wai (Jeremy) Chiu
University of East Anglia, University of Bristol and Bank of England

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co-exceedance, systemic distress, risk contribution, extreme risk interdependence, relative entropy

19.

Forecasting Multidimensional Tail Risk at Short and Long Horizons

Downloads 51 (581,786)

Forecasting Multidimensional Tail Risk at Short and Long Horizons

Bank of England Working Paper No. 660
Number of pages: 37 Posted: 12 Jun 2017
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol
Downloads 51 (592,872)

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Multidimensional risk, multidimensional Value at Risk, two-factor decomposition, lonh-horizon forecasting

Forecasting Multidimensional Tail Risk at Short and Long Horizons

International Journal of Forecasting, Vol. 33, No. 4, 2017
Posted: 30 Apr 2019
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol

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Multidimensional risk, Multidimensional value at risk, Two-factor decomposition, Long horizon forecasting

20.

Have FSRs Got News for You? Evidence from the Impact of Financial Stability Reports on Market Activity

Bank of England Working Paper No. 792 (2019)
Number of pages: 32 Posted: 24 Apr 2019
Richard D. F. Harris, Veselin Karadotchev, Rhiannon Sowerbutts and Evarist Stoja
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, Bank of England, Bank of England and University of Bristol
Downloads 40 (640,715)
Citation 3

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Event Studies, Financial Stability Reports, Central Bank Communication, Market Reaction

21.

Systematic Extreme Downside Risk

Journal of International Financial Markets, Institutions and Money, Forthcoming
Posted: 30 Apr 2019
Richard D. F. Harris, Linh Nguyen and Evarist Stoja
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, University of Exeter and University of Bristol

Abstract:

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Asset pricing, Tail risk, Comoments, Value at Risk, Systematic risk

22.

Extreme Downside Risk and Market Turbulence.

Quantitative Finance, Forthcoming
Posted: 30 Apr 2019
Richard D. F. Harris, Linh Nguyen and Evarist Stoja
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, University of Exeter and University of Bristol

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Downside risk, Tail risk, Markov switching, Value-at-Risk, Leverage effect, Volatility feedback effect

23.

Industry Membership and Capital Structure Dynamics in the UK

International Review of Financial Analysis, Vol. 20, pp. 207-214, 2011
Posted: 05 Apr 2011 Last Revised: 22 Aug 2012
Jon Tucker, Jon Tucker and Evarist Stoja
Coventry UniversityUWE Bristol and University of Bristol

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24.

Incorporating Higher Moments Into Value-at-Risk Forecasting

Journal of Forecasting, Vol. 29, No. 6, pp. 523-535, September 2010
Posted: 09 Aug 2010 Last Revised: 29 Aug 2010
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol

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Value-at-Risk (VaR) Forecasting, Time-Varying Variance, Skewness, Kurtosis, Gram-Charlier Series Expansion

25.

A Simplified Approach to Modelling the Co-Movement of Asset Returns

Journal of Futures Markets, Vol. 27, No. 6, pp. 575-598, June 2007
Posted: 24 Oct 2006 Last Revised: 28 Aug 2010
Richard D. F. Harris, Evarist Stoja, Jon Tucker and Jon Tucker
University of Bristol, School of Accounting and FinanceUniversity of Bristol, School of Accounting and Finance, University of Bristol and Coventry UniversityUWE Bristol

Abstract:

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Multivariate GARCH, Hedging, Minimum-variance hedge ratio, FTSE 100 index