Evarist Stoja

University of Bristol

Reader in Finance

School of Economics, Finance and Management

8 Woodland Road

Bristol, BS8 1TN

United Kingdom

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

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 13,349

SSRN RANKINGS

Top 13,349

in Total Papers Downloads

3,519

CITATIONS
Rank 33,403

SSRN RANKINGS

Top 33,403

in Total Papers Citations

11

Scholarly Papers (24)

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 Exeter - Business School, University of Bristol and Bank of America, U.K.
Downloads 604 (42,281)

Abstract:

Loading...

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 Exeter - Business School, University of Bristol and Bank of America, U.K.

Abstract:

Loading...

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 and Jon Tucker
University of Bristol and Coventry University
Downloads 556 (47,763)

Abstract:

Loading...

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 and Jon Tucker
University of Exeter - Business School, University of Bristol and Coventry University
Downloads 455 (61,449)
Citation 4

Abstract:

Loading...

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

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 Exeter - Business School, University of Exeter Business School and University of Bristol
Downloads 267 (112,093)

Abstract:

Loading...

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

The Limits to Minimum-Variance Hedging

Journal of Business Finance & Accounting, Vol. 37, Issue 5-6, pp. 737-761, June/July 2010
Number of pages: 25 Posted: 13 Jul 2010
Richard D. F. Harris, Jian Shen and Evarist Stoja
University of Exeter - Business School, University of Exeter Business School and University of Bristol
Downloads 2 (660,070)
  • Add to Cart

Abstract:

Loading...

5.

Target Gearing in UK

Number of pages: 40 Posted: 04 May 2005
Jon Tucker and Evarist Stoja
Coventry University and University of Bristol
Downloads 266 (113,055)

Abstract:

Loading...

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

6.

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 251 (120,122)
Citation 1

Abstract:

Loading...

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

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 Exeter - Business School, University of Bristol and Nottingham Trent University - Department of Accounting and Finance
Downloads 238 (126,781)
Citation 3

Abstract:

Loading...

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 Exeter - Business School, University of Bristol and Nottingham Trent University - Department of Accounting and Finance

Abstract:

Loading...

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

Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment

Bank of England Working Paper No. 608
Number of pages: 40 Posted: 23 Aug 2016
Bank of England, University of Exeter - Business School, University of Bristol and Bank of England
Downloads 179 (165,817)
Citation 2

Abstract:

Loading...

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
Bank of England, University of Exeter - Business School, University of Bristol and Bank of England

Abstract:

Loading...

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 Exeter - Business School, University of Exeter and University of Bristol
Downloads 176 (168,280)

Abstract:

Loading...

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

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 Exeter - Business School, University of Bristol and Bank of America, U.K.
Downloads 115 (238,553)
Citation 2

Abstract:

Loading...

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 Exeter - Business School, University of Bristol and Bank of America, U.K.

Abstract:

Loading...

Conditional volatility, Intraday range, Non-parametric filter

11.

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 Exeter - Business School, University of Exeter and University of Bristol
Downloads 78 (305,618)

Abstract:

Loading...

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

12.
Downloads 75 (312,710)
Citation 2

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 75 (315,996)
Citation 2

Abstract:

Loading...

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)

Abstract:

Loading...

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

13.

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 69 (327,488)

Abstract:

Loading...

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

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 51 (386,146)
Citation 1

Abstract:

Loading...

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

Abstract:

Loading...

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 51 (386,146)
Citation 1

Abstract:

Loading...

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

Abstract:

Loading...

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 39 (431,611)

Abstract:

Loading...

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

Abstract:

Loading...

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

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 35 (449,102)

Abstract:

Loading...

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

Abstract:

Loading...

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

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 7 (618,327)

Abstract:

Loading...

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

Abstract:

Loading...

co-exceedance, tail interdependence, high dimensions

19.

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
University of Exeter - Business School, Bank of England, Bank of England and University of Bristol
Downloads 5 (605,362)

Abstract:

Loading...

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

20.

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 Exeter - Business School, University of Exeter and University of Bristol

Abstract:

Loading...

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

21.

Extreme Downside Risk and Market Turbulence.

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

Abstract:

Loading...

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

22.

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 and Evarist Stoja
Coventry University and University of Bristol

Abstract:

Loading...

23.

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

Abstract:

Loading...

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

24.

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 and Jon Tucker
University of Exeter - Business School, University of Bristol and Coventry University

Abstract:

Loading...

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