Elena Kalotychou

Cass Business School, City, University of London

Dr

106 Bunhill Row

London, EC1Y 8TZ

Great Britain

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 26,636

SSRN RANKINGS

Top 26,636

in Total Papers Downloads

2,697

SSRN CITATIONS
Rank 33,635

SSRN RANKINGS

Top 33,635

in Total Papers Citations

13

CROSSREF CITATIONS

11

Scholarly Papers (23)

1.

Volume, Intraday and Overnight Returns for Volatility Prediction: Profitability or Accuracy?

Review of Quantitative Finance and Accounting (Forthcoming)
Number of pages: 36 Posted: 24 Jul 2009 Last Revised: 19 Dec 2013
Ana-Maria Fuertes, Elena Kalotychou and Natasa Todorovic
Bayes Business School, City, University of London, Cass Business School, City, University of London and City University London - The Business School
Downloads 804 (43,629)

Abstract:

Loading...

Conditional variance forecasting, Trading rules, Realised volatility, Directional change prediction

2.

The Role of Correlation Dynamics in Sector Allocation

Number of pages: 51 Posted: 25 May 2012 Last Revised: 06 Nov 2012
Elena Kalotychou, Sotiris K. Staikouras and Zhao Gang
Cass Business School, City, University of London, City University - Cass Business School and City University London - The Business School
Downloads 461 (88,528)

Abstract:

Loading...

Dynamic sector allocation, Correlation timing, Portfolio performance, Utility-based evaluation, Transaction costs

3.

Forecasting Daily Stock Volatility: the Role of Intraday Information and Market Conditions

International Journal of Forecasting (2009) Vol.25, 259-281
Number of pages: 72 Posted: 29 May 2008 Last Revised: 19 Dec 2013
Ana-Maria Fuertes, Elena Kalotychou and Marwan Izzeldin
Bayes Business School, City, University of London, Cass Business School, City, University of London and Lancaster University Management School
Downloads 309 (138,418)
Citation 2

Abstract:

Loading...

Conditional variance, Quadratic variation, Nonparametric estimators, Intraday prices, Superior predictive ability

4.

Dependence in Credit Default Swap and Equity Markets: Dynamic Copula with Markov-Switching

International Journal of Forecasting, Forthcoming
Number of pages: 42 Posted: 15 Oct 2012 Last Revised: 12 Jan 2017
Fei Fei, Ana-Maria Fuertes and Elena Kalotychou
Barclays, Bayes Business School, City, University of London and Cass Business School, City, University of London
Downloads 293 (146,308)
Citation 2

Abstract:

Loading...

Credit spread; Copula; Dependence; Regime switching; Tail dependence; Value-at-Risk

5.

ECB Policy and Eurozone Fragility: Was De Grauwe Right?

Journal of International Money and Finance, Forthcoming
Number of pages: 36 Posted: 28 Jun 2014 Last Revised: 20 Mar 2015
Orkun Saka, Ana-Maria Fuertes and Elena Kalotychou
City, University of London, Bayes Business School, City, University of London and Cass Business School, City, University of London
Downloads 189 (222,673)
Citation 6

Abstract:

Loading...

Sovereign debt; Eurozone fragility; Self-fulfilling dynamics; European Central Bank; Outright Monetary Transactions.

6.

Credit Rating Migration Risk and Business Cycles

Journal of Business Finance & Accounting 39, 229-263
Number of pages: 42 Posted: 02 Dec 2011 Last Revised: 19 Dec 2013
Ana-Maria Fuertes, Elena Kalotychou and Fei Fei
Bayes Business School, City, University of London, Cass Business School, City, University of London and Barclays
Downloads 140 (285,542)

Abstract:

Loading...

Basel III, Credit risk, Default probability, Out-of-sample prediction, Procyclicality, Rating migration, Value-at-Risk

7.

Modeling Sovereign Debt Crises Using Panels

CEA Working Paper No. 11-2004, Cass Business School Research Paper
Number of pages: 41 Posted: 29 Dec 2004
Ana-Maria Fuertes and Elena Kalotychou
Bayes Business School, City, University of London and Cass Business School, City, University of London
Downloads 140 (285,542)

Abstract:

Loading...

Panel logit, unobserved heterogeneity, economic loss, predictive performance

8.

How do UK Banks React to Changing Central Bank Rates?

Cass Business School Research Paper No. 03-08
Number of pages: 34 Posted: 28 May 2008
Ana-Maria Fuertes, Shelagh Heffernan and Elena Kalotychou
Bayes Business School, City, University of London, City University London - The Business School and Cass Business School, City, University of London
Downloads 138 (288,754)
Citation 4

Abstract:

Loading...

Error Correction Model, Adjustment Speed, Time-variation, Regime-Switching, Curvature

9.

Nonlinearity in the British Interest Rate Transmission Mechanism

Number of pages: 33 Posted: 02 Mar 2007
Ana-Maria Fuertes, Shelagh Heffernan and Elena Kalotychou
Bayes Business School, City, University of London, City University London - The Business School and Cass Business School, City, University of London
Downloads 131 (300,446)
Citation 2

Abstract:

Loading...

Error Correction Model, Adjustment Speed, Time-variation, Regime-Switching, Curvature

10.

The Anatomy of Sovereign Credit Contagion

Number of pages: 44 Posted: 14 Jul 2015
Elena Kalotychou, Eli M. Remolona and Eliza Wu
Cass Business School, City, University of London, Bank for International Settlements (BIS) - Monetary and Economic Department and The University of Sydney - Business School
Downloads 67 (458,033)

Abstract:

Loading...

sovereign risk, credit event, contagion, spillover, credit default swap, debt crisis, global factor

11.

The Banking Exposure to International Lending: Regional Differences or Common Fundamentals?

Financial Markets, Institutions & Instruments, Vol. 14, No. 4, pp. 187-214, November 2005
Number of pages: 28 Posted: 04 Nov 2005
Elena Kalotychou and Sotiris K. Staikouras
Cass Business School, City, University of London and City University - Cass Business School
Downloads 16 (735,664)
Citation 1

Abstract:

Loading...

12.

Time-Varying Term Structure and Financial Intermediaries' Risk Exposures

Number of pages: 40 Posted: 16 Feb 2022
Elena Kalotychou, Sotiris K. Staikouras and Gang Zhao
Cass Business School, City, University of London, City University - Cass Business School and University of Bath - Department of Economics
Downloads 7 (821,372)

Abstract:

Loading...

Board Diversity Reforms: Do They Matter for EU Bank Performance?

European Financial Management, Vol. 26, Issue 2, pp. 416-454, 2020
Number of pages: 39 Posted: 19 May 2020
University of Milan, City University London - The Business School, Cass Business School, City, University of London and University of Essex - Essex Business School
Downloads 1 (932,912)
Citation 2

Abstract:

Loading...

bank performance, board diversity reforms, corporate governance codes

Board Diversity Reforms: Do They Matter for EU Bank Performance?

Posted: 29 Oct 2018
University of Milan, City University London - The Business School, Cass Business School, City, University of London and University of Essex - Essex Business School

Abstract:

Loading...

Board Diversity Reforms, Corporate Governance Codes, Bank Performance

14.

Credit Rating Migration Risk and Business Cycles

Journal of Business Finance & Accounting, Vol. 39, Issue 1‐2, pp. 229-263, 2012
Number of pages: 35 Posted: 03 Mar 2012
Fei Fei, Ana-Maria Fuertes and Elena Kalotychou
Barclays, Bayes Business School, City, University of London and Cass Business School, City, University of London
Downloads 1 (892,835)
Citation 2

Abstract:

Loading...

Basel III, credit risk, default probability, out‐of‐sample prediction, procyclicality, rating migration, value‐at‐risk

15.

The Performance Effects of Board Heterogeneity: What Works for EU Banks?

The European Journal of Finance, Forthcoming
Posted: 29 Oct 2018
University of Milan, City University London - The Business School, Cass Business School, City, University of London and University of Essex - Essex Business School

Abstract:

Loading...

corporate governance, board composition, board diversity, bank performance

16.

An Overview of the Issues Surrounding Stock Market Volatility

STOCK MARKET VOLATILITY, G.N. Gregoriou, ed., Chapman Hall-CRC/Taylor and Francis, 2009
Posted: 26 Nov 2008 Last Revised: 07 Jul 2009
Elena Kalotychou and Sotiris K. Staikouras
Cass Business School, City, University of London and City University - Cass Business School

Abstract:

Loading...

Speculation, Information, Liquidity, Derivatives, Volatility modelling

17.

The UK Equity Market Around the Ex-Split Date

Journal of International Financial Markets, Institutions and Money, Vol. 19, pp. 534-549, 2009
Posted: 25 Nov 2007 Last Revised: 07 Jul 2009
Elena Kalotychou, Sotiris K. Staikouras and Maxim Zagonov
Cass Business School, City, University of London, City University - Cass Business School and Toulouse Business School, Université de Toulouse

Abstract:

Loading...

Stock splits, Ex-split date, Equity abnormal returns, Stock market volatility

18.

De Facto Versus De Jure Bank-Insurance Ventures in the Greek Market

The Geneva Papers on Risk and Insurance, Vol. 32, pp. 246-263, 2007
Posted: 17 Nov 2006 Last Revised: 15 Apr 2010
Elena Kalotychou and Sotiris K. Staikouras
Cass Business School, City, University of London and City University - Cass Business School

Abstract:

Loading...

Bancassurance ventures, Financial Institutions, Insurance markets, Banking industry

19.

Interest Rate Fluctuations and the UK Financial Services Industry

Applied Financial Economics Letters, Vol. 3, pp. 343-347, 2007
Posted: 17 Nov 2006 Last Revised: 07 Jul 2009
University of Piraeus - Department of Business Administration, Cass Business School, City, University of London and City University - Cass Business School

Abstract:

Loading...

Financial firms, Equity Returns, Interest Rate Surprises

20.

Volatility and Trading Activity in Short Sterling Futures

Applied Economics, Vol. 38, pp. 997-1005, 2006
Posted: 27 Sep 2005
Elena Kalotychou and Sotiris K. Staikouras
Cass Business School, City, University of London and City University - Cass Business School

Abstract:

Loading...

Short sterling futures, Information set, Volume, Open interest, GARCH modelling

21.

An Empirical Investigation of the Loan Concentration Risk in Latin America

Journal of Multinational Financial Management, Vol. 16, pp. 363-384, 2006
Posted: 29 Aug 2005 Last Revised: 07 Jul 2009
Elena Kalotychou and Sotiris K. Staikouras
Cass Business School, City, University of London and City University - Cass Business School

Abstract:

Loading...

Credit risk, sovereign default, financial crises, logit modeling, forecast evaluation

22.

Credit Exposure and Sovereign Risk Analysis: The Case of South America

Frontiers in Finance and Economics, Vol. 1, pp. 46-56, 2004
Posted: 30 Mar 2005
Elena Kalotychou and Sotiris K. Staikouras
Cass Business School, City, University of London and City University - Cass Business School

Abstract:

Loading...

Financial crises, Sovereign default, Logit modelling, Forecasting credit risk.

23.

Optimal Design of an Early Warning Systems for Sovereign Debt Crises

International Journal of Forecasting 23, 85-100
Posted: 29 Dec 2004 Last Revised: 11 Sep 2019
Ana-Maria Fuertes and Elena Kalotychou
Bayes Business School, City, University of London and Cass Business School, City, University of London

Abstract:

Loading...

Debt crises, K-means clustering, logistic regression, bank internal ratings, loss function, forecast combination