Dimitrios D. Thomakos

University of Athens, Department of Business Administration

University of Athens, School of Economics & Political Science

Athens

Greece

http://ba.uoa.gr/

SCHOLARLY PAPERS

39

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18,937

SSRN CITATIONS
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SSRN RANKINGS

Top 47,175

in Total Papers Citations

10

CROSSREF CITATIONS

7

Scholarly Papers (39)

1.

An Improved Moving Average Technical Trading Rule

Quantf Research Working Paper Series No. WP01/2014
Number of pages: 32 Posted: 13 Sep 2011 Last Revised: 02 Jun 2014
Fotis Papailias and Dimitrios D. Thomakos
King’s College London - King's Business School and University of Athens, Department of Business Administration
Downloads 4,732 (3,635)

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Dow Jones, ETF, Exchange Rate, Moving average, Price cross-over, S&P500, Threshold, Trailing stop, Technical analysis, Technical Trading, Trading strategies

2.

Market Timing & Trading Strategies Using Asset Rotation

Number of pages: 31 Posted: 18 Jan 2010 Last Revised: 19 Feb 2010
Panagiotis Schizas and Dimitrios D. Thomakos
University of Zurich - Department of Banking and Finance and University of Athens, Department of Business Administration
Downloads 3,442 (6,192)

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Exchange Traded Funds, forecasting, market timing, sign predictions, statistical arbitrage, technical trading, volatility timing

3.

Pairs Trading on International ETFs

Number of pages: 56 Posted: 14 Nov 2011
Panagiotis Schizas, Dimitrios D. Thomakos and Tao Wang
University of Zurich - Department of Banking and Finance, University of Athens, Department of Business Administration and City University of New York (CUNY) - Department of Economics
Downloads 2,375 (11,169)
Citation 2

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convergence/divergence of prices, exchange traded funds, ETF, Fama-French, international asset pricing, long and short strategies, market neutral strategies, mean reversion

4.

Return Signal Momentum

Journal of Banking and Finance, Forthcoming, QMS Research Paper 2019/04
Number of pages: 62 Posted: 22 May 2017 Last Revised: 16 Feb 2021
Fotis Papailias, Jiadong Liu and Dimitrios D. Thomakos
King’s College London - King's Business School, Queen's University Belfast - Queen's Management School and University of Athens, Department of Business Administration
Downloads 1,653 (19,743)

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Return Sign, Trading Strategies, Market Timing, Time Series Momentum

5.

An Improved Moving Average Technical Trading Rule II: Can We Obtain Performance Improvements with Short Sales?

Quantf Research Working Paper Series No. WP02/2014
Number of pages: 45 Posted: 14 Nov 2011 Last Revised: 02 Jun 2014
Fotis Papailias and Dimitrios D. Thomakos
King’s College London - King's Business School and University of Athens, Department of Business Administration
Downloads 1,597 (20,805)
Citation 1

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ETF, Exchange Rate, Moving average, Price cross-over, S&P500, Short Sales, Stop and Reverse, Threshold, Trailing stop, Technical analysis, Technical Trading, Trading strategies

Accruals and Value/Growth Anomalies: New Evidence on Their Relation

Number of pages: 27 Posted: 16 Sep 2007 Last Revised: 22 Jun 2010
University of Piraeus, University of Piraeus - Department of Business Administration, University of Athens, Department of Business Administration and City University of New York (CUNY) - Department of Economics
Downloads 652 (72,513)

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accrual anomaly, value/growth anomaly, earnings management

Accruals and Value/Growth Anomalies: New Evidence on Their Relation

EFA 2008 Athens Meetings Paper
Number of pages: 27 Posted: 09 Mar 2008 Last Revised: 24 Jun 2010
University of Piraeus, University of Piraeus - Department of Business Administration, City University of New York (CUNY) - Department of Economics and University of Athens, Department of Business Administration
Downloads 351 (152,579)

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accrual anomaly, value/growth anomaly, earnings management

7.

Improved Moving Average (IMA) Strategies

Market Technician, Journal of the Society of Technical Analysts, Issue 72, May 2012
Number of pages: 6 Posted: 02 Jun 2014
Fotis Papailias and Dimitrios D. Thomakos
King’s College London - King's Business School and University of Athens, Department of Business Administration
Downloads 473 (109,328)

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Moving average, Trading Rules, Stop loss, Trailing stop

8.

The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies

Quantf Research Working Paper Series No. WP10/2014
Number of pages: 38 Posted: 21 Jul 2013 Last Revised: 02 Jun 2014
Fotis Papailias and Dimitrios D. Thomakos
King’s College London - King's Business School and University of Athens, Department of Business Administration
Downloads 421 (125,391)
Citation 1

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Baltic Dry Index, Commodities, Concordance, Cyclical Analysis, Forecasting, Turning Points

9.

Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration

Number of pages: 43 Posted: 27 Mar 2008 Last Revised: 14 Jun 2008
Dimitrios D. Thomakos
University of Athens, Department of Business Administration
Downloads 419 (126,079)
Citation 7

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cointegration, forecasting, linear filtering, singular spectrum analysis, smoothing, trend extraction and prediction, unit root

10.

Covariance Averaging for Improved Estimation and Portfolio Allocation

Quantf Research Working Paper Series No. WP11/2014
Number of pages: 30 Posted: 15 Jul 2013 Last Revised: 02 Jun 2014
Dimitrios D. Thomakos and Fotis Papailias
University of Athens, Department of Business Administration and King’s College London - King's Business School
Downloads 300 (181,791)

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Averaging, Covariance Estimation, Financial Returns, Multivariate Time Series, Portfolio Allocation, Risk Management, Rolling Window

11.

'Optimal' Probabilistic Predictions of Financial Returns

Number of pages: 29 Posted: 28 Nov 2007
Dimitrios D. Thomakos and Tao Wang
University of Athens, Department of Business Administration and City University of New York (CUNY) - Department of Economics
Downloads 274 (199,672)

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decomposition, direction, optimal, predictions, returns, sign forecasting, volatility

12.

Global FDI Convergence Patterns? Evidence from International Comparisons

Number of pages: 25 Posted: 13 Sep 2005
Dimitrios D. Thomakos and Constantina Kottaridi
University of Athens, Department of Business Administration and University of Piraeus
Downloads 254 (215,377)

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FDI, convergence, FDI, new economic geography, panel unit root

13.
Downloads 210 (258,412)

Consumer Confidence and Elections

Number of pages: 63 Posted: 09 Feb 2007
Dimitrios D. Thomakos and Gikas A. Hardouvelis
University of Athens, Department of Business Administration and University of Piraeus
Downloads 207 (261,097)

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consumer confidence, national elections, incumbent party, elections fatigue, macro-economy, fiscal conditions, political business cycle, EU-15, USA

Consumer Confidence and Elections

CEPR Discussion Paper No. DP6701
Number of pages: 61 Posted: 10 Jun 2008
Gikas A. Hardouvelis and Dimitrios D. Thomakos
University of Piraeus and University of Athens, Department of Business Administration
Downloads 3 (1,116,938)
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consumer confidence, EU-15, fiscal conditions, incumbent party, macro-economy, national elections, political business cycle, USA

14.

The Multinational Corporation and the Global Sourcing of Knowledge: Remodeling Absorptive Capacity

Number of pages: 16 Posted: 06 Dec 2007
University of Piraeus, Copenhagen Business School, Head of International Business Department and University of Athens, Department of Business Administration
Downloads 195 (276,505)
Citation 1

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Multinational Corporation, absorptive capacity, subsidiaries, knowledge

15.

Optimal Linear Filtering, Smoothing and Trend Extraction of M-Period Differences of Processes with a Unit Root

Number of pages: 46 Posted: 06 Nov 2008
Dimitrios D. Thomakos
University of Athens, Department of Business Administration
Downloads 168 (315,333)
Citation 2

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core inflation, business cycles, differences, euro, linear filtering, singular spectrum analysis, smoothing, trading strategies, trend extraction and prediction, unit root

16.

A Semiparametric Smooth Transition Arx Model for Nonlinear Time Series

Number of pages: 31 Posted: 17 Aug 2005
Dimitrios D. Thomakos
University of Athens, Department of Business Administration
Downloads 146 (354,588)

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Semiparametric, smooth transition, nonlinear, functional autoregression, MINPIN

17.

The Role of Realized Volatility in the Athens Stock Exchange

Multinational Finance Journal, Forthcoming
Number of pages: 44 Posted: 04 Feb 2005 Last Revised: 10 Jun 2009
Dimitrios D. Thomakos and Michail S. Koubouros
University of Athens, Department of Business Administration and University of Peloponnese - Department of Economics
Downloads 146 (354,588)

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realized volatility, leverage effect, volatility feedback effect, asset pricing, A.S.E.

18.

Local Functional Exponential Smoothing

Number of pages: 35 Posted: 17 Aug 2005
Dimitrios D. Thomakos
University of Athens, Department of Business Administration
Downloads 142 (362,651)

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Exponential smoothing, forecasting, nonlinear, nonparametric

19.

Median-Unbiased Optimal Smoothing and Trend Extraction

Number of pages: 25 Posted: 04 Dec 2008
Dimitrios D. Thomakos
University of Athens, Department of Business Administration
Downloads 126 (397,695)

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Hodrick-Prescott filter, local linear, moving average, singular spectrum analysis, smoothing, splines, time series, trend extraction, U.S. real GDP

20.

Improving Forecasting Performance by Window and Model Averaging

CAMA Working Paper Series 05/2011
Number of pages: 38 Posted: 09 Mar 2011
Prasad S. Bhattacharya and Dimitrios D. Thomakos
Deakin University - Department of Economics and University of Athens, Department of Business Administration
Downloads 119 (415,001)
Citation 1

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Exchange Rate Forecasting, Inflation Forecasting, Output Growth Forecasting, Rolling Window, Model Averaging, Short Horizon, Robustness

21.

Optimal Entry and Exit Trading Points using Functional Data Analysis

Number of pages: 32 Posted: 20 Dec 2023
Fotis Papailias, Dimitrios D. Thomakos and Tianyu Wu
King’s College London - King's Business School, University of Athens, Department of Business Administration and King's College London
Downloads 105 (454,853)

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Functional Time Series, Functional Data Analysis, Trading Algorithm, Investment Strategies

22.

Realized Volatility and Jumps in the Athens Stock Exchange

Number of pages: 27 Posted: 04 Nov 2009
Dimitrios D. Thomakos and Dimitrios I. Vortelinos
University of Athens, Department of Business Administration and University of Lincoln
Downloads 101 (467,708)

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Athens Stock Exchange, bipower variation, heterogeneous autoregressive models, realized volatility, volatility jumps

23.

A Note on Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots with Drift

Number of pages: 3 Posted: 28 Mar 2008 Last Revised: 14 Jun 2008
Dimitrios D. Thomakos
University of Athens, Department of Business Administration
Downloads 94 (490,526)

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drift, linear filtering, singular spectrum analysis, smoothing, trend extraction and prediction, unit root

24.

Inflation Dynamics & the Cross-Sectional Distribution of Prices in the E.U. Periphery

Number of pages: 35 Posted: 29 May 2007 Last Revised: 06 Dec 2007
Constantina Kottaridi, Diego Mendez-Carbajo and Dimitrios D. Thomakos
University of Piraeus, Illinois Wesleyan University and University of Athens, Department of Business Administration
Downloads 83 (530,035)

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Inflation, Cross-sectional distribution of prices,Greece, Portugal, Spain, European Union, Harmonization

25.

The Development and Evolution of Mean-Variance Efficient Portfolios in the US and Japan: 30 Years After the Markowitz and Ziemba Applications

Number of pages: 72 Posted: 17 Apr 2023
John Guerard, Dimitrios D. Thomakos, Foteini Kyriazi and Bijan Beheshti
Independent, University of Athens, Department of Business Administration, Agricultural University of Athens and Independent
Downloads 80 (541,837)

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portfolio selection, portfolio optimization, robust regression, earnings forecasting

26.

Naïve, Arima, Nonparametric, Transfer Function, and VAR Models: A Comparison of Forecasting Performance

International Journal of Forecasting, Vol. 20, No. 1, 2004
Number of pages: 29 Posted: 12 Mar 2016
Dimitrios D. Thomakos and John Guerard
University of Athens, Department of Business Administration and Independent
Downloads 72 (575,274)

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Forecasting, ARIMA

27.

'On the Predictability of the DJIA and S&P500 Indices'

Number of pages: 46 Posted: 27 Dec 2022
John Guerard, Dimitrios D. Thomakos, Foteini Kyriazi and Konstantinos Mamais
Independent, University of Athens, Department of Business Administration, Agricultural University of Athens and National and Kapodistrian University of Athens
Downloads 68 (593,151)

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forecasting financial prices, forecasting financial returns, leading economic indicator, return volatility, rolling window averaging.

28.

'Mind the Gap': Are Sovereign Spreads a Significant Factor for Explaining Income Inequality in the Euro-Zone Periphery?

Number of pages: 18 Posted: 25 Jun 2014
Christos Tsenes and Dimitrios D. Thomakos
EUROBANK Asset Management M.F.M.C., Global investment Advisory Division and University of Athens, Department of Business Administration
Downloads 38 (766,545)

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income inequality, inflation, growth, sovereign spreads, unemployment

29.

The Effects of Corporate Bonds on Employment: Early Evidence from Greece

Karagiannis, S. and Thomakos, D. (2020). "The Effects of Corporate Bonds on Employment: Early Evidence from Greece", Review of Economic Analysis, 12 (2), 235-253
Number of pages: 19 Posted: 17 Sep 2020
Sotirios Karagiannis and Dimitrios D. Thomakos
University of Peloponnese -School of Management, Economics and Informatics and University of Athens, Department of Business Administration
Downloads 36 (781,259)

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Corporate Bonds, Corporate Debt, Employment, Greek Economic Crisis, Recession

30.

Automatic Time Series Modelling and Forecasting: A Replication Case Study of Forecasting Real GDP, the Unemployment Rate, and the Impact of Leading Economic Indicators

Number of pages: 30 Posted: 07 May 2020
John Guerard, Dimitrios D. Thomakos and FOTEINH KYRIAZH
Independent, University of Athens, Department of Business Administration and University of Peloponesse
Downloads 36 (781,259)
Citation 2

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adaptive learning forecasting automatic time series modelling, forecasting, leading indicators

31.

The Role of Realised Volatility in the Athens Stock Exchange

Multinational Finance Journal, Vol. 15, No. 1/2, p. 87-124, 2011
Number of pages: 38 Posted: 25 Jun 2015
Dimitrios D. Thomakos and Michail S. Koubouros
University of Athens, Department of Business Administration and University of Peloponnese - Department of Economics
Downloads 29 (836,718)
Citation 1

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realized volatility; leverage effect; volatility feedback effect; asset pricing; A.S.E

32.

Managerial Discretion, Net Operating Assets and the Cross-Section of Stock Returns: Evidence from European Countries

Journal of International Financial Markets, Institutions and Money, Vol.47, pp. 188-210, 2017
Posted: 01 Dec 2016 Last Revised: 04 Apr 2017
Georgios A. Papanastasopoulos and Dimitrios D. Thomakos
University of Piraeus - Department of Business Administration and University of Athens, Department of Business Administration

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Net Operating Assets, Stock Returns, Managerial Discretion, European Equity Markets

33.

The Accrual Anomaly in the Greek Stock Market

Investment Management and Financial Innovations, Vol. 13, pp. 322-333, 2016.
Posted: 10 Aug 2016
Georgios A. Papanastasopoulos, Dimitrios D. Thomakos and Andreas Tsalas
University of Piraeus - Department of Business Administration, University of Athens, Department of Business Administration and University of Peloponnese

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accrual anomaly, Greek stock market

34.

Nonparametric Realized Volatility Estimation in the International Equity Markets

International Review of Financial Analysis, Vol. 28, pp. 34-45, 2013
Posted: 30 Jan 2015
Dimitrios I. Vortelinos and Dimitrios D. Thomakos
University of Lincoln and University of Athens, Department of Business Administration

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Realized volatility, Optimal sampling, Kernels, Two-scales, Moving average, Long memory, Jumps, Heterogeneous autoregressive models

35.

Corporate Financing Activities, Fundamentals to Price Ratios And the Cross Section of Stock Returns

Journal of Economic Studies, Vol. 40, pp. 493 - 514, 2013
Posted: 12 Jun 2013 Last Revised: 18 Nov 2014
Georgios A. Papanastasopoulos, Dimitrios D. Thomakos and Tao Wang
University of Piraeus - Department of Business Administration, University of Athens, Department of Business Administration and City University of New York (CUNY) - Department of Economics

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free cash flow yield, external financing activities, stock returns

36.

Accruals and the Performance of Stock Returns Following External Financing Activities

The British Accounting Review, Vol. 43, pp. 214-229, 2011
Posted: 26 Aug 2008 Last Revised: 06 Aug 2011
Georgios A. Papanastasopoulos, Dimitrios D. Thomakos and Tao Wang
University of Piraeus - Department of Business Administration, University of Athens, Department of Business Administration and City University of New York (CUNY) - Department of Economics

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External financing activities, accruals, stock returns

37.

External Financing, Growth and Stock Returns

European Financial Management, vol. 18, pp. 790-815, 2012
Posted: 17 Jul 2008 Last Revised: 31 May 2017
University of Piraeus, University of Piraeus - Department of Business Administration, University of Athens, Department of Business Administration and City University of New York (CUNY) - Department of Economics

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Corporate financing activities, value/growth, earnings quality, stock returns

38.

Information in Balance Sheets for Future Stock Returns: Evidence from Net Operating Assets

International Review of Financial Analysis, Vol. 20, pp. 269-282, 2011
Posted: 15 Oct 2006 Last Revised: 18 Jul 2011
Georgios A. Papanastasopoulos, Dimitrios D. Thomakos and Tao Wang
University of Piraeus - Department of Business Administration, University of Athens, Department of Business Administration and City University of New York (CUNY) - Department of Economics

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Net operating assets (NOA), stock returns, opportunistic earnings management, overinvestment.

39.

The Implications of Retained and Distributed Earnings for Future Profitability and Stock Returns

Review of Accounting and Finance, Vol. 9, pp. 395-423, 2010
Posted: 16 Feb 2006 Last Revised: 16 Nov 2010
Georgios A. Papanastasopoulos, Dimitrios D. Thomakos and Tao Wang
University of Piraeus - Department of Business Administration, University of Athens, Department of Business Administration and City University of New York (CUNY) - Department of Economics

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retained earnings, distributed earnings, accruals, cash flows, profitability, stock returns