George Dotsis

National and Kapodistrian University of Athens - Faculty of Economics

Assistant Professor in Finance

Greece

http://sites.google.com/site/gdotsis/

Essex Finance Centre, Essex Business School, University of Essex

Senior Research Fellow

Wivenhoe Park

Colchester, CO4 3SQ

United Kingdom

SCHOLARLY PAPERS

16

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4,088

SSRN CITATIONS
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Top 38,916

in Total Papers Citations

10

CROSSREF CITATIONS

4

Scholarly Papers (16)

1.

Option Pricing Methods in the City of London during the Late 19th Century

Number of pages: 33 Posted: 29 Aug 2016 Last Revised: 17 Dec 2018
George Dotsis
National and Kapodistrian University of Athens - Faculty of Economics
Downloads 1,090 (19,259)
Citation 2

Abstract:

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Straddle, absolute deviation, put-call parity

2.

Parameter Uncertainty in Portfolio Selection: Shrinking the Inverse Covariance Matrix

Journal of Banking and Finance, Vol. 36, No. 9, pp. 2522-2531, 2012
Number of pages: 35 Posted: 16 Feb 2009 Last Revised: 10 Sep 2012
University of East Anglia (UEA) - Norwich Business School, National and Kapodistrian University of Athens - Faculty of Economics and University of East Anglia (UEA) - Norwich Business School
Downloads 650 (39,818)
Citation 7

Abstract:

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Portfolio Choice, Inverse Covariance Matrix, Parameter Uncertainty, Shrinkage

3.

Offshore Petroleum Lease Evaluation under Uncertainty and Volatility Estimation Risk

Number of pages: 16 Posted: 10 Oct 2006 Last Revised: 03 Dec 2008
National and Kapodistrian University of Athens - Faculty of Economics, Athens University of Economics and Business - Department of Management Science and University of East Anglia (UEA) - Norwich Business School
Downloads 407 (72,074)

Abstract:

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Real Options, Estimation Risk, Investment Evaluation, Uncertainty Aversion

4.

Delta Hedging Under Estimation Risk

Number of pages: 15 Posted: 17 May 2007
George Dotsis
National and Kapodistrian University of Athens - Faculty of Economics
Downloads 400 (73,524)

Abstract:

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Hedging errors, estimation risk, volatility mis-estimation,realised drift

5.

Estimation of Continuous-Time Stochastic Volatility Models

HANDBOOK OF ECONOMETRICS, Vol. 2, Palgrave, Forthcoming
Number of pages: 32 Posted: 04 Nov 2008 Last Revised: 03 Dec 2008
National and Kapodistrian University of Athens - Faculty of Economics, University of East Anglia (UEA) - Norwich Business School and Loughborough University - Department of Economics
Downloads 325 (93,179)

Abstract:

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6.

The Market Price of Risk of the Variance Term Structure

Number of pages: 44 Posted: 09 Sep 2009 Last Revised: 26 Apr 2011
George Dotsis
National and Kapodistrian University of Athens - Faculty of Economics
Downloads 301 (101,392)
Citation 1

Abstract:

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stochastic volatility, volatility term structure, cross-section of returns

7.

Maximum Likelihood Estimation and Dynamic Asset Allocation with Non-Affine Volatility Processes

Number of pages: 42 Posted: 23 May 2008 Last Revised: 03 Feb 2009
Kyriakos Chourdakis and George Dotsis
FitchSolutions and National and Kapodistrian University of Athens - Faculty of Economics
Downloads 240 (128,607)
Citation 3

Abstract:

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Non-Affine Volatility, Integrated Volatility, Volatility Risk Premium, Markov Chain Approximation, Asset Allocation

8.

Investor Sentiment and Value and Growth Index Options

Number of pages: 37 Posted: 07 Aug 2011 Last Revised: 15 Dec 2011
Jerry Coakley, George Dotsis, Xiaoquan Liu and Jia Zhai
University of Essex - Essex Business School, National and Kapodistrian University of Athens - Faculty of Economics, Essex Business School and affiliation not provided to SSRN
Downloads 217 (141,940)

Abstract:

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Risk-neutral skewness, value premium, option market anomalies

9.

Corridor Volatility Risk and Expected Returns

Number of pages: 27 Posted: 09 Feb 2013
George Dotsis and Nikolaos Vlastakis
National and Kapodistrian University of Athens - Faculty of Economics and Essex Business School, University of Essex
Downloads 193 (158,510)
Citation 1

Abstract:

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corridor implied volatility, tail risk, cross-section of stock returns

10.

Environmental Policy Implications of Extreme Variations in Pollutant Stock Levels and Socioeconomic Costs

Number of pages: 39 Posted: 18 May 2007
Athens University of Economics and Business - Department of Management Science, National and Kapodistrian University of Athens - Faculty of Economics and University of East Anglia (UEA) - Norwich Business School
Downloads 95 (276,784)

Abstract:

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Q28, L51, H23

11.

Investment Under Uncertainty With a Zero Lower Bound on Interest Rates

Number of pages: 26 Posted: 21 Apr 2016 Last Revised: 18 Sep 2019
George Dotsis
National and Kapodistrian University of Athens - Faculty of Economics
Downloads 70 (332,458)

Abstract:

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irreversible investment decisions, zero lower bound, shadow interest rate

12.

Option-Implied Expectations in Commodity Markets and Monetary Policy

Number of pages: 55 Posted: 25 Feb 2016
Athanasios Triantafyllou and George Dotsis
University of Athens, School of Law, Economics & Political Science, Faculty of Economics, Students and National and Kapodistrian University of Athens - Faculty of Economics
Downloads 59 (363,076)

Abstract:

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Monetary Policy, Implied Variance and Skewness, Agricultural Commodities

13.

Bank Capital and the Modigliani-Miller Theorem When Loans Create Deposits

Number of pages: 36 Posted: 28 Mar 2019
George Dotsis
National and Kapodistrian University of Athens - Faculty of Economics
Downloads 34 (453,337)

Abstract:

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bank capital, Modigliani–Miller, loans create deposits

14.

International Evidence on the Determinants of Banks’ Home Sovereign Bond Holdings

Forthcoming in Journal of Financial Services Research
Number of pages: 32 Posted: 04 Sep 2019
University of St. Andrews - School of Management, National and Kapodistrian University of Athens - Faculty of Economics and National and Kapodistrian University of Athens - Faculty of Economics
Downloads 7 (607,247)

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Sovereign Debt, Home Bias, Moral Suasion, Government Ownership

15.

An Empirical Comparison of Continuous-Time Models of Implied Volatility Indices

Journal of Banking and Finance, Vol. 31, No. 12, pp. 3584-3603, 2007
Posted: 27 Jan 2007 Last Revised: 03 Jan 2008
National and Kapodistrian University of Athens - Faculty of Economics, University of Piraeus - Department of Industrial Management and Queen Mary, University of London, School of Economics and Finance

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Continuous time estimation, Conditional characteristic function, Implied volatility indices, Volatility derivatives, VIX futures

16.

The Finite Sample Properties of the GARCH Option Pricing Model

Journal of Future Markets, Forthcoming
Posted: 04 Oct 2006
George Dotsis and Raphael N. Markellos
National and Kapodistrian University of Athens - Faculty of Economics and University of East Anglia (UEA) - Norwich Business School

Abstract:

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GARCH, European Options, Maximum Likelihood, Bias Reduction, Jackknife

Other Papers (1)

Total Downloads: 427
1.

An Application of Bootstrapping in Option Pricing

Athens University of Economics and Business, MSL Working Paper
Number of pages: 33 Posted: 08 Feb 2005 Last Revised: 02 Nov 2008
George Dotsis and Raphael N. Markellos
National and Kapodistrian University of Athens - Faculty of Economics and University of East Anglia (UEA) - Norwich Business School
Downloads 427

Abstract:

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Option Pricing, Bootstrapping, Asymptotic Theory, Estimation Risk, American Options