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

17

DOWNLOADS
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4,539

SSRN CITATIONS
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SSRN RANKINGS

Top 36,718

in Total Papers Citations

17

CROSSREF CITATIONS

4

Scholarly Papers (17)

1.

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

Number of pages: 34 Posted: 29 Aug 2016 Last Revised: 02 Dec 2019
George Dotsis
National and Kapodistrian University of Athens - Faculty of Economics
Downloads 1,215 (23,634)
Citation 3

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 682 (52,801)
Citation 11

Abstract:

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Portfolio Choice, Inverse Covariance Matrix, Parameter Uncertainty, Shrinkage

3.

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 446 (89,542)

Abstract:

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

4.

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 411 (98,452)

Abstract:

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Real Options, Estimation Risk, Investment Evaluation, Uncertainty Aversion

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 338 (122,744)

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 316 (131,599)
Citation 2

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 251 (166,772)
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 231 (180,637)

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 202 (204,774)
Citation 2

Abstract:

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

10.

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

Number of pages: 26 Posted: 28 Mar 2019 Last Revised: 09 Nov 2020
George Dotsis
National and Kapodistrian University of Athens - Faculty of Economics
Downloads 97 (361,506)

Abstract:

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bank capital, Modigliani–Miller, loans create deposits

11.

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 97 (361,506)

Abstract:

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Q28, L51, H23

12.

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 95 (366,164)

Abstract:

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irreversible investment decisions, zero lower bound, shadow interest rate

13.

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 74 (424,545)

Abstract:

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Monetary Policy, Implied Variance and Skewness, Agricultural Commodities

14.

A New Index of Option Implied Absolute Deviation

Number of pages: 42 Posted: 21 Jan 2021 Last Revised: 18 Jan 2022
George Dotsis
National and Kapodistrian University of Athens - Faculty of Economics
Downloads 63 (461,841)

Abstract:

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straddle, option implied absolute deviation

15.

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 21 (677,354)

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Sovereign Debt, Home Bias, Moral Suasion, Government Ownership

16.

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 University of Piraeus, Department of Banking and Financial ManagementQueen 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

17.

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: 564
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 564

Abstract:

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