SSRN logo
Public User
Advanced Search

George Dotsis

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

  • University of Athens - Faculty of Economics

  • Essex Finance Centre, Essex Business School, University of Essex

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 10,319

SSRN RANKINGS

Top 10,319

in Total Papers Downloads

3,791

CITATIONS
Rank 36,292

SSRN RANKINGS

Top 36,292

in Total Papers Citations

5

Scholarly Papers (14)

Actions:
Email selected abstracts
1.

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
Apostolos Kourtis, George Dotsis and Raphael N. Markellos
University of East Anglia (UEA) - Norwich Business School, University of Athens - Faculty of Economics and University of East Anglia (UEA) - Norwich Business School
Downloads 545 (35,374)
Citation 1

Abstract:

Portfolio Choice, Inverse Covariance Matrix, Parameter Uncertainty, Shrinkage

2.

Offshore Petroleum Lease Evaluation under Uncertainty and Volatility Estimation Risk

Number of pages: 16 Posted: 10 Oct 2006 Last Revised: 03 Dec 2008
George Dotsis, Vasiliki Makropoulou and Raphael N. Markellos
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 392 (60,600)

Abstract:

Real Options, Estimation Risk, Investment Evaluation, Uncertainty Aversion

3.

Delta Hedging Under Estimation Risk

Number of pages: 15 Posted: 17 May 2007
George Dotsis
University of Athens - Faculty of Economics
Downloads 372 (62,804)

Abstract:

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

4.

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
George Dotsis, Raphael N. Markellos and Terence C. Mills
University of Athens - Faculty of Economics, University of East Anglia (UEA) - Norwich Business School and Loughborough University - Department of Economics
Downloads 298 (78,816)

Abstract:

5.

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
University of Athens - Faculty of Economics
Downloads 227 (92,333)

Abstract:

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

6.

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 University of Athens - Faculty of Economics
Downloads 225 (110,659)
Citation 3

Abstract:

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

7.

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, University of Athens - Faculty of Economics, Essex Business School and affiliation not provided to SSRN
Downloads 181 (126,593)
Citation 1

Abstract:

Risk-neutral skewness, value premium, option market anomalies

8.

Corridor Volatility Risk and Expected Returns

Number of pages: 27 Posted: 09 Feb 2013
George Dotsis and Nikolaos Vlastakis
University of Athens - Faculty of Economics and Essex Business School, University of Essex
Downloads 145 (140,873)

Abstract:

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

9.

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

Number of pages: 39 Posted: 18 May 2007
Vasiliki Makropoulou, George Dotsis and Raphael N. Markellos
Athens University of Economics and Business - Department of Management Science, University of Athens - Faculty of Economics and University of East Anglia (UEA) - Norwich Business School
Downloads 75 (247,783)

Abstract:

Q28, L51, H23

10.

Option Pricing Methods in the Late 19th Century

Number of pages: 27 Posted: 29 Aug 2016 Last Revised: 05 Sep 2017
George Dotsis
University of Athens - Faculty of Economics
Downloads 0 (17,817)

Abstract:

Straddle, absolute deviation, put-call parity

11.

Investment Under Uncertainty When Interest Rates Are at the Zero Lower Bound

Number of pages: 20 Posted: 21 Apr 2016
George Dotsis
University of Athens - Faculty of Economics
Downloads 0 (319,009)

Abstract:

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 University of Athens - Faculty of Economics
Downloads 0 (348,632)

Abstract:

Monetary Policy, Implied Variance and Skewness, Agricultural Commodities

13.

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
George Dotsis, Dimitris Psychoyios and George S. Skiadopoulos
University of Athens - Faculty of Economics, University of Piraeus - Department of Industrial Management and University of Piraeus

Abstract:

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

14.

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
University of Athens - Faculty of Economics and University of East Anglia (UEA) - Norwich Business School

Abstract:

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

Other Papers (1)

Total Downloads: 352    Citations: 0
Actions:
Email selected abstracts
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
University of Athens - Faculty of Economics and University of East Anglia (UEA) - Norwich Business School
Downloads 301

Abstract:

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

Submit a Paper Section 508 Text Only Pages

Quick Links

Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up

Rankings

Top Papers Top Authors Top Organizations

About

SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs
Elsevier logo
Copyright Terms and Conditions Privacy Policy

Cookies are used by this site. To decline or learn more, visit our Cookies page. This page was processed by apollobot1 in 0.459 seconds

Relx Group logo