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

SCHOLARLY PAPERS

14

DOWNLOADS
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3,791

CITATIONS
Rank 36,292

SSRN RANKINGS

Top 36,292

in Total Papers Citations

5

Scholarly Papers (14)

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
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
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
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
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
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
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