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

  • National and Kapodistrian University of Athens - Faculty of Economics

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

SCHOLARLY PAPERS

17

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17

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4

Scholarly Papers (17)

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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 1,233 (24,148)
Citation 3

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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
Apostolos Kourtis, George Dotsis and Raphael N. Markellos
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 684 (54,787)
Citation 11

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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 454 (91,239)

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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
George Dotsis, Vasiliki Makropoulou and Raphael N. Markellos
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 412 (102,151)

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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
George Dotsis, Raphael N. Markellos and Terence C. Mills
National and Kapodistrian University of Athens - Faculty of Economics, University of East Anglia (UEA) - Norwich Business School and Loughborough University - Department of Economics
Downloads 339 (127,203)

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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 317 (136,446)
Citation 2

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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 253 (171,885)
Citation 3

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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 233 (185,958)

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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 204 (210,731)
Citation 2

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

10.

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 195 (221,447)

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straddle, option implied absolute deviation

11.

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 108 (349,339)

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bank capital, Modigliani–Miller, loans create deposits

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 99 (370,151)

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irreversible investment decisions, zero lower bound, shadow interest rate

13.

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, National and Kapodistrian University of Athens - Faculty of Economics and University of East Anglia (UEA) - Norwich Business School
Downloads 98 (372,451)

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Q28, L51, H23

14.

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 76 (433,847)

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Monetary Policy, Implied Variance and Skewness, Agricultural Commodities

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
Dimitris K. Chronopoulos, George Dotsis and Nikolaos T. Milonas
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 23 (689,885)

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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
George Dotsis, Dimitris Psychoyios, George S. Skiadopoulos and George S. Skiadopoulos
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

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

Other Papers (1)

Total Downloads: 585
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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 585

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