Dimitrios P. Louzis

Athens University of Economics and Business

47A Evelpidon

Athens, 11362

Greece

Bank of Greece

21 E. Venizelos Avenue

GR 102 50 Athens

Greece

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 21,316

SSRN RANKINGS

Top 21,316

in Total Papers Downloads

2,290

SSRN CITATIONS
Rank 18,548

SSRN RANKINGS

Top 18,548

in Total Papers Citations

11

CROSSREF CITATIONS

33

Scholarly Papers (6)

1.

Macroeconomic and Bank-Specific Determinants of Non-Performing Loans in Greece: A Comparative Study of Mortgage, Business and Consumer Loan Portfolios

Bank of Greece Working Paper 118
Number of pages: 44 Posted: 06 Nov 2010 Last Revised: 08 Nov 2010
Dimitrios P. Louzis, Angelos T. Vouldis and Vasilios L. Metaxas
Athens University of Economics and Business, European Central Bank (ECB) and Bank of Greece
Downloads 1,121 (18,753)
Citation 24

Abstract:

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Non-perfoming loans, Greek banking system, Macroeconomic determinants, Bank specific determinants, Dynamic panel data

2.
Downloads 373 ( 80,840)
Citation 6

A Financial Systemic Stress Index for Greece

Number of pages: 40 Posted: 10 Jan 2011
Dimitrios P. Louzis and Angelos T. Vouldis
Athens University of Economics and Business and European Central Bank (ECB)
Downloads 213 (146,128)
Citation 6

Abstract:

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Financial crisis, systemic stress, stress index, multivariate GARCH

A Financial Systemic Stress Index for Greece

ECB Working Paper No. 1563
Number of pages: 48 Posted: 12 Aug 2013
Dimitrios P. Louzis and Angelos T. Vouldis
Athens University of Economics and Business and European Central Bank (ECB)
Downloads 160 (189,670)

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Financial crisis, systemic stress, stress index, multivariate GARCH

3.

Forecasting Stock Index Realized Volatility with an Asymmetric HAR-FIGARCH Model: The Case of S&P 500 and DJI Stock Indices

Number of pages: 38 Posted: 19 Dec 2009 Last Revised: 31 Jan 2010
Athens University of Economics and Business, Athens University of Economics and Business - Department of Management Science and Technology and Athens University of Economics and Business - Financial Engineering Research Centre
Downloads 283 (109,943)
Citation 1

Abstract:

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Volatility Forecasting, Long Memory Models, High Frequency Data, HAR, Leverage Effects

4.

Measuring Return and Volatility Spillovers in Euro Area Financial Markets

Number of pages: 31 Posted: 02 Oct 2012
Dimitrios P. Louzis
Athens University of Economics and Business
Downloads 219 (142,668)
Citation 6

Abstract:

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asset markets, spillovers, vector autoregressive, Euro area, financial crisis

5.

Are Realized Volatility Models Good Candidates for Alternative Value at Risk Prediction Strategies?

Number of pages: 63 Posted: 19 Apr 2011
Athens University of Economics and Business, Athens University of Economics and Business - Department of Management Science and Technology and Athens University of Economics and Business - Financial Engineering Research Centre
Downloads 157 (192,534)
Citation 7

Abstract:

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High frequency intraday data, Filtered Historical Simulation, Extreme Value Theory, Value-at-Risk forecasting, Financial crisis

6.

The Role of High Frequency Intra-Daily Data, Daily Range and Implied Volatility in Multi-Period Value-at-Risk Forecasting

Number of pages: 39 Posted: 10 Dec 2011 Last Revised: 10 Nov 2012
Athens University of Economics and Business, Athens University of Economics and Business - Department of Management Science and Technology and Athens University of Economics and Business - Financial Engineering Research Centre
Downloads 137 (215,343)
Citation 5

Abstract:

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Realized GARCH, Value-at-Risk, multiple forecasting horizons, alternative volatility measures, microstructure noise, price jumps