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 21,498

SSRN RANKINGS

Top 21,498

in Total Papers Downloads

1,814

CITATIONS
Rank 40,246

SSRN RANKINGS

Top 40,246

in Total Papers Citations

4

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 467 (25,683)
Citation 2

Abstract:

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

2.
Downloads 304 ( 83,155)
Citation 1

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 204 (125,685)
Citation 1

Abstract:

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 100 (227,619)
Citation 1

Abstract:

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 209 (101,674)

Abstract:

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 157 (125,446)

Abstract:

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 142 (163,177)

Abstract:

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 118 (192,249)
Citation 1

Abstract:

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