Eirini Konstantinidi

University of Manchester - Manchester Business School

Booth Street West

Manchester, M15 6PB

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 34,957

SSRN RANKINGS

Top 34,957

in Total Papers Downloads

1,686

SSRN CITATIONS
Rank 34,274

SSRN RANKINGS

Top 34,274

in Total Papers Citations

21

CROSSREF CITATIONS

3

Scholarly Papers (9)

1.

Volatility Spillovers and the Effect of News Announcements

Journal of Banking and Finance, Forthcoming
Number of pages: 33 Posted: 17 Jul 2010 Last Revised: 11 Apr 2012
George J. Jiang, Eirini Konstantinidi and George S. Skiadopoulos
Washington State University, University of Manchester - Manchester Business School and Queen Mary, University of London, School of Economics and Finance
Downloads 510 (67,986)
Citation 11

Abstract:

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Contagion, Scheduled news announcements, Unscheduled news announcements, Implied volatility, Implied volatility index,Volatility spillovers

2.

A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion

Number of pages: 57 Posted: 17 May 2017 Last Revised: 10 Jan 2018
Danmarks Nationalbank, University of Manchester - Manchester Business School, Queen Mary, University of London, School of Economics and Finance and University of Piraeus
Downloads 410 (88,361)
Citation 4

Abstract:

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Option prices, Risk aversion, Risk-neutral moments, Real Economic Activity, Production economy model

3.

Jumps in Option Prices and Their Determinants: Real-Time Evidence from the E-Mini S&P 500 Option Market

Number of pages: 65 Posted: 17 Dec 2013 Last Revised: 29 Jul 2019
King's College, London, University of Manchester - Manchester Business School, Independent and Queen Mary, University of London, School of Economics and Finance
Downloads 250 (151,007)
Citation 2

Abstract:

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Co-Jumps, Jumps, Informed Traders, Liquidity, Option Markets, Scheduled News Announcements

How Does the Market Variance Risk Premium Vary Over Time? Evidence from S&P 500 Variance Swap Investment Returns

Number of pages: 54 Posted: 30 Sep 2014
Eirini Konstantinidi and George S. Skiadopoulos
University of Manchester - Manchester Business School and Queen Mary, University of London, School of Economics and Finance
Downloads 123 (280,338)
Citation 3

Abstract:

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Economic conditions, Predictability, Trading activity, Variance swaps, Variance risk premium, Volatility trading

How Does the Market Variance Risk Premium Vary Over Time? Evidence from S&P 500 Variance Swap Investment Returns

Journal of Banking and Finance, Forthcoming
Number of pages: 43 Posted: 02 Nov 2015
Eirini Konstantinidi and George S. Skiadopoulos
University of Manchester - Manchester Business School and Queen Mary, University of London, School of Economics and Finance
Downloads 80 (373,750)

Abstract:

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Funding illiquidity, Predictability, Variance swaps, Variance risk premium, Volatility trading

5.

Conservative Accounting and the Pricing of Risk: The Case of Research and Development

Number of pages: 37 Posted: 25 Jul 2017 Last Revised: 06 Jun 2019
University of Bristol - Department of Finance and Accounting, University of Exeter Business School - XFI Centre for Finance and Investment, University of Manchester - Manchester Business School and Bocconi University
Downloads 186 (199,236)
Citation 1

Abstract:

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R&D, Conservative Accounting, Duration, ICAPM.

6.

Accounting-Based Risk and the Valuation of R&D Intensive Firms

Number of pages: 48 Posted: 23 Jul 2018 Last Revised: 13 Sep 2019
Dimos Andronoudis, Christina Dargenidou and Eirini Konstantinidi
University of Bristol - Department of Finance and Accounting, University of Exeter Business School - XFI Centre for Finance and Investment and University of Manchester - Manchester Business School
Downloads 127 (272,537)

Abstract:

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R&D, Risk Relevance, Cash Flows, Variance Decomposition

7.

Jumps in Option Prices and Their Determinants: Real-Time Evidence From the E-Mini S&P 500 Options Market

Journal of Financial Markets, Vol. 46, 2019
Posted: 04 Dec 2019
King's College, London, University of Manchester - Manchester Business School, Independent and Queen Mary, University of London, School of Economics and Finance

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Asymmetric information, co-jump, limit order book market, liquidity, option market, news announcement

8.

Are VIX Futures Prices Predictable? An Empirical Investigation

International Journal of Forecasting, Vol. 27, No. 2, pp. 543-560, 2011
Posted: 23 Aug 2008 Last Revised: 02 Feb 2011
Eirini Konstantinidi and George S. Skiadopoulos
University of Manchester - Manchester Business School and Queen Mary, University of London, School of Economics and Finance

Abstract:

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Bootstrapping, interval forecasts, Market efficiency, Performance measures, Predictability, VIX, Volatility futures

9.

Can the Evolution of Implied Volatility Be Forecasted? Evidence from European and U.S. Implied Volatility Indices

Journal of Banking and Finance, Vol. 32, No. 11, 2008
Posted: 04 Mar 2007 Last Revised: 24 Oct 2008
Eirini Konstantinidi, George S. Skiadopoulos and Emilia Tzagkaraki
University of Manchester - Manchester Business School, Queen Mary, University of London, School of Economics and Finance and University of Piraeus

Abstract:

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Implied volatility, Implied volatility indices, Interval forecasts, Market efficiency, Predictability, Volatility derivatives