George S. Skiadopoulos

University of Piraeus

Assistant Professor

80 Karaoli & Dimitriou Str.

18534 Piraeus, 185 34 -GR

Greece

http://web.xrh.unipi.gr/faculty/gskiadopoulos/

Queen Mary, University of London, School of Economics and Finance

Lincoln's Inn Fields

Mile End Rd.

London, E1 4NS

United Kingdom

SCHOLARLY PAPERS

34

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CITATIONS
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47

Scholarly Papers (34)

1.

Measuring the Market Risk of Freight Rates: A Value-at-Risk Approach

International Journal of Theoretical and Applied Finance, Vol. 11, No. 5, pp. 447-469, 2008
Number of pages: 28 Posted: 29 May 2007 Last Revised: 24 Oct 2008
Timotheos Angelidis and George S. Skiadopoulos
University of Peloponnese - Department of Economics and University of Piraeus
Downloads 1,110 (12,619)
Citation 2

Abstract:

Backtesting, Expected Shortfall, Forward Freight Agreements, Freight Markets, Freight Rates, Value-at-Risk

2.

Should Investors Include Commodities in Their Portfolios After All? New Evidence

Journal of Banking and Finance, Vol. 35, No. 10, 2011
Number of pages: 56 Posted: 05 Aug 2010 Last Revised: 27 Nov 2011
Charoula Daskalaki and George S. Skiadopoulos
University of Piraeus and University of Piraeus
Downloads 1,065 (15,465)
Citation 13

Abstract:

Asset allocation, Commodity boom, Commodity futures, Commodity indexes. Spanning, Performance evaluation

Market Timing with Option-Implied Distributions: A Forward-Looking Approach

Number of pages: 56 Posted: 23 Oct 2008 Last Revised: 07 Mar 2011
Alexandros Kostakis, Nikolaos Panigirtzoglou and George S. Skiadopoulos
University of Manchester - Manchester Business School, Queen Mary, University of London and University of Piraeus
Downloads 818 (22,578)
Citation 11

Abstract:

Asset allocation, Option-implied distributions, Market timing, Performance evaluation, Portfolio Choice, Risk aversion

Market Timing with Option-Implied Distributions: A Forward-Looking Approach

Management Science, Vol. 57, No. 7, pp. 1231-1249, 2011
Posted: 24 Nov 2011 Last Revised: 27 Nov 2011
Alexandros Kostakis, Nikolaos Panigirtzoglou and George S. Skiadopoulos
University of Manchester - Manchester Business School, Queen Mary, University of London and University of Piraeus

Abstract:

asset allocation, option-implied distributions, market timing, performance evaluation, portfolio

Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 49 Posted: 31 Dec 2010 Last Revised: 12 Mar 2012
Michael Neumann and George S. Skiadopoulos
Bank of America - Bank of America Merrill Lynch and University of Piraeus
Downloads 453 (49,884)
Citation 3

Abstract:

Implied volatility surface, Market efficiency, Model confidence set, Option strategies, Risk-neutral skewness, Risk-neutral kurtosis

Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options

Journal of Financial and Quantitative Analysis, Forthcoming
Posted: 12 Mar 2012
Michael Neumann and George S. Skiadopoulos
Bank of America - Bank of America Merrill Lynch and University of Piraeus

Abstract:

Implied volatility surface, Market efficiency, Model confidence set, Option strategies, Risk-neutral skewness, Risk-neutral kurtosis

5.

The Informational Content of Financial Options for Quantitative Asset Management: A Review

HANDBOOK OF QUANTITIVE ASSET MANAGEMENT, B. Scherer, K. Winston, ed., Oxford University Press, Forthcoming
Number of pages: 36 Posted: 01 Nov 2009 Last Revised: 29 Mar 2012
Daniel Giamouridis and George S. Skiadopoulos
Bank of America - Bank of America Merrill Lynch and University of Piraeus
Downloads 413 (47,658)
Citation 3

Abstract:

Beta, Implied distributions, Implied volatility, Options, Portfolio construction, Stock selection, Value-at-Risk

Are There Common Factors in Individual Commodity Futures Returns?

Journal of Banking and Finance, Forthcoming
Number of pages: 49 Posted: 13 May 2012 Last Revised: 09 Dec 2013
Charoula Daskalaki, Alexandros Kostakis and George S. Skiadopoulos
University of Piraeus, University of Manchester - Manchester Business School and University of Piraeus
Downloads 401 (57,995)
Citation 1

Abstract:

Common factors, Commodity-specific factors, Hedging pressure, Inventories, Market segmentation, Principal components analysis

Are There Common Factors in Individual Commodity Futures Returns?

Journal of Banking and Finance, Forthcoming
Posted: 10 Dec 2013
Charoula Daskalaki, Alexandros Kostakis and George S. Skiadopoulos
University of Piraeus, University of Manchester - Manchester Business School and University of Piraeus

Abstract:

Common factors, Commodity-specific factors, Hedging pressure, Inventories, Market segmentation, Principal components analysis

7.

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 University of Piraeus
Downloads 382 (54,668)

Abstract:

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

Are Freight Futures Markets Efficient? Evidence from IMAREX

Number of pages: 31 Posted: 01 Apr 2010 Last Revised: 27 Nov 2011
Lambros Goulas and George S. Skiadopoulos
Systemic Risk Management and University of Piraeus
Downloads 356 (66,757)

Abstract:

Freight markets; Freight rate; IMAREX freight futures; Interval forecasts; Market efficiency, Model Confidence Set

Are Freight Futures Markets Efficient? Evidence from Imarex

International Journal of Forecasting, Forthcoming
Posted: 26 Nov 2011
Lambros Goulas and George S. Skiadopoulos
Systemic Risk Management and University of Piraeus

Abstract:

Freight markets, Freight rate, IMAREX freight futures, Interval forecasts, Market efficiency, Model Confidence Set

9.

The Greek Implied Volatility Index: Construction and Properties

Number of pages: 25 Posted: 25 Mar 2004
George S. Skiadopoulos
University of Piraeus
Downloads 330 (70,628)
Citation 13

Abstract:

Granger causality tests, implied volatility indices, implied volatility spillover, volatility derivatives

10.

Modeling the Dynamics of Temperature with a View to Weather Derivatives

Number of pages: 43 Posted: 06 Dec 2009 Last Revised: 22 Jan 2010
Gkaren Papazian and George S. Skiadopoulos
Accenture and University of Piraeus
Downloads 226 (102,917)

Abstract:

Point forecasts, Predictability, Principal Components, Temperature, Temperature indices

The Effects of Margin Changes on Commodity Futures Markets

Number of pages: 47 Posted: 06 Aug 2012 Last Revised: 17 Oct 2013
Charoula Daskalaki and George S. Skiadopoulos
University of Piraeus and University of Piraeus
Downloads 217 (114,877)

Abstract:

Funding constraints, Hedging, Market liquidity, Margins, Price stability, Speculators

The Effects of Margin Changes on Commodity Futures Markets

Journal of Financial Stability, Vol. 22, 2016
Posted: 05 Apr 2016
Charoula Daskalaki and George S. Skiadopoulos
University of Piraeus and University of Piraeus

Abstract:

Commodities, Hedging, Market liquidity, Margins, Speculators.

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 University of Piraeus
Downloads 105 (213,844)

Abstract:

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 University of Piraeus
Downloads 69 (279,785)

Abstract:

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

13.

Capital Structure and Financial Flexibility: Expectations of Future Shocks

Number of pages: 55 Posted: 21 Sep 2014 Last Revised: 11 Aug 2015
Costas Lambrinoudakis, Michael Neumann and George S. Skiadopoulos
University of Piraeus - Department of Banking and Financial Management, Bank of America - Bank of America Merrill Lynch and University of Piraeus
Downloads 170 (105,577)

Abstract:

Capital structure, Financial flexibility, Options, Risk-neutral volatility, Risk-neutral kurtosis

14.

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

Number of pages: 76 Posted: 17 Dec 2013 Last Revised: 23 Jun 2014
George Kapetanios, Michael Neumann and George S. Skiadopoulos
University of London - Queen Mary College - Department of Economics, Bank of America - Bank of America Merrill Lynch and University of Piraeus
Downloads 95 (158,682)

Abstract:

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

15.

Risk-Neutral Skewness and Stock Outperformance

Number of pages: 65 Posted: 06 Jun 2017
Queen Mary University of London, School of Economics and Finance, University of Manchester - Manchester Business School, University of Piraeus and University of Manchester - Manchester Business School
Downloads 0 (285,726)

Abstract:

Risk-Neutral Skewness, Stock Underpricing, Downside Risk, Option-Implied Information, Price Discovery

16.

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

Number of pages: 59 Posted: 17 May 2017
Queen Mary, University of London, University of Manchester - Manchester Business School, University of Piraeus and University of Piraeus
Downloads 0 (307,876)

Abstract:

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

17.

Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach

Number of pages: 57 Posted: 02 Nov 2015 Last Revised: 23 Nov 2016
Charoula Daskalaki, George S. Skiadopoulos and Nikolas Topaloglou
University of Piraeus, University of Piraeus and Athens University of Economics and Business
Downloads 0 (220,205)

Abstract:

Alternative asset class, Commodity indices, Portfolio choice, Stochastic dominance

18.

Advances in the Commodity Futures Literature: A Review

Journal of Derivatives, Vol. 20, No. 3, 2013
Posted: 24 Aug 2013
George S. Skiadopoulos
University of Piraeus

Abstract:

Alternative investments, Asset allocation, Asset pricing, Commodity futures, Margins

19.

Investing in Commodities: Popular Beliefs and Misconceptions

Journal of Asset Management, Vol. 13, No. 2, pp. 77-83, 2012
Posted: 12 Mar 2012
George S. Skiadopoulos
University of Piraeus

Abstract:

Asset allocation, Hedging pressure, Commodity futures, Commodity Index, Performance evaluation

20.

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 University of Piraeus

Abstract:

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

21.

Can the Dynamics of the Term Structure of Petroleum Futures be Forecasted? Evidence from Major Markets

Chantziara, T., and Skiadopoulos, G. (2008): ┬┐Can the Dynamics of the Term Structure of Petroleum Futures be forecasted? Evidence from Major Markets┬┐, Energy Economics, 30:3, pp. 962-985., Energy Economics, Vol. 30, No. 3, 2008,
Posted: 29 Apr 2008 Last Revised: 24 Oct 2008
Thalia Chantziara and George S. Skiadopoulos
New York University and University of Piraeus

Abstract:

Petroleum futures, Principal components analysis, Predictability, Spillovers, Term structure of futures prices

22.

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, University of Piraeus and University of Piraeus

Abstract:

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

23.

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 and George S. Skiadopoulos
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

24.

Volatility Options: Hedging Effectiveness, Pricing, and Model Error

Journal of Futures Markets, Vol. 26, No. 1, pp. 1-31, 2006
Posted: 13 Dec 2005
Dimitris Psychoyios and George S. Skiadopoulos
University of Piraeus - Department of Industrial Management and University of Piraeus

Abstract:

Hedging Effectiveness, Model Error, Monte Carlo Simulation, Stochastic Volatility, Volatility risk, Volatility Options

25.

Implied Volatility Trees and Pricing Performance: Evidence from the S&P 100 Options

International Journal of Theoretical and Applied Finance, Vol. 8, No. 8, pp. 1085-1106, 2005
Posted: 12 Dec 2005
Charilaos E. Linaras and George S. Skiadopoulos
Hellenic Petroleum Group - EKO-ELDA A.B.E.E. and University of Piraeus

Abstract:

Implied volatility, Implied volatility trees, Option Pricing

26.

A New Approach to Modeling the Dynamics of Implied Distributions: Theory and Evidence from the S&P 500 Options

Journal of Banking and Finance, Vol. 28, Vol. 7, pp. 1499-1520, 2004
Posted: 12 Sep 2005
Nikolaos Panigirtzoglou and George S. Skiadopoulos
Queen Mary, University of London and University of Piraeus

Abstract:

Implied cumulative distribution function, Monte Carlo Simulation, Option Pricing, Principal Components Analysis, Value-at-Risk.

27.

The Effect of Mis-Estimating Correlation on Value-at-Risk

Journal of Alternative Investments, Vol. 7, No. 4, pp. 66-82, 2005
Posted: 02 May 2005
Vasiliki D. Skintzi, George S. Skiadopoulos and Apostolos N. Refenes
Athens University of Economics and Business - Department of Management Science and Technology, University of Piraeus and Athens University of Economics and Business - Financial Engineering Research Centre

Abstract:

Value-at-Risk, Correlation Mis-Estimation, Monte Carlo Simulation, Variance-Covariance Methods, Model Error

28.

Volatility Smile Consistent Option Models: A Survey

International Journal of Theoretical and Applied Finance, Vol. 4, No. 3, pp. 403-437
Posted: 10 Dec 2003
George S. Skiadopoulos
University of Piraeus

Abstract:

29.

VaR: History or Simulation?

Risk, Vol. 16, No. 9, pp. 122-127, 2003
Posted: 09 Nov 2003
George S. Skiadopoulos, Greg Lambadiaris, Louiza Papadopoulou and Yiannis Zoulis
University of Piraeus, Independent, Nova Bank and Independent

Abstract:

Value-at-Risk, Historical Simulation, Monte Carlo Simulation, Principal Components Analysis, Greek bond and stock portfolios

30.

A Review of Stochastic Volatility Processes: Properties and Implications

Journal of Risk Finance, Vol. 4, No. 3, Spring 2003
Posted: 28 Jun 2003
Dimitris Psychoyios, George S. Skiadopoulos and Panayotis Alexakis
University of Piraeus - Department of Industrial Management, University of Piraeus and Athens Stock Exchange

Abstract:

31.

Simulating the Evolution of the Implied Distribution

European Financial Management Journal
Posted: 19 Jan 2001
George S. Skiadopoulos and Stewart D. Hodges
University of Piraeus and University of Warwick - Financial Options Research Centre (FORC)

Abstract:

Smile-consistent stochastic volatility models,

32.

The Dynamics of the S&P 500 Implied Volatility Surface

Review of Derivatives Research, Vol. 3, No. 3, 1999
Posted: 27 Mar 2000
George S. Skiadopoulos, Stewart D. Hodges and Les Clewlow
University of Piraeus, University of Warwick - Financial Options Research Centre (FORC) and Lacima

Abstract:

33.

The Dynamics of Implied Volatility Surfaces

FORC preprint: 1998/86
Posted: 16 Sep 1998
Les Clewlow, Stewart D. Hodges and George S. Skiadopoulos
Lacima, University of Warwick - Financial Options Research Centre (FORC) and University of Piraeus

Abstract:

34.

The Dynamics of Smiles

FORC series Pre-Prints: 98/85
Posted: 07 May 1998
George S. Skiadopoulos, Stewart D. Hodges and Les Clewlow
University of Piraeus, University of Warwick - Financial Options Research Centre (FORC) and Lacima

Abstract: