Nikolaos Panigirtzoglou

Queen Mary, University of London

Mile End Road

London, London E1 4NS

United Kingdom

SCHOLARLY PAPERS

20

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SSRN CITATIONS
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Top 4,614

in Total Papers Citations

127

CROSSREF CITATIONS

126

Scholarly Papers (20)

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 Liverpool Management School, Queen Mary, University of London and Queen Mary, University of London, School of Economics and Finance
Downloads 861 (28,669)
Citation 22

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

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

2.

Option-Implied Risk Aversion Estimates: Robustness and Patterns

EFA 2002 Berlin Meetings Presented Paper; EFMA 2002 London Meetings, FRB Chicago Working Paper No. 2001-15
Number of pages: 40 Posted: 27 Feb 2002
Robert R. Bliss and Nikolaos Panigirtzoglou
Wake Forest University - Schools of Business and Queen Mary, University of London
Downloads 793 (32,647)
Citation 101

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Risk aversion, implied probability density functions

3.

Analysts' Earnings Forecasts and Equity Valuations

Bank of England Quarterly Bulletin, Spring 2002
Number of pages: 8 Posted: 26 Apr 2005
Nikolaos Panigirtzoglou and Robert Scammell
Queen Mary, University of London and Bank of England
Downloads 703 (38,441)
Citation 1

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4.

Using Affine Models of the Term Structure to Estimate Risk Premia

EFMA 2001 Lugano Meetings
Number of pages: 19 Posted: 25 Mar 2001
Nikolaos Panigirtzoglou
Queen Mary, University of London
Downloads 558 (52,110)
Citation 1

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Testing the Stability of Implied Probability Density Functions

BOE Working Paper No. 114
Number of pages: 52 Posted: 22 Nov 2000
Robert R. Bliss and Nikolaos Panigirtzoglou
Wake Forest University - Schools of Business and Queen Mary, University of London
Downloads 556 (51,724)
Citation 18

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Testing the Stability of Implied Probability Density Functions

Federal Reserve Bank of Chicago Working Paper No. 99-21
Posted: 13 Mar 2000
Robert R. Bliss and Nikolaos Panigirtzoglou
Wake Forest University - Schools of Business and Queen Mary, University of London

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6.

Decomposing Credit Spreads

Bank of England Working Paper No. 253
Number of pages: 32 Posted: 19 May 2005
Rohan Churm and Nikolaos Panigirtzoglou
Bank of England - Monetary Analysis and Queen Mary, University of London
Downloads 536 (54,844)
Citation 3

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Default, credit spreads, risk premia

7.

Recent Developments in Extracting Information from Options Markets

Bank of England Quarterly Bulletin, February 2000
Number of pages: 11 Posted: 01 Aug 2005
Roger Clews, Nikolaos Panigirtzoglou and James Proudman
Bank of England, Queen Mary, University of London and Bank of England, Monetary Instruments and Markets Division
Downloads 426 (72,842)
Citation 2

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8.

Recovering Risk Aversion from Options

Federal Reserve Bank of Chicago, Working Paper No. 2001-15
Number of pages: 38 Posted: 27 Dec 2001
Robert R. Bliss and Nikolaos Panigirtzoglou
Wake Forest University - Schools of Business and Queen Mary, University of London
Downloads 423 (73,478)
Citation 4

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9.

Option Implied and Realized Measures of Variance

EFA 2004 Maastricht Meetings Paper No. 2132
Number of pages: 38 Posted: 22 Jul 2004
Damien P.G. Lynch and Nikolaos Panigirtzoglou
Bank of England, Monetary Instruments and Markets Division and Queen Mary, University of London
Downloads 322 (100,497)
Citation 5

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Implied volatility, realized volatility, risk premia, market microstructure, high-frequency data

10.

Summary Statistics of Option-Implied Probability Density Functions and Their Properties

Bank of England Working Paper No. 345
Number of pages: 46 Posted: 31 Mar 2008
Damien P.G. Lynch and Nikolaos Panigirtzoglou
Bank of England, Monetary Instruments and Markets Division and Queen Mary, University of London
Downloads 313 (103,693)
Citation 15

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Options, implied probability density functions (pdfs), summary statistics, implied volatility, implied asymmetry, market expectations.

11.

Summary Statistics of Implied Probability Density Functions and Their Properties

EFMA 2002 London Meetings
Number of pages: 61 Posted: 19 Jun 2002
Damien P.G. Lynch and Nikolaos Panigirtzoglou
Bank of England, Monetary Instruments and Markets Division and Queen Mary, University of London
Downloads 264 (124,258)
Citation 1

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options, implied pdfs, summary statistics, volatility, asymmetry

12.

Summary Statistics of Implied Probability Density Functions

Number of pages: 57 Posted: 13 Mar 2002
Damien P.G. Lynch and Nikolaos Panigirtzoglou
Bank of England, Monetary Instruments and Markets Division and Queen Mary, University of London
Downloads 254 (129,411)

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Options, implied pdfs, summary statistics, volatility, asymmetry

13.

An Affine Macro-Factor Model of the UK Yield Curve

Bank of England Working Paper No. 322
Number of pages: 47 Posted: 29 Aug 2007
Peter M. Lildholdt, Nikolaos Panigirtzoglou and Chris Peacock
Bank of England - Monetary Analysis, Queen Mary, University of London and Bank of England - Monetary Analysis
Downloads 170 (188,449)
Citation 13

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Term structure models, factor models, interest rates, risk premium

14.

Persistence and Volatility in Short-Term Interest Rates

The Bank of England Working Paper No. 116
Number of pages: 43 Posted: 25 Sep 2000
Nikolaos Panigirtzoglou, James Proudman and John Spicer
Queen Mary, University of London, Bank of England, Monetary Instruments and Markets Division and European Economic Research Ltd.
Downloads 167 (191,350)
Citation 6

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15.

Using Option Prices to Measure Financial Market Views About Balances of Risk to Future Asset Prices

Bank of England Quarterly Bulletin, Winter 2004
Number of pages: 13 Posted: 07 Apr 2005
Damien P.G. Lynch and Nikolaos Panigirtzoglou
Bank of England, Monetary Instruments and Markets Division and Queen Mary, University of London
Downloads 138 (224,149)

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16.

Option Implied and Realised Measures of Variance

Number of pages: 38 Posted: 04 Feb 2004
Damien P.G. Lynch and Nikolaos Panigirtzoglou
Bank of England, Monetary Instruments and Markets Division and Queen Mary, University of London
Downloads 96 (291,304)
Citation 3

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implied volatility, realised volatility, risk premia, market microstructure, high-frequency data

17.

Liquidity Traps: How to Avoid Them and How to Escape Them

NBER Working Paper No. w7245
Number of pages: 74 Posted: 06 Mar 2000 Last Revised: 16 Mar 2010
Willem H. Buiter and Nikolaos Panigirtzoglou
Citigroup New York and Queen Mary, University of London
Downloads 78 (330,967)
Citation 1

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18.

Implied Foreign Exchange Risk Premia

European Financial Management, Vol. 10, No. 2, pp. 321-338, June 2004
Number of pages: 18 Posted: 20 Jun 2004
Nikolaos Panigirtzoglou
Queen Mary, University of London
Downloads 26 (520,641)
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19.

Overcoming the Zero Bound on Nominal Interest Rates with Negative Interest on Currency: Gesell's Solution

Economic Journal, Vol. 113, pp. 723-746, October 2003
Number of pages: 24 Posted: 09 Oct 2003
Willem H. Buiter and Nikolaos Panigirtzoglou
Citigroup New York and Queen Mary, University of London
Downloads 16 (582,116)
Citation 2
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20.

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

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