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Publications

by alumni of

University of Piraeus → Department of Banking and Financial Management

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles |

Working papers

2015

  1. Angelidis, Timotheos & Degiannakis, Stavros & Filis, George, 2015, "US stock market regimes and oil price shocks," MPRA Paper, University Library of Munich, Germany, number 80436.

2014

  1. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2014, "Global Style Portfolios Based on Country Indices," MPRA Paper, University Library of Munich, Germany, number 53094, Jan.
  2. Timotheos Angelidis & Nikolaos Tessaromatis, 2014, "Global portfolio management under state dependent multiple risk premia," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 0400966, Jul.

2013

  1. Stavros Degiannakis & Andreas Andrikopoulos & Timotheos Angelidis & Christos Floros, 2013, "Return dispersion, stock market liquidity and aggregate economic activity," Working Papers, Bank of Greece, number 166, Nov.
  2. Stavros Degiannakis & Timotheos Angelidis & George Filis, 2013, "Oil price shocks and volatility do predict stock market regimes," Working Papers, Bank of Greece, number 170, Dec.

2012

  1. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2012, "Revisiting Mutual Fund Performance Evaluation," MPRA Paper, University Library of Munich, Germany, number 36644, Feb.
  2. Andrikopoulos, Andreas & Angelidis, Timotheos & Skintzi, Vasiliki, 2012, "Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers," MPRA Paper, University Library of Munich, Germany, number 40003.

2008

  1. Angelidis, Timotheos & Degiannakis, Stavros, 2008, "Volatility forecasting: intra-day vs. inter-day models," MPRA Paper, University Library of Munich, Germany, number 80434.
  2. Angelidis, Timotheos & Degiannakis, Stavros, 2008, "Volatility forecasting: Intra-day versus inter-day models," MPRA Paper, University Library of Munich, Germany, number 96322.
  3. Nikos Thomaidis & Timotheos Angelidis & Vassilios Vassiliadis & Georgios Dounias, 2008, "Active Portfolio Management With Cardinality Constraints: An Application Of Particle Swarm Optimization," Working Papers, University of Peloponnese, Department of Economics, number 0016.
  4. Andreas Andrikopoulos & Timotheos Angelidis, 2008, "Idiosyncratic risk, returns and liquidity in the London Stock Exchange: a spillover approach," Working Papers, University of Peloponnese, Department of Economics, number 0017.
  5. Timotheos Angelidis, 2008, "Idiosyncratic Risk in Emerging Markets," Working Papers, University of Peloponnese, Department of Economics, number 0018.

2007

  1. Timotheos Angelidis & Stavros Degiannakis, 2007, "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers, University of Crete, Department of Economics, number 0701, Jan.
  2. Angelidis, Timotheos & Degiannakis, Stavros, 2007, "Backtesting VaR Models: A Τwo-Stage Procedure," MPRA Paper, University Library of Munich, Germany, number 80418.
  3. Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2007, "A Robust VaR Model under Different Time Periods and Weighting Schemes," MPRA Paper, University Library of Munich, Germany, number 80466.
  4. Timotheos Angelidis & Nikolaos Tessaromatis, 2007, "Idiosyncratic Risk in Greece: Properties and Portfolio Implications," Working Papers, University of Peloponnese, Department of Economics, number 0001.

2005

  1. Angelidis, Timotheos & Degiannakis, Stavros, 2005, "Modeling Risk for Long and Short Trading Positions," MPRA Paper, University Library of Munich, Germany, number 80467.

2004

  1. Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2004, "The Use of GARCH Models in VaR Estimation," MPRA Paper, University Library of Munich, Germany, number 96332.

Undated

  1. Timotheos Angelidis & Alexandros Benos, undated, "The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange," Working Papers, University of Crete, Department of Economics, number 0615.

Journal articles

2025

  1. Angelidis, Timotheos & Sakkas, Athanasios & Tessaromatis, Nikolaos, 2025, "Predicting commodity returns: Time series vs. cross sectional prediction models," Journal of Commodity Markets, Elsevier, volume 38, issue C, DOI: 10.1016/j.jcomm.2025.100475.

2024

  1. Angelidis, Timotheos & Michairinas, Athanasios & Sakkas, Athanasios, 2024, "World ESG performance and economic activity," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 93, issue C, DOI: 10.1016/j.intfin.2024.101996.

2023

  1. Angelidis, Timotheos & Sakkas, Athanasios & Spiliotopoulos, George, 2023, "Climate uncertainty and marginal climate capital needs," Finance Research Letters, Elsevier, volume 56, issue C, DOI: 10.1016/j.frl.2023.104060.
  2. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2023, "The disappearing profitability of volatility-managed equity factors," Journal of Financial Markets, Elsevier, volume 65, issue C, DOI: 10.1016/j.finmar.2023.100857.

2021

  1. Angelidis, Timotheos & Babalos, Vassilios & Fessas, Michalis, 2021, "The economic gain of being small in the mutual fund industry: U.S. and international evidence," International Review of Financial Analysis, Elsevier, volume 77, issue C, DOI: 10.1016/j.irfa.2021.101852.

2017

  1. Timotheos Angelidis & Nikolaos Tessaromatis, 2017, "Global Equity Country Allocation: An Application of Factor Investing," Financial Analysts Journal, Taylor & Francis Journals, volume 73, issue 4, pages 55-73, October, DOI: 10.2469/faj.v73.n4.7.

2015

  1. Angelidis, Timotheos & Degiannakis, Stavros & Filis, George, 2015, "US stock market regimes and oil price shocks," Global Finance Journal, Elsevier, volume 28, issue C, pages 132-146, DOI: 10.1016/j.gfj.2015.01.006.
  2. Angelidis, Timotheos & Sakkas, Athanasios & Tessaromatis, Nikolaos, 2015, "Stock market dispersion, the business cycle and expected factor returns," Journal of Banking & Finance, Elsevier, volume 59, issue C, pages 265-279, DOI: 10.1016/j.jbankfin.2015.04.025.

2014

  1. Andrikopoulos, Andreas & Angelidis, Timotheos & Skintzi, Vasiliki, 2014, "Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers," International Review of Financial Analysis, Elsevier, volume 35, issue C, pages 118-127, DOI: 10.1016/j.irfa.2014.07.013.

2013

  1. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2013, "Revisiting mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1759-1776, DOI: 10.1016/j.jbankfin.2013.01.006.

2010

  1. Timotheos Angelidis, 2010, "Idiosyncratic Risk in Emerging Markets," The Financial Review, Eastern Finance Association, volume 45, issue 4, pages 1053-1078, November, DOI: 10.1111/j.1540-6288.2010.00285.x.
  2. Angelidis, Timotheos & Andrikopoulos, Andreas, 2010, "Idiosyncratic risk, returns and liquidity in the London Stock Exchange: A spillover approach," International Review of Financial Analysis, Elsevier, volume 19, issue 3, pages 214-221, June.
  3. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2010, "The efficiency of Greek public pension fund portfolios," Journal of Banking & Finance, Elsevier, volume 34, issue 9, pages 2158-2167, September.

2009

  1. Timotheos Angelidis & Alexandros Benos, 2009, "The Components of the Bid‐Ask Spread: the Case of the Athens Stock Exchange," European Financial Management, European Financial Management Association, volume 15, issue 1, pages 112-144, January, DOI: 10.1111/j.1468-036X.2007.00416.x.
  2. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2009, "Idiosyncratic risk matters! A regime switching approach," International Review of Economics & Finance, Elsevier, volume 18, issue 1, pages 132-141, January.
  3. Nikos S. Thomaidis & Timotheos Angelidis & Vassilios Vassiliadis & Georgios Dounias, 2009, "Active Portfolio Management With Cardinality Constraints: An Application Of Particle Swarm Optimization," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 03, pages 535-555, DOI: 10.1142/S1793005709001519.

2008

  1. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2008, "Idiosyncratic volatility and equity returns: UK evidence," International Review of Financial Analysis, Elsevier, volume 17, issue 3, pages 539-556, June.
  2. Angelidis, Timotheos & Degiannakis, Stavros, 2008, "Volatility forecasting: Intra-day versus inter-day models," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 18, issue 5, pages 449-465, December.
  3. Timotheos Angelidis & Alexandros Benos, 2008, "Value-at-Risk for Greek Stocks," Multinational Finance Journal, Multinational Finance Journal, volume 12, issue 1-2, pages 67-104, March-Jun.
  4. Timotheos Angelidis & George Skiadopoulos, 2008, "Measuring The Market Risk Of Freight Rates: A Value-At-Risk Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 11, issue 05, pages 447-469, DOI: 10.1142/S0219024908004889.

2007

  1. Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007, "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, volume 28, issue 2, pages 187-201, February, DOI: 10.1007/s11156-006-0010-y.
  2. Timotheos Angelidis & Nikolaos Tessaromatis, 2007, "Does idiosyncratic risk matter? Evidence from European stock markets," Applied Financial Economics, Taylor & Francis Journals, volume 18, issue 2, pages 125-137, DOI: 10.1080/09603100601118276.

2006

  1. Timotheos Angelidis & Alexandros Benos, 2006, "Liquidity adjusted value-at-risk based on the components of the bid-ask spread," Applied Financial Economics, Taylor & Francis Journals, volume 16, issue 11, pages 835-851, DOI: 10.1080/09603100500426440.

2005

  1. Timotheos Angelidis & Stavros Degiannakis, 2005, "Modeling risk for long and short trading positions," Journal of Risk Finance, Emerald Group Publishing Limited, volume 6, issue 3, pages 226-238, July, DOI: 10.1108/15265940510599838.

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