Ilias Filippou
Personal Details
First Name: | Ilias |
Middle Name: | |
Last Name: | Filippou |
Suffix: | |
RePEc Short-ID: | pfi317 |
[This author has chosen not to make the email address public] | |
https://sites.google.com/site/ifilippou1/ | |
Affiliation
Olin School of Business
Washington University in St. Louis
St. Louis, Missouri (United States)http://www.olin.wustl.edu/
RePEc:edi:oswusus (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Filippou, Ilias & Rapach, David & Taylor, Mark P & Zhou, Guofu, 2020. "Exchange Rate Prediction with Machine Learning and a Smart Carry Trade Portfolio," CEPR Discussion Papers 15305, C.E.P.R. Discussion Papers.
- Filippou, Ilias & Gozluklu, Arie & Nguyen, My & Taylor, Mark P, 2020. "U.S. Populist Rhetoric and Currency Returns," CEPR Discussion Papers 15054, C.E.P.R. Discussion Papers.
- Filippou, Ilias & Taylor, Mark P, 2019. "Forward-Looking Policy Rules and Currency Premia," CEPR Discussion Papers 13835, C.E.P.R. Discussion Papers.
- Filippou, Ilias & Taylor, Mark P, 2014.
"Common Macro Factors and Currency Premia,"
CEPR Discussion Papers
10016, C.E.P.R. Discussion Papers.
- Filippou, Ilias & Taylor, Mark P., 2017. "Common Macro Factors and Currency Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(4), pages 1731-1763, August.
Articles
- Filippou, Ilias & Gozluklu, Arie E. & Taylor, Mark P., 2018. "Global Political Risk and Currency Momentum," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(5), pages 2227-2259, October.
- Filippou, Ilias & Taylor, Mark P., 2017.
"Common Macro Factors and Currency Premia,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(4), pages 1731-1763, August.
- Filippou, Ilias & Taylor, Mark P, 2014. "Common Macro Factors and Currency Premia," CEPR Discussion Papers 10016, C.E.P.R. Discussion Papers.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Filippou, Ilias & Rapach, David & Taylor, Mark P & Zhou, Guofu, 2020.
"Exchange Rate Prediction with Machine Learning and a Smart Carry Trade Portfolio,"
CEPR Discussion Papers
15305, C.E.P.R. Discussion Papers.
Cited by:
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Filippou, Ilias & Taylor, Mark P., 2021. "Pricing ethics in the foreign exchange market: Environmental, Social and Governance ratings and currency premia," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 66-77.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Filippou, Ilias & Gozluklu, Arie & Nguyen, My & Taylor, Mark P, 2020.
"U.S. Populist Rhetoric and Currency Returns,"
CEPR Discussion Papers
15054, C.E.P.R. Discussion Papers.
Cited by:
- Filippou, Ilias & Taylor, Mark P., 2021. "Pricing ethics in the foreign exchange market: Environmental, Social and Governance ratings and currency premia," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 66-77.
- Filippou, Ilias & Taylor, Mark P, 2014.
"Common Macro Factors and Currency Premia,"
CEPR Discussion Papers
10016, C.E.P.R. Discussion Papers.
- Filippou, Ilias & Taylor, Mark P., 2017. "Common Macro Factors and Currency Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(4), pages 1731-1763, August.
Cited by:
- Joscha Beckmann & Robert L. Czudaj, 2022.
"Exchange rate expectation, abnormal returns, and the COVID-19 pandemic,"
Chemnitz Economic Papers
054, Department of Economics, Chemnitz University of Technology, revised Jan 2022.
- Beckmann, Joscha & Czudaj, Robert L., 2022. "Exchange rate expectation, abnormal returns, and the COVID-19 pandemic," Journal of Economic Behavior & Organization, Elsevier, vol. 196(C), pages 1-25.
- Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
- Beckmann, Joscha, 2021. "Measurement and effects of euro/dollar exchange rate uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 773-790.
- Filippou, Ilias & Taylor, Mark P., 2021. "Pricing ethics in the foreign exchange market: Environmental, Social and Governance ratings and currency premia," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 66-77.
- Ferreira, Alex & Matos, Paulo, 2020. "Precautionary risks for an open economy," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 154-167.
- Hsu, Po-Hsuan & Taylor, Mark P. & Wang, Zigan & Xu, Qi, 2022.
"Currency volatility and global technological innovation,"
Journal of International Economics, Elsevier, vol. 137(C).
- Hsu, Po-Hsuan & Taylor, Mark & Wang, Zigan & Xu, Qi, 2021. "Currency Volatility and Global Technological Innovation," CEPR Discussion Papers 16611, C.E.P.R. Discussion Papers.
- Kanchanapoom Termkiat & Padungsaksawasdi Chaiyuth & Chunhachinda Pornchai & de Boyrie Maria E., 2018. "Uncovered Interest Rate Parity, Carry Trade, and Country Equity Return Differentials," Global Economy Journal, De Gruyter, vol. 18(3), pages 1-11, September.
- Fan, Zhenzhen & Londono, Juan M. & Xiao, Xiao, 2022. "Equity tail risk and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 143(1), pages 484-503.
- Adu, Raymond & Litsios, Ioannis & Baimbridge, Mark, 2022. "ECOWAS single currency: Prospective effects on trade," Journal of International Money and Finance, Elsevier, vol. 126(C).
- Mitchener, Kris James & Pina, Gonçalo, 2020. "Pegxit pressure," Journal of International Money and Finance, Elsevier, vol. 107(C).
- Dibooglu, Sel & Cevik, Emrah I. & Gillman, Max, 2022. "Gold, silver, and the US dollar as harbingers of financial calm and distress," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 200-210.
- Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2019.
"Carry trades and commodity risk factors,"
Journal of International Money and Finance, Elsevier, vol. 96(C), pages 121-129.
- Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "Carry Trades and Commodity Risk Factors," MPRA Paper 80789, University Library of Munich, Germany.
- Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
- Ibrahim Ayoade Adekunle & Sheriffdeen Adewale Tella & Oluwaseyi Adedayo Adelowokan, 2021. "Macroeconomic policy volatility and household consumption in Africa," SN Business & Economics, Springer, vol. 1(3), pages 1-22, March.
- Zhenzhen Fan & Juan M. Londono & Xiao Xiao, 2019. "US Equity Tail Risk and Currency Risk Premia," International Finance Discussion Papers 1253, Board of Governors of the Federal Reserve System (U.S.).
- Filippou, Ilias & Taylor, Mark P, 2019. "Forward-Looking Policy Rules and Currency Premia," CEPR Discussion Papers 13835, C.E.P.R. Discussion Papers.
Articles
- Filippou, Ilias & Gozluklu, Arie E. & Taylor, Mark P., 2018.
"Global Political Risk and Currency Momentum,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(5), pages 2227-2259, October.
Cited by:
- Reitz, Stefan & Umlandt, Dennis, 2019.
"Foreign exchange dealer asset pricing,"
Discussion Papers
39/2019, Deutsche Bundesbank.
- Stefan Reitz & Dennis Umlandt, 2019. "Foreign Exchange Dealer Asset Pricing," Working Paper Series 2019-08, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- Simarjeet Singh & Nidhi Walia, 2022. "Momentum investing: a systematic literature review and bibliometric analysis," Management Review Quarterly, Springer, vol. 72(1), pages 87-113, February.
- Choi, Yoonho & Choi, E. Kwan, 2022. "Why exchange rate pass-through matters in forward exchange markets," Economic Modelling, Elsevier, vol. 110(C).
- Filippou, Ilias & Taylor, Mark P., 2021. "Pricing ethics in the foreign exchange market: Environmental, Social and Governance ratings and currency premia," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 66-77.
- Zhang, Shaojun, 2022.
"Dissecting currency momentum,"
Journal of Financial Economics, Elsevier, vol. 144(1), pages 154-173.
- Zhang, Shaojun, 2020. "Dissecting Currency Momentum," Working Paper Series 2020-15, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Fan, Zhenzhen & Londono, Juan M. & Xiao, Xiao, 2022. "Equity tail risk and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 143(1), pages 484-503.
- Taylor, Mark P. & Wang, Zigan & Xu, Qi, 2021.
"The real effects of exchange rate risk on corporate investment: International evidence,"
Journal of International Money and Finance, Elsevier, vol. 117(C).
- Taylor, Mark P & Wang, Zigan & Xu, Qi, 2020. "The Real Effects of Exchange Rate Risk on Corporate Investment: International Evidence," CEPR Discussion Papers 15053, C.E.P.R. Discussion Papers.
- Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.
- Shuyu Zhang & Dunli Zhang & Jianming Zheng & Walter Aerts, 2021. "Does policy uncertainty of the blockchain dampen ICO markets?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 1625-1637, April.
- Merkle, Christoph & Sextroh, Christoph J., 2021. "Value and momentum from investors’ perspective: Evidence from professionals’ risk-ratings," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 159-178.
- Filippou, Ilias & Gozluklu, Arie & Nguyen, My & Taylor, Mark P, 2020. "U.S. Populist Rhetoric and Currency Returns," CEPR Discussion Papers 15054, C.E.P.R. Discussion Papers.
- Filippou, Ilias & Rapach, David & Taylor, Mark P & Zhou, Guofu, 2020. "Exchange Rate Prediction with Machine Learning and a Smart Carry Trade Portfolio," CEPR Discussion Papers 15305, C.E.P.R. Discussion Papers.
- Zhenzhen Fan & Juan M. Londono & Xiao Xiao, 2019. "US Equity Tail Risk and Currency Risk Premia," International Finance Discussion Papers 1253, Board of Governors of the Federal Reserve System (U.S.).
- Liu, Yiye & Han, Liyan & Wu, You & Yin, Libo, 2022. "Do terrorist attacks matter for currency excess returns?," Finance Research Letters, Elsevier, vol. 49(C).
- Olga Dodd & Adrian Fernandez-Perez & Simon Sosvilla-Rivero, 2022. ""Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine"," IREA Working Papers 202204, University of Barcelona, Research Institute of Applied Economics, revised Apr 2022.
- Kazuki Amagai & Tomoya Suzuki, 2023. "Long-Term Modeling of Financial Machine Learning for Active Portfolio Management," Papers 2301.12346, arXiv.org.
- Filippou, Ilias & Taylor, Mark P, 2019. "Forward-Looking Policy Rules and Currency Premia," CEPR Discussion Papers 13835, C.E.P.R. Discussion Papers.
- Reitz, Stefan & Umlandt, Dennis, 2019.
"Foreign exchange dealer asset pricing,"
Discussion Papers
39/2019, Deutsche Bundesbank.
- Filippou, Ilias & Taylor, Mark P., 2017.
"Common Macro Factors and Currency Premia,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(4), pages 1731-1763, August.
See citations under working paper version above.
- Filippou, Ilias & Taylor, Mark P, 2014. "Common Macro Factors and Currency Premia," CEPR Discussion Papers 10016, C.E.P.R. Discussion Papers.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-IFN: International Finance (4) 2015-01-09 2019-08-26 2021-05-24 2021-05-31. Author is listed
- NEP-MON: Monetary Economics (2) 2015-01-09 2019-08-26. Author is listed
- NEP-OPM: Open Economy Macroeconomics (2) 2019-08-26 2021-05-24. Author is listed
- NEP-BIG: Big Data (1) 2021-05-24. Author is listed
- NEP-CBA: Central Banking (1) 2019-08-26. Author is listed
- NEP-CMP: Computational Economics (1) 2021-05-24. Author is listed
- NEP-FOR: Forecasting (1) 2021-05-24. Author is listed
- NEP-RMG: Risk Management (1) 2021-05-31. Author is listed
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