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Vassilis Polimenis

Personal Details

First Name:Vassilis
Middle Name:
Last Name:Polimenis
Suffix:
RePEc Short-ID:ppo227
Terminal Degree:2001 Finance Department; Wharton School of Business; University of Pennsylvania (from RePEc Genealogy)

Affiliation

Department of Economics
Aristotle University of Thessaloniki

Thessaloniki, Greece
http://www.econ.auth.gr/




RePEc:edi:deautgr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Vassilis Polimenis, 2020. "Uncovering a factor-based expected return conditioning structure with Regression Trees jointly for many stocks," Papers 2007.08115, arXiv.org.
  2. Vassilis Polimenis, 2020. "Trading on the Floor after Sweeping the Book," Papers 2001.06445, arXiv.org.
  3. Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-Stationary Dividend-Price Ratios," Papers 1902.06053, arXiv.org.
  4. Christian Gourieroux & Alain Monfort & Vassilis Polimenis, 2005. "Affine Model for Credit Risk Analysis," Working Papers 2005-44, Center for Research in Economics and Statistics.
  5. Christian Gourieroux & Alain Monfort & Vassilis Polimenis, 2002. "Affine Term Structure Models," Working Papers 2002-49, Center for Research in Economics and Statistics.

Articles

  1. O. Theodosiadou & V. Polimenis & G. Tsaklidis, 2019. "A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps," Journal of Applied Statistics, Taylor & Francis Journals, vol. 46(12), pages 2180-2197, September.
  2. Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-stationary dividend-price ratios," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
  3. Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016. "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 31-38.
  4. Ourania Theodosiadou & Vassilis Polimenis & George Tsaklidis, 2016. "Sensitivity analysis of market and stock returns by considering positive and negative jumps," Journal of Risk Finance, Emerald Group Publishing, vol. 17(4), pages 456-472, August.
  5. Vassilis Polimenis & Ioannis Papantonis, 2014. "Jointly estimating jump betas," Journal of Risk Finance, Emerald Group Publishing, vol. 15(2), pages 131-148, March.
  6. Nikolas L. Hourvouliades & Vassilis Polimenis, 2012. "Day-of-the-week effect around the 2008 financial crisis," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 14(4), pages 283-307.
  7. Chung, Y. Peter & Johnson, Herb & Polimenis, Vassilis, 2011. "The critical stock price for the American put option," Finance Research Letters, Elsevier, vol. 8(1), pages 8-14, March.
  8. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January.
  9. C. Gourieroux & A. Monfort & V. Polimenis, 2006. "Affine Models for Credit Risk Analysis," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(3), pages 494-530.
  10. Vassilis Polimenis, 2005. "A realistic model of market liquidity and depth," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(5), pages 443-464, May.
  11. Polimenis, Vassilis, 2005. "Slow and fast markets," Journal of Economics and Business, Elsevier, vol. 57(6), pages 576-593.

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

  1. Christian Gourieroux & Alain Monfort & Vassilis Polimenis, 2005. "Affine Model for Credit Risk Analysis," Working Papers 2005-44, Center for Research in Economics and Statistics.

    Cited by:

    1. Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama, 2013. "Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 311-344, November.
    2. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
    3. Jérémy Leymarie & Christophe Hurlin & Antoine Patin, 2018. "Loss Functions for LGD Models Comparison," Post-Print hal-01923050, HAL.
    4. Gonzalo Camba-Méndez & Dobromił Serwa, 2014. "Market perception of sovereign credit risk in the euro area during the financial crisis," NBP Working Papers 185, Narodowy Bank Polski, Economic Research Department.
    5. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    6. Gouriéroux, Christian, 2003. "Économétrie de la finance : l’exemple du risque de crédit," L'Actualité Economique, Société Canadienne de Science Economique, vol. 79(4), pages 399-418, Décembre.
    7. Gourieroux, C. & Monfort, A., 2013. "Linear-price term structure models," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 24-41.
    8. Alain Monfort & Olivier Féron, 2011. "Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options," Working Papers 2011-12, Center for Research in Economics and Statistics.
    9. Bogdan Constantin VORONEANU, 2013. "Current Trends In The Approach Of The Credit Relationships Between Banks And Companies," Journal of Public Administration, Finance and Law, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 3(3), pages 91-97, June.
    10. H. Bertholon & A. Monfort & F. Pegoraro, 2008. "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(4), pages 407-458, Fall.
    11. Gouriéroux, C. & Monfort, A. & Renne, J-P., 2013. "Pricing Default Events: Surprise, Exogeneity and Contagion," Working papers 455, Banque de France.
    12. Christian Gourieroux & Alain Monfort & Razvan Sufana, 2005. "International Money and Stock Market Contingent Claims," Working Papers 2005-41, Center for Research in Economics and Statistics.
    13. Monfort, A. & Pegoraro, F., 2007. "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working papers 189, Banque de France.
    14. Patrick Gagliardini, 2005. "Stochastic Migration Models with Application to Corporate Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(2), pages 188-226.
    15. Gagliardini, P. & Gourieroux, C., 2005. "Migration correlation: Definition and efficient estimation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 865-894, April.
    16. Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
    17. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
    18. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    19. Bjørn Eraker, 2008. "Affine General Equilibrium Models," Management Science, INFORMS, vol. 54(12), pages 2068-2080, December.
    20. Hurlin, Christophe & Leymarie, Jérémy & Patin, Antoine, 2018. "Loss functions for Loss Given Default model comparison," European Journal of Operational Research, Elsevier, vol. 268(1), pages 348-360.
    21. Monfort, A. & Renne, J-P., 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers 352, Banque de France.
    22. Anand Deo & Sandeep Juneja, 2019. "Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator," Papers 1912.12611, arXiv.org.

  2. Christian Gourieroux & Alain Monfort & Vassilis Polimenis, 2002. "Affine Term Structure Models," Working Papers 2002-49, Center for Research in Economics and Statistics.

    Cited by:

    1. Drew D. Creal & Jing Cynthia Wu, 2014. "Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility," NBER Working Papers 20115, National Bureau of Economic Research, Inc.
    2. Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February.
    3. Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Working Papers 2010-07, Center for Research in Economics and Statistics.
    4. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
    5. Realdon, Marco, 2006. "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.
    6. Christian Gourieroux & Alain Monfort & Razvan Sufana, 2005. "International Money and Stock Market Contingent Claims," Working Papers 2005-41, Center for Research in Economics and Statistics.
    7. Monfort, A. & Pegoraro, F., 2007. "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working papers 189, Banque de France.
    8. Marco Realdon, 2006. "The Target Rate and Term Structure of Interest Rates," Discussion Papers 06/15, Department of Economics, University of York.
    9. Marco Realdon, 2007. "Extended-Gaussian Term Structure Models and Credit Risk Applications," Discussion Papers 07/27, Department of Economics, University of York.
    10. Koo, B. & La Vecchia, D. & Linton, O., 2019. "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics 1916, Faculty of Economics, University of Cambridge.
    11. Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.),Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246, Elsevier.
    12. Qiang Dai & Kenneth J. Singleton & Wei Yang, 2007. "Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1669-1706, 2007 12.
    13. Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
    14. Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit root vector autoregression with volatility induced stationarity," Discussion Papers 12-02, University of Copenhagen. Department of Economics.
    15. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
    16. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    17. Michael Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley Zin, 2017. "Term Premium Dynamics and the Taylor Rule," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-39, December.
    18. Bonsoo Koo & Davide La Vecchia & Oliver Linton, 2020. "Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information," Monash Econometrics and Business Statistics Working Papers 4/20, Monash University, Department of Econometrics and Business Statistics.

Articles

  1. Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016. "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 31-38.

    Cited by:

    1. Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-stationary dividend-price ratios," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
    2. Algaba, Andres & Boudt, Kris, 2017. "Generalized financial ratios to predict the equity premium," Economic Modelling, Elsevier, vol. 66(C), pages 244-257.

  2. Chung, Y. Peter & Johnson, Herb & Polimenis, Vassilis, 2011. "The critical stock price for the American put option," Finance Research Letters, Elsevier, vol. 8(1), pages 8-14, March.

    Cited by:

    1. Liu, Yanchu & Cui, Zhenyu & Zhang, Ning, 2016. "Integral representation of vega for American put options," Finance Research Letters, Elsevier, vol. 19(C), pages 204-208.

  3. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January.

    Cited by:

    1. M. Haley, 2014. "Gaussian and logistic adaptations of smoothed safety first," Annals of Finance, Springer, vol. 10(2), pages 333-345, May.
    2. Gomez-Gonzalez, Jose Eduardo & Hirs-Garzon, Jorge & Uribe, Jorge M., 2020. "Spillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial markets," Working papers 46, Red Investigadores de Economía.
    3. Redouane Elkamhia & Denitsa Stefanova, 2011. "Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection," Tinbergen Institute Discussion Papers 11-028/2/DSF10, Tinbergen Institute.
    4. Buckley, Winston & Long, Hongwei & Marshall, Mario, 2016. "Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets," European Journal of Operational Research, Elsevier, vol. 252(2), pages 676-686.
    5. Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Post-Print hal-01474249, HAL.
    6. Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2013. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 28/13, Monash University, Department of Econometrics and Business Statistics.
    7. Frederik Herzberg, 2013. "First steps towards an equilibrium theory for Lévy financial markets," Annals of Finance, Springer, vol. 9(3), pages 543-572, August.
    8. Hayette Gatfaoui, 2010. "Investigating the dependence structure between credit default swap spreads and the U.S. financial market," Annals of Finance, Springer, vol. 6(4), pages 511-535, October.
    9. Dimitri Vallière & Yuri Kabanov & Emmanuel Lépinette, 2016. "Consumption-investment problem with transaction costs for Lévy-driven price processes," Finance and Stochastics, Springer, vol. 20(3), pages 705-740, July.
    10. Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017. "Harmful Diversification: Evidence from Alternative Investments," ICMA Centre Discussion Papers in Finance icma-dp2017-09, Henley Business School, Reading University.
    11. Julien Chevallier & Stéphane Goutte, 2014. "The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process," Working Papers 2014-285, Department of Research, Ipag Business School.
    12. Massimo Guidolin & Giovanna Nicodano, 2009. "Small caps in international equity portfolios: the effects of variance risk," Annals of Finance, Springer, vol. 5(1), pages 15-48, January.
    13. Benoît Sévi & César Baena, 2011. "Brownian motion vs. pure-jump processes for individual stocks," Economics Bulletin, AccessEcon, vol. 31(4), pages 3138-3152.
    14. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2011. "Can standard preferences explain the prices of out-of-the-money S&P 500 put options?," Working Paper Series WP-2011-11, Federal Reserve Bank of Chicago, revised 2011.
    15. Jim Engle-Warnick & Diego Pulido & Marine de Montaignac, 2016. "A Comparison of Survey and Incentivized-Based Risk Attitude Elicitation," CIRANO Working Papers 2016s-40, CIRANO.
    16. Aït-Sahalia, Yacine & Matthys, Felix, 2019. "Robust consumption and portfolio policies when asset prices can jump," Journal of Economic Theory, Elsevier, vol. 179(C), pages 1-56.
    17. Le Courtois, Olivier & Menoncin, Francesco, 2015. "Portfolio optimisation with jumps: Illustration with a pension accumulation scheme," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 127-137.
    18. Xiaoxian Ma & Qingzhen Zhao & Jilin Qu, 2008. "Robust portfolio optimization with a generalized expected utility model under ambiguity," Annals of Finance, Springer, vol. 4(4), pages 431-444, October.
    19. Hiroaki Hata & Jun Sekine, 2017. "Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 221-252, September.
    20. Julien Chevallier & Stéphane Goutte, 2017. "Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of $$\hbox {CO}_2$$ CO 2 and fuel-switching," Annals of Operations Research, Springer, vol. 255(1), pages 169-197, August.
    21. Akihiko Takahashi & Kyo Yamamoto, 2009. "Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication," CARF F-Series CARF-F-308, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Feb 2013.
    22. Akihiko Takahashi & Kyo Yamamoto, 2009. "Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio: An Application to Hedge Fund Replication," CIRJE F-Series CIRJE-F-624, CIRJE, Faculty of Economics, University of Tokyo.
    23. Buckley, Winston S. & Long, Hongwei, 2015. "A discontinuous mispricing model under asymmetric information," European Journal of Operational Research, Elsevier, vol. 243(3), pages 944-955.
    24. David F. Babbel & Miguel A. Herce, 2018. "Stable Value Funds Performance," Risks, MDPI, Open Access Journal, vol. 6(1), pages 1-40, February.
    25. Yacine Ait-Sahalia & T. R. Hurd, 2012. "Portfolio Choice in Markets with Contagion," Papers 1210.1598, arXiv.org.
    26. Kumara, Ajantha Sisira & Pfau, Wade Donald, 2011. "Would emerging market pension funds benefit from international diversification: investigating wealth accumulations for pension participants," MPRA Paper 31395, University Library of Munich, Germany, revised 10 Jun 2011.
    27. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
    28. Winston Buckley & Sandun Perera, 2019. "Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy," Annals of Finance, Springer, vol. 15(3), pages 337-368, September.
    29. Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
    30. M. Ryan Haley, 2017. "K-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?," Annals of Finance, Springer, vol. 13(3), pages 341-353, August.

  4. C. Gourieroux & A. Monfort & V. Polimenis, 2006. "Affine Models for Credit Risk Analysis," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(3), pages 494-530.
    See citations under working paper version above.
  5. Vassilis Polimenis, 2005. "A realistic model of market liquidity and depth," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(5), pages 443-464, May.

    Cited by:

    1. Vassilis Polimenis, 2020. "Trading on the Floor after Sweeping the Book," Papers 2001.06445, arXiv.org.

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 3 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.
  1. NEP-FMK: Financial Markets (1) 2020-08-17
  2. NEP-FOR: Forecasting (1) 2019-02-25
  3. NEP-MST: Market Microstructure (1) 2020-02-03

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