Raphael Markellos

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• Article

  A Jump Diffusion Model for VIX Volatility Options and Futures

  Psychoyios, D., Dotsis, G. & Markellos, R-N., 2010, In: Review of Quantitative Finance and Accounting. 35, 3, p. 245-269 25 p.

  Research output: Contribution to journal › Article › peer-review
  44 Citations (Scopus)

• An International Comparison of Implied, Realized and GARCH Volatility Forecasts

  Kourtis, A., Markellos, R. N. & Symeonidis, L., Dec 2016, In: Journal of Futures Markets. 36, 12, 1164–1193.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
  23 Citations (Scopus)

  30 Downloads (Pure)

• Are electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernext

  Daskalakis, G. & Markellos, R-N., Jul 2009, In: Energy Policy. 37, 7, p. 2594-2604

  Research output: Contribution to journal › Article › peer-review
  47 Citations (Scopus)

• Are the European carbon markets efficient?

  Daskalakis, G. & Markellos, R-N., 2008, In: Review of Futures Markets. 17, 2, p. 103-128

  Research output: Contribution to journal › Article › peer-review

• Asset pricing dynamics

  Markellos, R. N. & Mills, T. C., 1 Dec 2003, In: The European Journal of Finance. 9, 6, p. 533-556 24 p.

  Research output: Contribution to journal › Article › peer-review
  3 Citations (Scopus)

• Corporate Real Estate Analysis: Evaluating Telecom Branch Efficiency in Greece

  Kritikos, M., Prastacos, G. & Markellos, R-N., 2010, In: Applied Economics. 42, 9, p. 1133-1143 11 p.

  Research output: Contribution to journal › Article › peer-review
  6 Citations (Scopus)

• Covariance forecasting in equity markets

  Symitsi, E., Symeonidis, L., Kourtis, A. & Markellos, R., Nov 2018, In: Journal of Banking and Finance. 96, p. 153-168 16 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
  4 Citations (Scopus)

  19 Downloads (Pure)

• Diversification benefits in the smaller European stock markets

  Markellos, R. N. & Siriopoulos, C., 1 May 1997, In: International Advances in Economic Research. 3, 2, p. 142-153 12 p.

  Research output: Contribution to journal › Article › peer-review
  9 Citations (Scopus)

• Diversification benefits in trading?

  Markellos, R. N., 1 Jan 2004, In: Applied Financial Economics. 14, 1, p. 13-17 5 p.

  Research output: Contribution to journal › Article › peer-review
  2 Citations (Scopus)

• Does the Weather Affect Stock Market Volatility?

  Symeonidis, L., Daskalakis, G. & Markellos, R. N., 1 Dec 2010, In: Finance Research Letters. 7, 4, p. 214-223 10 p.

  Research output: Contribution to journal › Article › peer-review
  43 Citations (Scopus)

• Dynamic interaction between markets for leasing and selling automobiles

  Andrikopoulos, A. & Markellos, R. N., Jan 2015, In: Journal of Banking and Finance. 50, p. 260-270 11 p.

  Research output: Contribution to journal › Article › peer-review
  3 Citations (Scopus)

• Electricity futures prices in an emissions constraint economy: Evidence from European power markets

  Daskalakis, G., Symeonidis, L. & Markellos, R., 2015, In: The Energy Journal. 36, 3, p. 1-33

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
  5 Citations (Scopus)

  21 Downloads (Pure)

• Environmental Policy Implications of Extreme Variations in Pollutant Stock Levels and Socioeconomic Costs

  Makropoulou, V., Dotsis, G. & Markellos, R. N., Nov 2013, In: The Quarterly Review of Economics and Finance. 53, 4, p. 417–428

  Research output: Contribution to journal › Article › peer-review

• Evaluating public transport efficiency with neural network models

  Costa, Á. & Markellos, R. N., 1 Oct 1997, In: Transportation Research Part C: Emerging Technologies. 5, 5, p. 301-312 12 p.

  Research output: Contribution to journal › Article › peer-review
  97 Citations (Scopus)

• How Efficient is the European Football Betting Market? Evidence from Arbitrage and Trading Strategies

  Vlastakis, N., Dotsis, G. & Markellos, R-N., 2009, In: Journal of Forecasting. 28, 5, p. 426-444 19 p.

  Research output: Contribution to journal › Article › peer-review
  52 Citations (Scopus)

• Human resources turnover as an asset acquisition and divestiture process: Evidence from the U.K. football industry

  Fotaki, M., Kourtis, A. & Markellos, R., 16 Feb 2021, (E-pub ahead of print) In: International Journal of Finance & Economics.

  Research output: Contribution to journal › Article › peer-review

• Information Demand and Stock Market Volatility

  Vlastakis, N. & Markellos, R., Jun 2012, In: Journal of Banking and Finance. 36, 6, p. 1808-1821 14 p.

  Research output: Contribution to journal › Article › peer-review
  239 Citations (Scopus)

• Interest Rate Volatility and Risk Management: Evidence from CBOE Treasury Options

  Markellos, R. N. & Psychoyios, D., May 2018, In: The Quarterly Review of Economics and Finance. 68, p. 190-202

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
  5 Citations (Scopus)

  25 Downloads (Pure)

• Investment strategy evaluation with cointegration

  Markellos, R., 1999, In: Applied Economics Letters. 6, 3, p. 177 1 p.

  Research output: Contribution to journal › Article

  1 Citation (Scopus)

• Investment under uncertainty and volatility estimation risk

  Dotsis, G., Makropoulou, V. & Markellos, R-N., 2012, In: Applied Economics Letters. 19, 2, p. 133-137 5 p.

  Research output: Contribution to journal › Article › peer-review
  2 Citations (Scopus)

• Is there an Olympic gold medal rush in the stock market?

  Wang, J. Y. & Markellos, R. N., Oct 2018, In: The European Journal of Finance. 24, 17, p. 1631-1648 18 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
  1 Citation (Scopus)

  11 Downloads (Pure)

• Keyword portfolio optimization in paid search advertising

  Symitsi, E., Markellos, R. N. & Mantrala, M. K., 12 Mar 2022, (E-pub ahead of print) In: European Journal of Operational Research.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme

  Daskalakis, G., Psychoyios, D. & Markellos, R-N., 2009, In: Journal of Banking & Finance. 33, 7, p. 1230-1241

  Research output: Contribution to journal › Article › peer-review
  259 Citations (Scopus)

• Nonlinear modelling of European football scores using support vector machines

  Vlastakis, N. & Markellos, R-N., 2008, In: Applied Economics. 40, 1, p. 111-118 8 p.

  Research output: Contribution to journal › Article › peer-review
  9 Citations (Scopus)

• Optimal Hedge Ratio Estimation and Effectiveness Using ARCD

  Kostika, E. & Markellos, R-N., 23 Jan 2012, In: Journal of Forecasting. 32, 1, p. 41-50 10 p.

  Research output: Contribution to journal › Article › peer-review
  5 Citations (Scopus)

• Optimal Price Setting in Fixed-Odds Betting Markets Under Information Uncertainty

  Markopoulou, V. & Markellos, R-N., 2011, In: Scottish Journal of Political Economy. 58, 4, p. 519-536 18 p.

  Research output: Contribution to journal › Article › peer-review
  10 Citations (Scopus)

• Parameter Uncertainty in Portfolio Selection: Shrinking the Inverse Covariance Matrix

  Kourtis, A., Dotsis, G. & Markellos, R., 2012, In: Journal of Banking and Finance. 36, 9, p. 2522-2531 10 p.

  Research output: Contribution to journal › Article › peer-review
  42 Citations (Scopus)

• Seasonality in the Athens stock exchange

  Markellos, R., 2000, In: Applied Financial Economics. 10, 2, p. 137-142 6 p.

  Research output: Contribution to journal › Article

  34 Citations (Scopus)

• Sovereign debt markets in light of the shadow economy

  Markellos, R. N., Psychoyios, D. & Schneider, F., 1 Jul 2016, In: European Journal of Operational Research. 252, 1, p. 220-231 12 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File
  10 Citations (Scopus)

  29 Downloads (Pure)

• The finite sample properties of the GARCH option pricing model

  Dotsis, G. & Markellos, R-N., 2007, In: Journal of Futures Markets. 27, 6, p. 599-615 17 p.

  Research output: Contribution to journal › Article › peer-review
  4 Citations (Scopus)

• Traded American Options are Bermudan

  Kourtis, A. & Markellos, R., 2011, In: Managerial Finance. 37, 11, p. 978-984 7 p.

  Research output: Contribution to journal › Article › peer-review

• Unit roots in the CAPM?

  Markellos, R. N. & Mills, T. C., 1 Aug 2001, In: Applied Economics Letters. 8, 8, p. 499-502 4 p.

  Research output: Contribution to journal › Article › peer-review
  7 Citations (Scopus)

• Wine Price Risk Management: International Diversification and Derivative Instruments

  Kourtis, A., Markellos, R. & Psychoyios, D., Apr 2012, In: International Review of Financial Analysis. 22, p. 30-37 8 p.

  Research output: Contribution to journal › Article › peer-review
  28 Citations (Scopus)