The use of GARCH models in VaR estimation T Angelidis, A Benos, S Degiannakis Statistical Methodology 1 (1), 105-128, 2004 | 466 | 2004 |
Liquidity adjusted value-at-risk based on the components of the bid-ask spread T Angelidis, A Benos Applied Financial Economics 16 (11), 835-851, 2006 | 127 | 2006 |
A robust VaR model under different time periods and weighting schemes T Angelidis, A Benos, S Degiannakis Review of Quantitative Finance and Accounting 28 (2), 187-201, 2007 | 108 | 2007 |
Revisiting mutual fund performance evaluation T Angelidis, D Giamouridis, N Tessaromatis Journal of Banking & Finance 37 (5), 1759-1776, 2013 | 96 | 2013 |
US stock market regimes and oil price shocks T Angelidis, S Degiannakis, G Filis Global Finance Journal 28, 132-146, 2015 | 80 | 2015 |
Measuring the market risk of freight rates: A value-at-risk approach T Angelidis, G Skiadopoulos International Journal of Theoretical and Applied Finance 11 (05), 447-469, 2008 | 79 | 2008 |
Volatility forecasting: Intra-day versus Inter-day models T Angelidis, S Degiannakis Journal of International Financial Markets, Institutions and Money 18 (5 …, 2008 | 76 | 2008 |
Idiosyncratic volatility and equity returns: UK evidence T Angelidis, N Tessaromatis International Review of Financial Analysis 17 (3), 539-556, 2008 | 76* | 2008 |
Idiosyncratic risk in emerging markets T Angelidis Financial Review 45 (4), 1053-1078, 2010 | 71 | 2010 |
Modeling risk for long and short trading positions T Angelidis, S Degiannakis The Journal of Risk Finance 6 (3), 226-238, 2005 | 54 | 2005 |
Backtesting var models: An expected shortfall approach T Angelidis, S Degiannakis SSRN, 2008 | 53 | 2008 |
Backtesting VaR Models: A Τwo-Stage Procedure T Angelidis, S Degiannakis MPRA Paper, 2007 | 53 | 2007 |
Idiosyncratic risk matters! A regime switching approach T Angelidis, N Tessaromatis International Review of Economics & Finance 18 (1), 132-141, 2009 | 51 | 2009 |
Value-at-risk for Greek stocks T Angelidis, A Benos Multinational Finance Journal 12 (1/2), 67-104, 2008 | 44 | 2008 |
Stock market dispersion, the business cycle and expected factor returns T Angelidis, A Sakkas, N Tessaromatis Journal of Banking & Finance 59, 265-279, 2015 | 42 | 2015 |
Global equity country allocation: An application of factor investing T Angelidis, N Tessaromatis Financial Analysts Journal 73 (4), 55-73, 2017 | 34 | 2017 |
Active portfolio management with cardinality constraints: An application of particle swarm optimization NS Thomaidis, T Angelidis, V Vassiliadis, G Dounias New Mathematics and Natural Computation 5 (03), 535-555, 2009 | 34 | 2009 |
The Components of the Bid‐Ask Spread: the Case of the Athens Stock Exchange T Angelidis, A Benos European Financial Management 15 (1), 112-144, 2008 | 34 | 2008 |
Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers A Andrikopoulos, T Angelidis, V Skintzi International Review of Financial Analysis 35, 118-127, 2014 | 32 | 2014 |
The efficiency of Greek public pension fund portfolios T Angelidis, N Tessaromatis Journal of Banking & Finance 34 (9), 2158-2167, 2010 | 31 | 2010 |