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Research
  1. Queen Mary University of London
  2. Research
  3. Publications

Publications: PROF George Skiadopoulos

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Skiadopoulos G, Xue C ( 2025 ) . Climate-triggered Institutional Price Pressure: Does it Affect Firms’ Cost of Equity? . Journal of Financial and Quantitative Analysis1 - 48 .
Faccini R, Matin R, Skiadopoulos G ( 2023 ) . Dissecting climate risks: Are they reflected in stock prices? . Journal of Banking & Finance vol. 155 ,
Hiraki K, Skiadopoulos G ( 2023 ) . The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure . The Journal of Derivatives vol. 31 , ( 1 ) 8 - 33 .
Skiadopoulos G ( 2021 ) . Positive Stock Information In Out-Of-The-Money Option Prices . Journal of Banking and Finance
Kapetanios G, Konstantinidi E, Neumann M ( 2019 ) . Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market . Journal of Financial Markets vol. 46 , 100506 - 100506 .
SKIADOPOULOS G, Bernales A ( 2018 ) . Learning and Index Option Returns . the Journal of Business and Economic Statistics
Faccini R, Konstantinidi E, Skiadopoulos GS, Sarantopoulou-Chiourea S ( 2018 ) . A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion .
Bernales A, Cortazar G, Salamunic L, Skiadopoulos GS ( 2018 ) . Learning and Index Option Returns .
Hiraki K, Skiadopoulos GS ( 2018 ) . The Contribution of Frictions to Expected Returns .
Daskalaki C, SKIADOPOULOS G, Topaloglou N ( 2017 ) . Diversification benefits of commodities: A stochastic dominance efficiency approach . Journal of Empirical Finance vol. 44 , 250 - 269 .
Gkionis K, Kostakis A, Skiadopoulos GS, Stilger PS ( 2017 ) . Positive Stock Information in Out-of-the-Money Option Prices .
Daskalaki C ( 2016 ) . The effects of margin changes on commodity futures markets . JOURNAL OF FINANCIAL STABILITY vol. 22 , 129 - 152 .
Konstantinidi E, Skiadopoulos G ( 2016 ) . How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns . JOURNAL OF BANKING & FINANCE vol. 62 , 62 - 75 .
SKIADOPOULOS G ( 2015 ) . Modeling the Dynamics of Temperature with a View to Weather Derivatives . World Scientific Handbook in Financial Economics Series , World Scientific Publishing Co Pte Ltd
Daskalaki C, Skiadopoulos GS, Topaloglou N ( 2015 ) . Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach .
Daskalaki C, Kostakis A ( 2014 ) . Are there common factors in individual commodity futures returns? . Journal of Banking & Finance vol. 40 , 346 - 363 .
Lambrinoudakis C, Skiadopoulos GS, Gkionis K ( 2014 ) . Capital Structure and Financial Flexibility: Expectations of Future Shocks .
Konstantinidi E, Skiadopoulos GS ( 2014 ) . How Does the Market Variance Risk Premium Vary Over Time? Evidence from S&P 500 Variance Swap Investment Returns .
Skiadopoulos G ( 2013 ) . Advances in the Commodity Futures Literature: <i>A Review</i> . JOURNAL OF DERIVATIVES vol. 20 , ( 3 ) 85 - 96 .
Neumann M, Skiadopoulos G ( 2013 ) . Predictable dynamics in higher order risk-neutral moments: Evidence from the S&P 500 options . Journal of Financial and Quantitative Analysis vol. 48 , ( 3 ) 947 - 977 .
Jiang GJ, Konstantinidi E ( 2012 ) . Volatility spillovers and the effect of news announcements . Journal of Banking & Finance vol. 36 , ( 8 ) 2260 - 2273 .
Goulas L, Skiadopoulos G ( 2012 ) . Are freight futures markets efficient? Evidence from IMAREX . International Journal of Forecasting vol. 28 , ( 3 ) 644 - 659 .
Daskalaki C, Kostakis A, Skiadopoulos GS ( 2012 ) . Are There Common Factors in Individual Commodity Futures Returns? .
Daskalaki C, Kostakis A, Skiadopoulos GS ( 2012 ) . Asset Pricing for Commodity Futures: A Puzzle .
Neumann M, Skiadopoulos GS ( 2012 ) . Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options .
Daskalaki C, Skiadopoulos GS ( 2012 ) . The Effects of Margin Changes on the Commodity Futures Markets .
Jiang GJ, Konstantinidi E, Skiadopoulos GS ( 2012 ) . Volatility Spillovers and the Effect of News Announcements .
LINARAS CE, SKIADOPOULOS G ( 2011 ) . IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS . International Journal of Theoretical and Applied Finance vol. 8 , ( 08 ) 1085 - 1106 .
ANGELIDIS T, SKIADOPOULOS G ( 2011 ) . MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH . International Journal of Theoretical and Applied Finance vol. 11 , ( 05 ) 447 - 469 .
SKIADOPOULOS G ( 2011 ) . VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY . International Journal of Theoretical and Applied Finance vol. 4 , ( 03 ) 403 - 437 .
Skiadopoulos G ( 2011 ) . Investing in commodities: Popular beliefs and misconceptions . Journal of Asset Management vol. 13 , ( 2 ) 77 - 83 .
Daskalaki C ( 2011 ) . Should investors include commodities in their portfolios after all? New evidence . Journal of Banking & Finance vol. 35 , ( 10 ) 2606 - 2626 .
Kostakis A, Panigirtzoglou N ( 2011 ) . Market Timing with Option-Implied Distributions: A Forward-Looking Approach . MANAGEMENT SCIENCE vol. 57 , ( 7 ) 1231 - 1249 .
Konstantinidi E ( 2011 ) . Are VIX futures prices predictable? An empirical investigation . International Journal of Forecasting vol. 27 , ( 2 ) 543 - 560 .
Goulas L, Skiadopoulos GS ( 2011 ) . Are Freight Futures Markets Efficient? Evidence from IMAREX .
Kostakis A, Panigirtzoglou N, Skiadopoulos GS ( 2011 ) . Market Timing with Option-Implied Distributions: A Forward-Looking Approach .
Papazian G, Skiadopoulos GS ( 2010 ) . Modeling the Dynamics of Temperature with a View to Weather Derivatives .
Konstantinidi E, Skiadopoulos G ( 2008 ) . Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices . Journal of Banking & Finance vol. 32 , ( 11 ) 2401 - 2411 .
Skiadopoulos G ( 2008 ) . Simulating the Evolution of the Implied Distribution . European Financial Management vol. 7 , ( 4 ) 497 - 522 .
Chantziara T ( 2008 ) . Can the dynamics of the term structure of petroleum futures be forecasted? Evidence from major markets . Energy Economics vol. 30 , ( 3 ) 962 - 985 .
Dotsis G, Psychoyios D, Skiadopoulos G ( 2007 ) . An empirical comparison of continuous-time models of implied volatility indices . Journal of Banking & Finance vol. 31 , ( 12 ) 3584 - 3603 .
Skiadopoulos G ( 2007 ) . The Greek implied volatility index: construction and properties . Applied Financial Economics vol. 14 , ( 16 ) 1187 - 1196 .
Psychoyios D, Skiadopoulos G ( 2005 ) . Volatility options: Hedging effectiveness, pricing, and model error . Journal of Futures Markets vol. 26 , ( 1 ) 1 - 31 .
Skintzi VD, Skiadopoulos G ( 2005 ) . The Effect of Misestimating Correlation on Value at Risk . The Journal of Alternative Investments vol. 7 , ( 4 ) 66 - 82 .
Panigirtzoglou N ( 2004 ) . A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options . Journal of Banking & Finance vol. 28 , ( 7 ) 1499 - 1520 .
PSYCHOYIOS D, SKIADOPOULOS G, ALEXAKIS P ( 2003 ) . A Review of Stochastic Volatility Processes: Properties and Implications . The Journal of Risk Finance vol. 4 , ( 3 ) 43 - 59 .
Skintzi VD, Skiadopoulos GS, Refenes AN ( 2003 ) . The Effect of Mis-Estimating Correlation on Value-at-Risk .
Skiadopoulos GS ( 2003 ) . The Greek Implied Volatility Index: Construction and Properties .
Panigirtzoglou N, Skiadopoulos GS ( 2002 ) . A New Approach to Modeling the Dynamics of Implied Distributions: Theory and Evidence from the S&P 500 Options .
Skiadopoulos G ( 2002 ) . The Simulation of the Implied Distribution and Other Smile Consistent Stochastic Volatility Models: An Overview . Applied Optimization . vol. 70 , 189 - 212 .
Skiadopoulos G, Hodges S ( 2000 ) . The Dynamics of the S&P 500 Implied Volatility Surface . Review of Derivatives Research vol. 3 , ( 3 ) 263 - 282 .
Skiadopoulos G, Hodges S ( 2000 ) . The Dynamics of Implied Volatility Surfaces . Applied Optimization . vol. 45 , 197 - 211 .
SKIADOPOULOS G, FACCINI R . A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion . Management Science
SKIADOPOULOS G, Lambrinoudakis C, GKIONIS K . Capital structure and financial flexibility: Expectations of future shocks . Journal of Banking and Finance
Skiadopoulos G . Climate-triggered institutional price pressure: Does it affect firms’ cost of equity? . Journal of Financial and Quantitative Analysis
Skiadopoulos G, Faccini R, Matin R . Dissecting Climate Risks:Are they Reflected in Stock Prices? . Journal of Banking and Finance
Ahn BH, Patatoukas PN, Skiadopoulos GS . Doing Good by Doing Well? The 'Chicken and Egg' Problem in the ESG Alpha Debate .
Kapetanios G, Neumann M, Skiadopoulos GS . Jumps in Option Prices and Their Determinants: Real-Time Evidence from the E-Mini S&P 500 Option Market . Journal of Financial Markets
Skiadopoulos G, Ahn BH, Patatoukas PN . Material ESG Alpha: A Fundamentals-Based Perspective . Accounting Review
Skiadopoulos G, Hiraki K . The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure . Journal of Derivatives
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