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

Publications: DR Stavroula Yfanti

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Karanasos M, Yfanti S ( 2025 ) . The Short- and Long-run Cyclical Variation of the Cross-asset Nexus: Mixed-Frequency Evidence on Financial and 'Financialised' Assets . Journal of Commodity Markets
Caporale GM, Yfanti S, Wu J ( 2024 ) . Financial integration and European tourism stocks . Handbook of Financial Integration , Edward Elgar Publishing
Margaronis ZNP, Metallinos GS, Karanasos M ( 2023 ) . An Advanced Approach to Algorithmic Portfolio Management . Essays on Financial Analytics , Springer Nature
Yfanti S, Karanasos M, Zopounidis C ( 2023 ) . Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics . European Journal of Operational Research vol. 304 , ( 2 ) 813 - 831 .
Caporale GM, Yfanti S ( 2022 ) . Macro-financial Linkages in the High-Frequency Domain: Economic fundamentals and the Covid-induced uncertainty channel in US and UK financial markets . International Journal of Finance and Economics
Karanasos M ( 2021 ) . On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities . Journal of International Financial Markets Institutions and Money vol. 74 ,
Yfanti S, Karanasos M ( 2021 ) . Financial volatility modeling with option-implied information and important macro-factors . Journal of the Operational Research Society vol. 73 , ( 9 ) 2129 - 2149 .
Karanasos M, Hunter J ( 2021 ) . Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises . Annals of Operations Research vol. 313 , ( 2 ) 1077 - 1116 .
Yfanti S, Chortareas G, Karanasos M ( 2020 ) . A three‐dimensional asymmetric power HEAVY model . International Journal of Finance & Economics vol. 27 , ( 3 ) 2737 - 2761 .
Caporale GM, Karanasos M ( 2020 ) . Investors' trading behaviour and stock market volatility during crisis periods: A dual long‐memory model for the Korean Stock Exchange . International Journal of Finance & Economics vol. 26 , ( 3 ) 4441 - 4461 .
Karanasos M ( 2020 ) . On the macro-drivers of realized volatility: the destabilizing impact of UK policy uncertainty across Europe . European Journal of Finance vol. 26 , ( 12 ) 1146 - 1183 .
Karanasos M, Yfanti S ( 2020 ) . The long memory HEAVY process: modeling and forecasting financial volatility . Annals of Operations Research vol. 306 , ( 1-2 ) 111 - 130 .
Caporale GM, Karanasos M, Yfanti S, Kartsaklas A ( 2019 ) . Investors' Trading Behaviour and Stock Market Volatility During Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange .
Caporale GM, Karanasos M, Yfanti S ( 2019 ) . Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility .
Karanasos M, Yfanti S ( 2016 ) . Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis . International Review of Financial Analysis vol. 45 , 332 - 349 .
Karanasos M, Paraskevopoulos AG, Ali FM ( 2014 ) . Modelling stock volatilities during financial crises: A time varying coefficient approach . Journal of Empirical Finance vol. 29 , 113 - 128 .
Karanasos M, Paraskevopoulos A, Ali FM, Karoglou M, Yfanti S ( 2014 ) . Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach .
Karanasos M, Paraskevopoulos A, Ali FM, Karoglou M, Yfanti S ( 2014 ) . Modelling Returns and Volatilities During Financial Crises: A Time Varying Coefficient Approach .
Konstantakis K, Michaelides P, Xidonas P, Yfanti S . Carbon Emissions and Sustainability in Co-Vid19's Waves: Evidence from a two-state dynamic Markov-Switching Regression (MSR) model . Annals of Operations Research
Daglis T, Yfanti S, Xidonas P, Konstantakis K, Michaelides P . Does solar activity affect the price of crude oil? A causality and volatility analysis (2007-2020) . Finance Research Letters
Caporale GM, Yfanti S, Karanasos M, Wu J . Financial Integration and European Tourism Stocks .
Yfanti S, Karanasos M, Wu J, Vourvachis P . Short- and Long-run Cross-border European Sustainability Interdependences . Annals of Operations Research
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