1. "Global Equity Country Allocation: An Application of Factor Investing" (with N. Tessaromatis). 2017.
  2. Stock Market Dispersion, the Business Cycle and Expected Factor Returns”. (with A. Sakkas and N. Tessaromatis). Journal of Banking and Finance (2015), 59, 265-279. ABS 3*
  3. “US stock market regimes and oil price shock”. (with S. Degiannakis and G. Fillis). Global Finance Journal (2015), 28, 132-146. ABS 2*
  4. "Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers”, (with A. Andrikopoulos, V. Skintzi). International Review of Financial Analysis (2014), 35, 118-127. ABS 3*
  5. “Global style portfolios based on country indices”, (with N. Τessaromatis). Bankers, Markets & Investors (2014) issue March-April.
  6. "Revisiting mutual fund performance evaluation”, (with D. Giamouridis and N. Tessaromatis). Journal of Banking and Finance, (2013), 37, 1759-1776. ABS 3*
  7.  “Idiosyncratic Risk in Emerging Markets”. Financial Review. (2010), 45, 1053-1078. ABS 3*
  8. “The efficiency of Greek public pension fund portfolios”, (with N. Tessaromatis). Journal of Banking and Finance, (2010), 34, 2158-2167. ABS 3*
  9. “Idiosyncratic risk, returns and liquidity in the London Stock Exchange: A spillover approach.”, (with A. Andrikopoulos). International Review of Financial Analysis, (2010), 19, 214-221. ABS 3*
  10. “Active Portfolio Management with Cardinality Constraints: An Application of Particle Swarm Optimization”. (with N. Thomaidis, V. Vassiliadis and G. Dounias). New Mathematics and Natural Computation (2009) 3, 1-21.
  11. “Idiosyncratic risk matters! A regime switching approach” (with N. Tessaromatis). International Review of Economics and Finance (2009) 18, 132-141. ABS 2*
  12.  “The Components of the Bid-Ask Spread: The Case of ASE” (with A. Benos). European Financial Management (2009) 15, 112-144. ABS 3*
  13. “Measuring the Market Risk of Freight Rates: A Value-at-Risk Approach” (with G. Skiadopoulos). International Journal of Theoretical and Applied Finance (2008) 11, 447-469. ABS 2*
  14. “Volatility Forecasting: Intra-day vs. Inter-day Models” (with S. Degiannakis). Journal of International Financial Markets, Institutions & Money (2008) 18, 449-465. ABS 3*
  15. “Does Idiosyncratic Risk Matter? Evidence from European Stock Markets.” (with N. Tessaromatis). Applied Financial Economics (2008) 18, 125-137. ABS 2*
  16. “Idiosyncratic Volatility and Equity Returns: UK Evidence” (with N. Tessaromatis). International Review of Financial Analysis (2008) 17, 539-556. ABS 3*
  17. “Value-at-Risk for Greek Stocks” (with A. Benos). Multinational Finance Journal (2008) 12, 67-105. ABS 1*
  18. “Forecasting one-day-ahead VaR and intra-day realized volatility in the Athens Stock Exchange Market” (with S. Degiannakis). Managerial Finance (2008) 34, 489-497. ABS 1*
  19. “Backtesting VaR Models: A Two-Stage Procedure” (with S. Degiannakis). The Journal of Risk Model Validation (2007) 1, 1-22.
  20. “A Robust VaR Model Under Different Time Periods and Weighting Schemes” (with A. Benos and S. Degiannakis). Review of Quantitative Finance and Accounting (2007) 28, 187-201. ABS 3*
  21. “Liquidity Adjusted Value-at-Risk based on the components of the bid-ask spread” (with A. Benos). Applied Financial Economics (2006) 16, 835-851. ABS 2*
  22. “The Effect of the Market on the Spread: The case of the Athens Stock Exchange” (with A. Benos). Spoudai (2005) 55, 24-33.
  23. “Modeling Risk for Long and Short Trading Positions” (with S. Degiannakis). Journal of Risk Finance (2005) 6, 226-238. ABS 1*
  24. “Market Risk in Commodity Markets: A Switching Regime Approach” (with A. Benos). Economic & Financial Modelling (2004) 11, 103-148.
  25. “The Use of GARCH Models in VaR Estimation” (with A. Benos and S. Degiannakis). Statistical Methodology (2004) 1, 105-128.



  1. “Investments” (in Greek), Utopia Publishing, 2015, with A. Samitas, D., Kenoyrgios, D. Kousenidis, K. Siriopoulos, A. Drakos.
  2. “Applied Corporate Finance” (in Greek), Broken Hill Publishers, Cyprus, 2013, with E. Tsiritakis and A. Zapranis
  3.  “Econometric Modelling of Value-at-Risk. Financial Institutions and Services.”. Nova Science Publishers, USA, (2008), with S. Degiannakis.

Chapters in Edited Volumes:

  1. “Risk and Returns in the Athens Stock Exchange”. (with N. Tessaromatis). ‘The Greek Financial System” 2009, (ed.) E. Tzavalis, Economic University of Athens.
  2. “Value-at-Risk Econometric Modeling”. (with S. Degiannakis) New Econometric Modeling Research, 2008, (ed.) William, N. Toggins, Nova Science Publishers, Inc., USA.