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Quantile stochastic frontier models with endogeneity (2020)
Journal Article
Tsionas, M. G., Assaf, A. G., & Andrikopoulos, A. C. (2020). Quantile stochastic frontier models with endogeneity. Economics letters, 188, https://doi.org/10.1016/j.econlet.2020.108964

In this paper, we extend Jradi et al. (2019). First, we use the asymmetric Laplace distribution which is a more reasonable assumption in quantile models. Second, we address the issue of statistical inference for the optimal quantile. Finally, we allo... Read More about Quantile stochastic frontier models with endogeneity.

On a High-Dimensional Model Representation method based on Copulas (2020)
Journal Article
Tsionas, M. G., & Andrikopoulos, A. (in press). On a High-Dimensional Model Representation method based on Copulas. European journal of operational research, https://doi.org/10.1016/j.ejor.2020.01.026

This article provides an alternative to High-Dimensional Model Representation using a Copula approximation of an unknown functional form. We apply our methodology in the context of an extensive Monte Carlo study and to a sample of large US commercial... Read More about On a High-Dimensional Model Representation method based on Copulas.

Testing moderation effects using non-parametric regressions (2020)
Journal Article
George Assaf, A., Tsionas, M. G., & Andrikopoulos, A. (2020). Testing moderation effects using non-parametric regressions. International Journal of Hospitality Management, 86, 102441. https://doi.org/10.1016/j.ijhm.2019.102441

Testing moderation effects is highly common in the hospitality literature. Most theories in the field depend on variables that alter the nature and direction of the relationship between two variables. While moderation continues to be heavily used, me... Read More about Testing moderation effects using non-parametric regressions.

Exchange-rate exposure and Brexit: The case of FTSE, DAX and IBEX (2019)
Journal Article
Andrikopoulos, A., Dassiou, X., & Zheng, M. (2020). Exchange-rate exposure and Brexit: The case of FTSE, DAX and IBEX. International review of financial analysis, 68, https://doi.org/10.1016/j.irfa.2019.101437

This paper studies the impact of the United Kingdom's June 2016 referendum to withdraw from European Union membership (“Brexit”) on foreign exchange (FX) exposures. We collect weekly data from 26 FTSE100, 10 IBEX35, and 17 DAX30 nonfinancial multinat... Read More about Exchange-rate exposure and Brexit: The case of FTSE, DAX and IBEX.

A note on the Gao et al. (2019) uniform mixture model in the case of regression (2019)
Journal Article
Tsionas, M. G., & Andrikopoulos, A. (in press). A note on the Gao et al. (2019) uniform mixture model in the case of regression. Annals of Operations Research, https://doi.org/10.1007/s10479-019-03475-w

We extend the uniform mixture model of Gao et al. (Ann Oper Res, 2019. https://doi.org/10.1007/s10479-019-03236-9) to the case of linear regression. Gao et al. (Ann Oper Res, 2019. https://doi.org/10.1007/s10479-019-03236-9) proposed that to charac... Read More about A note on the Gao et al. (2019) uniform mixture model in the case of regression.

Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods (2019)
Journal Article
Stafylas, D., & Andrikopoulos, A. (2020). Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods. Research in international business and finance, 52, https://doi.org/10.1016/j.ribaf.2019.101130

We analyse the drivers of hedge fund performance, focusing simultaneously on fund size, age, lockup period, fund strategies, business cycles and different market conditions, dealing with the omitted variable bias. We use exogenous break points and a... Read More about Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods.

Is there still a weather anomaly? An investigation of stock and foreign exchange markets (2019)
Journal Article
Andrikopoulos, A., Wang, C., & Zheng, M. (2019). Is there still a weather anomaly? An investigation of stock and foreign exchange markets. Finance research letters, 30, 51-59. https://doi.org/10.1016/j.frl.2019.03.026

Since Saunders (1993), there has been ongoing research on whether the weather can affect asset prices. Our study of the impact of weather on stock and foreign exchange (henceforth FX) markets shows that the weather has no effect during 2002–2018, sug... Read More about Is there still a weather anomaly? An investigation of stock and foreign exchange markets.

The weaker pound is a mixed bag for UK PLC as rivals move to adapt (2016)
Other
Andrikopoulos, T., & Dassiou, X. (2016). The weaker pound is a mixed bag for UK PLC as rivals move to adapt

The conventional wisdom about a falling currency and exports fails to acknowledge some fundamental points. Our research highlights that such analysis typically does not account for the existence and nature of a company’s competition, domestically and... Read More about The weaker pound is a mixed bag for UK PLC as rivals move to adapt.

Dynamic interaction between markets for leasing and selling automobiles (2014)
Journal Article
Andrikopoulos, A., & Markellos, R. N. (2015). Dynamic interaction between markets for leasing and selling automobiles. Journal of Banking and Finance, 50, 260-270. https://doi.org/10.1016/j.jbankfin.2014.01.032

We develop a model of dynamic interactions between price variations in leasing and selling markets for automobiles. Our framework assumes a differential game between multiple Bertrand-type competing firms which offer differentiated products to forwar... Read More about Dynamic interaction between markets for leasing and selling automobiles.


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