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1

Index futures and options and stock market volatility

Pericli, Andreas, Koutmos, Gregory

Journal:

Journal of Futures Markets

Year:

1997

Language:

english

File:

PDF, 266 KB

english, 1997

2

Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets

Panayiotis Theodossiou, Emel Kahya, Gregory Koutmos, Andreas Christofi

Journal:

Financial Review

Year:

1997

Language:

english

File:

PDF, 955 KB

english, 1997

3

Currency bid-ask spread dynamics and the Asian crisis: Evidence across currency regimes

Gregory Koutmos, Anna D. Martin

Journal:

Journal of International Money and Finance

Year:

2011

Language:

english

File:

PDF, 179 KB

english, 2011

4

Hedging GNMA Mortgage-Backed Securities with T-Note Futures: Dynamic versus Static Hedging

Gregory Koutmos, Andreas Pericli

Journal:

Real Estate Economics

Year:

1999

File:

PDF, 1.90 MB

1999

5

Higher Co-Moment CAPM and Hedge Fund Returns

Knif, Johan, Koutmos, Dimitrios, Koutmos, Gregory

Journal:

Atlantic Economic Journal

Year:

2020

File:

PDF, 310 KB

2020

6

Exchange rate exposure in the pre- and post-Euro periods: evidence from Finland

Koutmos, Gregory, Knif, Johan

Journal:

European Journal of Finance

Year:

2011

Language:

english

File:

PDF, 113 KB

english, 2011

7

Asymmetric volatility transmission in international stock markets

Gregory Koutmos, G.Geoffrey Booth

Journal:

Journal of International Money and Finance

Year:

1995

Language:

english

File:

PDF, 989 KB

english, 1995

8

Temporal relationships and dynamic interactions between spot and futures stock markets

Koutmos, Gregory, Tucker, Michael

Journal:

Journal of Futures Markets

Year:

1996

Language:

english

File:

PDF, 802 KB

english, 1996

9

Is the Market Portfolio a Dynamic Factor? Evidence from Individual Stock Returns

Gregory Koutmos

Journal:

Financial Review

Year:

1997

Language:

english

File:

PDF, 940 KB

english, 1997

10

Modeling common volatility characteristics and dynamic risk premia in European equity markets

Gregory Koutmos, Johan Knif, George C. Philippatos

Journal:

The Quarterly Review of Economics and Finance

Year:

2008

Language:

english

File:

PDF, 149 KB

english, 2008

11

Linkages between the U.S. and Japanese stock markets: A bivariate garch-m analysis

Panayiotis Theodossiou, Gregory Koutmos

Journal:

Global Finance Journal

Year:

1994

Language:

english

File:

PDF, 970 KB

english, 1994

12

Asymmetric exchange rate exposure: theory and evidence

Gregory Koutmos, Anna D. Martin

Journal:

Journal of International Money and Finance

Year:

2003

Language:

english

File:

PDF, 121 KB

english, 2003

13

Financial risk management: dynamic versus static hedging

Koutmos, Gregory

Journal:

Global Business and Economics Review

Year:

1999

Language:

english

File:

PDF, 866 KB

english, 1999

14

Dynamic hedging of paper with T bill futures

Koutmos, Gregory, Pericli, Andreas

Journal:

Journal of Futures Markets

Year:

1998

Language:

english

File:

PDF, 197 KB

english, 1998

15

Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets

Gregory Koutmos

Journal:

Journal of Economics and Business

Year:

1998

Language:

english

File:

PDF, 131 KB

english, 1998

16

Modeling Short-Term Interest Rate Volatility

Koutmos, Gregory

Journal:

The Journal of Fixed Income

Year:

2000

Language:

english

File:

PDF, 133 KB

english, 2000

17

First- and Second-Moment Exchange Rate Exposure: Evidence from U.S. Stock Returns

Gregory Koutmos, Anna D. Martin

Journal:

Financial Review

Year:

2003

Language:

english

File:

PDF, 103 KB

english, 2003

18

Testing for Long Memory in the Feedback Mechanism in the Futures Markets

Antonios Antoniou, Gregory Koutmos, Gioia Pescetto

Journal:

Review of Behavioral Finance

Year:

2011

Language:

english

File:

PDF, 132 KB

english, 2011

19

Index futures and positive feedback trading: evidence from major stock exchanges

Antonios Antoniou, Gregory Koutmos, Andreas Pericli

Journal:

Journal of Empirical Finance

Year:

2005

Language:

english

File:

PDF, 180 KB

english, 2005

20

Modeling the Dynamics of MBS Spreads

Koutmos, Gregory

Journal:

The Journal of Fixed Income

Year:

2002

Language:

english

File:

PDF, 161 KB

english, 2002

21

Time variation and asymmetry in systematic risk: evidence from the Finnish stock exchange

Gregory Koutmos, Johan Knif

Journal:

Journal of Multinational Financial Management

Year:

2002

Language:

english

File:

PDF, 87 KB

english, 2002

22

Dynamic Cross Hedging with Mortgage-Backed Securities

Koutmos, Gregory, Kroner, Kenneth F, Pericli, Andreas

Journal:

The Journal of Fixed Income

Year:

1998

Language:

english

File:

PDF, 1.17 MB

english, 1998

23

Market frictions and stock return dynamics

Koutmos, Gregory, Philippatos, George C.

Journal:

Managerial Finance

Year:

2007

Language:

english

File:

PDF, 164 KB

english, 2007

24

Short-term Dynamics in the Cyprus Stock Exchange

Koutmos, Gregory, Pericli, Andreas, Trigeorgis, Lenos

Journal:

European Journal of Finance

Year:

2006

Language:

english

File:

PDF, 130 KB

english, 2006

25

Modeling interest rate volatility: an extended EGARCH approach

Koutmos, Gregory

Journal:

Managerial Finance

Year:

2012

Language:

english

File:

PDF, 151 KB

english, 2012

26

Asymmetric index stock returns: evidence from the G–7

Koutmos, Gregory

Journal:

Applied Economics Letters

Year:

1999

Language:

english

File:

PDF, 238 KB

english, 1999

27

Financial crises and the asymmetric relation between returns on banks, risk factors, and other industry portfolio returns

Högholm, Kenneth, Knif, Johan, Koutmos, Gregory, Pynnönen, Seppo

Journal:

Financial Review

Year:

2019

Language:

english

File:

PDF, 350 KB

english, 2019

28

Feedback trading and the autocorrelation pattern of stock returns: further empirical evidence

Gregory Koutmos

Journal:

Journal of International Money and Finance

Year:

1997

Language:

english

File:

PDF, 708 KB

english, 1997

29

Interaction of volatility and autocorrelation in foreign stock returns

Geoffrey Booth, G., Koutmos, Gregory

Journal:

Applied Economics Letters

Year:

1998

Language:

english

File:

PDF, 150 KB

english, 1998

30

Modeling Volatility of Foreign Exchange Price Changes

Kahya, Emel, Koutmos, Gregory, Nuven, Diep

Journal:

Managerial Finance

Year:

1994

Language:

english

File:

PDF, 498 KB

english, 1994

31

Dynamic interactions between stock and foreign exchange markets

Koutmos, Gregory

Journal:

Global Business and Economics Review

Year:

2000

Language:

english

File:

PDF, 635 KB

english, 2000

32

MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS

Gregory Koutmos

Journal:

Journal of Business Finance & Accounting

Year:

1996

Language:

english

File:

PDF, 751 KB

english, 1996

33

Positive feedback trading: evidence from futures markets

Antoniou, Antonios, Koutmos, Gregory, Pescetto, Gioia

Journal:

Global Business and Economics Review

Year:

2011

Language:

english

File:

PDF, 210 KB

english, 2011

34

Modeling time variation and asymmetry in foreign exchange exposure

Gregory Koutmos, Anna D. Martin

Journal:

Journal of Multinational Financial Management

Year:

2007

Language:

english

File:

PDF, 237 KB

english, 2007

35

THE LEVERAGE EFFECT IN INDIVIDUAL STOCKS AND THE DEBT TO EQUITY RATIO

Gregory Koutmos, Reza Saidi

Journal:

Journal of Business Finance & Accounting

Year:

1995

Language:

english

File:

PDF, 635 KB

english, 1995

36

Asymmetric Mean Reversion in European Interest Rates: A Two-factor Model

Koutmos, Gregory, Philippatos, George C.

Journal:

European Journal of Finance

Year:

2007

Language:

english

File:

PDF, 110 KB

english, 2007

37

Positive feedback trading: a review

Koutmos, Gregory

Journal:

Review of Behavioral Finance

Year:

2014

Language:

english

File:

PDF, 176 KB

english, 2014

38

Distributional asymmetry of loadings on market co-moments

Kenneth Högholm, Johan Knif, Gregory Koutmos, Seppo Pynnönen

Journal:

Journal of International Financial Markets, Institutions and Money

Year:

2011

Language:

english

File:

PDF, 439 KB

english, 2011

39

Volatility and autocorrelation in major European stock markets

Booth, G. Geoffrey, Koutmos, Gregory

Journal:

European Journal of Finance

Year:

1998

Language:

english

File:

PDF, 941 KB

english, 1998

40

Asymmetric Price and Volatility Adjustments in Emerging Asian Stock Markets

Gregory Koutmos

Journal:

Journal of Business Finance & Accounting

Year:

1999

Language:

english

File:

PDF, 114 KB

english, 1999

41

Bundesbank intervention effects through interest rate policy

G.Geoffrey Booth, Fred R Kaen, Gregory Koutmos, Heidemarie C Sherman

Journal:

Journal of International Financial Markets, Institutions and Money

Year:

2000

Language:

english

File:

PDF, 81 KB

english, 2000

42

Measuring the relative return contribution of risk factors

Knif, Johan, Kolari, James W., Koutmos, Gregory, Pynnönen, Seppo

Journal:

Journal of Asset Management

Year:

2019

Language:

english

File:

PDF, 685 KB

english, 2019

43

Positive feedback trading in emerging capital markets

Koutmos, Gregory, Saidi, Reza

Journal:

Applied Financial Economics

Year:

2001

Language:

english

File:

PDF, 195 KB

english, 2001

44

Estimating Systematic Risk Using Time Varying Distributions

Gregory Koutmos, Johan Knif

Journal:

European Financial Management

Year:

2002

Language:

english

File:

PDF, 379 KB

english, 2002

45

The Volatility of Interest Rates Across Maturities and Frequencies

Koutmos, Gregory

Journal:

The Journal of Fixed Income

Year:

1998

Language:

english

File:

PDF, 887 KB

english, 1998

46

APT With Observed Factors and Conditional Heteroskedasticity

Koutmos, Gregory, Theodossiou, Panayiotis

Journal:

Managerial Finance

Year:

1993

Language:

english

File:

PDF, 521 KB

english, 1993

47

Exchange Rate Exposure: Evidence from Finnish Stock Returns

Koutmos, Gregory, Knif, Johan Anders

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 131 KB

english, 2003

48

Risk dynamics around restatement announcements

Bardos, Katsiaryna Salavei, Cline, Brandon N., Koutmos, Gregory

Journal:

Review of Quantitative Finance and Accounting

Year:

2019

Language:

english

File:

PDF, 1.77 MB

english, 2019

49

Time-series properties and predictability of Greek exchange rates

Gregory Koutmos, Panayiotis Theodossiou

Journal:

Managerial and Decision Economics

Year:

1994

Language:

english

File:

PDF, 748 KB

english, 1994

50

Testing for Long Memory in the Feedback Mechanism in the Futures Markets

Antoniou, Antonios, Koutmos, Gregory, Pescetto, Gioia

Journal:

Review of Behavioral Finance

Year:

2011

Language:

english

File:

PDF, 223 KB

english, 2011

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