Search Results - person:"Nikolaidis, Vasilis"

Discussing the consistency of the Euro area : ten years after, is there a real integration?

Makris, Ilias A.; Nikolaidis, Vasilis N. - In: Global business & economics review 17 (2015) 3, pp. 280-297

Persistent link: https://www.econbiz.de/10011498521

Identifying stocks' characteristics before market crashes: the case of the Athens stock exchange

Makris, Ilias A.; Nikolaidis, Vasilis N.; … - In: Global Business and Economics Review 15 (2013) 1, pp. 76-87

Many surveys analyse the volatility of stock market indexes, omitting the role of individual stocks in that phenomenon. In the present study, we focus on that part of the market, using financial and market data from listed firms in the Athens Stock Exchange (ASE) index in several crashes, during...

Persistent link: https://www.econbiz.de/10010816578

Value-at-risk for the long and short trading position with the Pearson type-IV distribution

Stavroyiannis, Stavros; Makris, Ilias; Nikolaidis, Vasilis - In: Global Business and Economics Review 15 (2013) 1, pp. 14-27

We examine the value-at-risk where the volatility and returns are modelled via a typical GARCH(1,1) model and the innovations process is the Pearson type-IV distribution. As case studies, we examine the NASDAQ and FTSE100 indices from 12-Dec-1984 to 21-Dec-2000. The model is fitted to the data...

Persistent link: https://www.econbiz.de/10010668975