Publications in International Refereed Journals
Skintzi, V. (2019), “Determinants of stock-bond comovement in the Eurozone under model uncertainty”, International Review of Financial Analysis, 61, 20-28.
Markopoulou, C., Skintzi, V., Refenes, A. (2016), “Realized hedge ratio: Predictability and hedging performance”, International Review of Financial Analysis, 45, 121-133.
Boffelli, S., Skintzi, V., Urga, G. (2016), “High- and low-frequency correlations in European government bond spreads and their macroeconomic drivers, Journal of Financial Econometrics, 15, 62-105.
Markopoulou, C., Skintzi, V., Refenes, A. (2016), “On the predictability of model free implied correlation”, International Journal of Forecasting, 32, 527-547.
Andrikopoulos, A., Angelidis, T., Skintzi, V. (2014), “Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers”, International Review of Financial Analysis, 35, 118-127.
Skintzi, V., Xanthopoulos-Sisinis, S. (2007), “Evaluation of correlation forecasting models for risk management”, Journal of Forecasting, 26, 497-526.
Skintzi, V., Refenes, A. (2006), “Bond volatility spillovers and dynamic correlation in European bond markets”, Journal of International Financial Markets, Institutions and Money, 16 (1), pp. 23-40.
Skintzi, V., Refenes, A., (2005), “Implied correlation index: A new measure of diversification”, Journal of Futures Markets, 25, 171-197.)
Skintzi, V., Skiadopoulos, G., Refenes, A. (2005), “The effect of mis-estimating correlation on Value-at-Risk”, Journal of Alternative Investments, 7, 66-82.
Working papers
Fameliti, S., Skintzi, V. (2019), “Predictive ability and economic gains from volatility forecast combinations” (under review)
Pastra, A., Koufopoulos, D., Skintzi, V. (2019), “Conflict, board effectiveness and Organisation Performance: The case of Nordic Boards” (submitted)
Skintzi, V., (2019), “Economic uncertainty and stock market volatility prediction”
Book editing
Editing of the Greek version of book Applied econometrics, D. Asteriou, S. Hall, 2018 published by Propobos editions (ISBN 9786185036331)
