Prof. Gregory Koutmos
DolanSchoolof Business
Fairfield University, USA
Professor
Email: gkoutmos@mail.fairfield.edu
Qualifications
1990 Ph.D., in Economics, Graduate School and University Center of the City University of New York
1984 M.A., in Economics, City College of the City University of New York
1980 B.Sc., in Economics/Business, Graduate School of Business and Economic Studies (ASOEE), Athens-Greece
Publications (selected)
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"Modeling Interest Rate Volatility: An Extended EGARCH Approach" 2012, Managerial Finance, Vol. 38 Iss: 6 pp. 628 - 635.
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"Testing for Long Memory in the Feedback Mechanism in the Futures Markets" 2012, Forthcoming, Review of Behavioral Finance, with Antoniou and Pescetto.
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"Distributional Asymmetry of Loadings on Market Co-Moments" 2011, Journal of International Financial Markets Institutions and Money (with Hogholm, Knif and Pynnomen) 21(2011), pp. 851-866.
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"Exchange Rate Exposure in the Pre and Post-Euro Periods: Evidence from Finland" 2011, European Finance Journal, (with J. Knif) 17 Feb 2011 pp. 1466-4364.
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"Positive Feedback Trading: Evidence from Futures Markets" Global Business and Economics Review, 2011, (with A. Antoniou and G. Pescetto), Vol 13, No 1, pp. 13-25.
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"Currency Bid-Ask Spread Dynamics and the Asian Crisis: Evidence across Currency Regimes" 2011, Journal of International Money and Finance, 30:2011, 62-73 (with A. Martin).
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"Volatility Spillovers and Price Interdependencies: A Dynamic non-Parametric Approach" 2010, International Research Journal of Finance and Economics Issue 45:2010, (with K. Giannopoulos and R. Nekhili)
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"Modeling Common Volatility Characteristics and Dynamic Risk Premia in European Equity Markets" 2008, Quarterly Review of Economics and Finance, 48, 567-578, (with J. Knif and G. Philippatos).
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"Asymmetric Mean-Reversion in European Interest Rates: A Two-Factor Model" 2007, The European Journal of Finance, Vol. 13, Nos 7-8, 741-750, October-December 2007, (with G. Philippatos).
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"Modeling Time Variation and Asymmetry in Foreign Exchange Exposure" Journal of Multinational Financial Management, Vol. 17, (2007), 61-74 (with A. Martin).
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"Market Frictions and Stock Return Dynamics: Evidence from the Athens Stock Exchange" 2007 Managerial Finance, Vol. 33, No, 3, 2007 (with Philippatos).
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“Short-Term Dynamics in the Cyprus Stock Exchange" European Journal of Finance, Vol. 12, No. 3, pp., 205-216, April 2006 (with Trigeorgis and Pericli).
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"Index Futures and Positive Feedback Trading: Evidence from Major Stock Exchanges" Journal of Empirical Finance, 2005, Vol. 12, No. 2, pp. 219-238, lead article (with Antoniou and Pericli).
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"Asymmetric Exchange Rate Exposure: Theory and Evidence" Journal of International Money and Finance, 2003, Vol. 21, No. 7, pp. 365-383 (with A. Martin).
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"First and Second Moment Exchange Rate Exposure: Evidence from U.S. Stock Returns" Financial Review, 2003, Vol. 38, No. 3, pp. 455-471 (with A. Martin).
Profile Details
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