Timotheos Angelidis

Dr Angelidis obtained his PhD in Finance from the University of Piraeus (Department of Banking and Financial Management) in 2005. The thesis examined Statistical Methods of Calculating Value-at-Risk. He holds an MSc in Finance and Banking also from the University of Piraeus and a BSc in Statistics from the Athens University of Economics & Business. He is currently an Assistant Professor in Finance at the University of Peloponnese (Department of Economics). Before that, he was a Lecturer at the University of Crete and at the University of Aegean.

Dr Angelidis' teaching and research interests are in the areas of Portfolio Management and Risk Management. In particular, his current research focuses on the risk and return of global multi-asset contrarian strategies, predictability of asset returns, multi factor models of equity risk and their use in portfolio management, evaluation of mutual funds performance and the estimation of long-term Value-at-Risk.

His research has been cited more than 130 times in papers that are published in journals such as: Journal of Banking and Finance, Computational Statistics and Data Analysis, Quantitative Finance, Tourism Management, Applied Financial Economics, The Journal of Risk Finance, Applied Financial Economics Letters, Journal of the Royal Statistical Society: Series C, Review of Quantitative Finance and Accounting, Energy Policy, Emerging Markets Review, The Financial Review and International Review of Economics and Finance.

He teaches postgraduate courses (Financial Management and Financial Accounting) and undergraduate modules (Finance Management I and II, Financial Statement Analysis, and Money and Capital Markets). His average appraisal during the three last years from the students of the Greek Open University is 4.2 out of 5.

Current Position:

April 2013- Present: Assistant Professor in Finance, Department of Economics, University of Peloponnese.

Other Academic Positions:

September 2007-April 2013: Lecturer in Finance, Department of Economics, University of Peloponnese.

September 2011-February 2012: Research Visitor, Department of Economics, University of Portsmouth.

October 2008-July 2012: Visiting Lecturer, Greek Open University.

September 2006-August 2007: Visiting Lecturer, Department of Economics, University of Crete.

February 2006-August 2006: Visiting Lecturer, Financial and Management Engineering Department, University of Aegean.

September 2003 - March 2008: Research Fellow, ALBA Graduate Business School.

Non Academic Positions:

June 2006 - July 2007: EDEKT Asset Management.

December 2000 - February 2001: Metronet Investment Services.

January 2000 - November 2000: KIGEC Integration Laboratories.

February 1997 - August 1997: Greek Parliament.

Research Interests:

Portfolio Management and Risk Management: Risk and Return of Global Multi-Asset Contrarian Strategies, Predictability of Asset Returns, Multi Factor Models of Equity Risk, Mutual Funds Performance, and Long-Term Value-at-Risk.

Academic Qualifications:

2000-2005. Ph.D in Finance and Banking University Piraeus, Department of Finance and Banking Title of Thesis: Statistical Methods of Calculating Value-at-Risk. Supervisor: Assistant Professor Alexandros Benos Examiners: Professor G. Diagogiannis, Professor S. Makridakis, Professor N. Pitis, Professor N. Travlos, Professor. D. Maliaropoulos, Associate Professor M. Tsiritakis.

1998-2000. Master in Science in Banking and Finance University Piraeus, Department of Finance and Banking Title of Thesis: Derivatives Strategies Based on Volatility Forecasting Techniques. Supervisor: Associate Professor M. Tsiritakis.

1993-1997.B.Sc. in Statistics Athens University of Economics and Business, Department of Statistics

Publications in Refereed Academic Journals:

  1. "Revisiting Mutual Fund Performance Evaluation", (with N. Tessaromatis and D. Giamouridis).Journal of Banking and Finance (forthcoming).ABS 3*
  2. "Idiosyncratic Risk in Emerging Markets". Financial Review. (2010), 45, 1053-1078. ABS 3*
  3. "The efficiency of Greek public pension fund portfolios", (with N. Tessaromatis). Journal of Banking and Finance, (2010), 34, 2158-2167. ABS 3*
  4. "Idiosyncratic risk, returns and liquidity in the London Stock Exchange: A spillover approach.", (with A. Andrikopoulos). International Review of Financial Analysis, (2010), 19, 214-221. ABS 3*
  5. "Active Portfolio Management with Cardinality Constraints: An Application of Particle Swarm Optimization". (with N. Thomaidis, V. Vassiliadis and G. Dounias). New Mathematics and Natural Computation (2009) 3, 1-21.
  6. "Idiosyncratic risk matters! A regime switching approach" (with N. Tessaromatis). International Review of Economics and Finance (2009) 18, 132-141.
  7. "The Components of the Bid-Ask Spread: The Case of ASE" (with A. Benos). European Financial Management (2009) 15, 112-144. ABS 3*
  8. "Measuring the Market Risk of Freight Rates: A Value-at-Risk Approach" (with G. Skiadopoulos). International Journal of Theoretical and Applied Finance (2008) 11, 447-469. ABS 2*
  9. "Volatility Forecasting: Intra-day vs. Inter-day Models" (with S. Degiannakis). Journal of International Financial Markets, Institutions & Money (2008) 18, 449-465. ABS 3*
  10. "Does Idiosyncratic Risk Matter? Evidence from European Stock Markets." (with N. Tessaromatis). Applied Financial Economics (2008) 18, 125-137. ABS 2*
  11. "Idiosyncratic Volatility and Equity Returns: UK Evidence" (with N. Tessaromatis). International Review of Financial Analysis (2008) 17, 539-556. ABS 3*
  12. "Value-at-Risk for Greek Stocks" (with A. Benos). Multinational Finance Journal (2008) 12, 67-105. ABS 2*
  13. "Forecasting one-day-ahead VaR and intra-day realized volatility in the Athens Stock Exchange Market" (with S. Degiannakis). Managerial Finance (2008) 34, 489-497. ABS 1*
  14. "Backtesting VaR Models: A Two-Stage Procedure" (with S. Degiannakis). The Journal of Risk Model Validation (2007) 1, 1-22.
  15. "A Robust VaR Model Under Different Time Periods and Weighting Schemes" (with A. Benos and S. Degiannakis). Review of Quantitative Finance and Accounting (2007) 28, 187-201. ABS 3*
  16. "Liquidity Adjusted Value-at-Risk based on the components of the bid-ask spread" (with A. Benos). Applied Financial Economics (2006) 16, 835-851. ABS 2*
  17. "The Effect of the Market on the Spread: The case of the Athens Stock Exchange" (with A. Benos). Spoudai (2005) 55, 24-33.
  18. "Modeling Risk for Long and Short Trading Positions" (with S. Degiannakis). Journal of Risk Finance (2005) 6, 226-238. ABS 1*
  19. "Market Risk in Commodity Markets: A Switching Regime Approach" (with A. Benos). Economic & Financial Modelling (2004) 11, 103-148.
  20. "The Use of GARCH Models in VaR Estimation" (with A. Benos and S. Degiannakis). Statistical Methodology (2004) 1, 105-128.

Books

  1. "Econometric Modelling of Value-at-Risk. Financial Institutions and Services.". Nova Science Publishers, USA, (2008), with S. Degiannakis.

Chapters in Edited Volumes:

  1. "Risk and Returns in the Athens Stock Exchange". (with N. Tessaromatis). 'The Greek Financial System" 2009, (ed.) E. Tzavalis, Economic University of Athens.
  2. "Value-at-Risk Econometric Modeling". (with S. Degiannakis) New Econometric Modeling Research, 2008, (ed.) William, N. Toggins, Nova Science Publishers, Inc., USA.

Work in Progress:

  1. Global Equity Model
  2. Dispersion
  3. State Dependent Portfolios

Conference Presentations:

More than 35: FMA2012, Macro and Financial Econometrics Conference Heidelberg University 2011: 7th Meeting on Social Security and Complementary Pensions Systems, IAME 2007: 1st International Workshop in Economics and Finance, 11th Conference on Macroeconomic Analysis and International Finance, Fifth Conference On Research on Economic Theory and Econometrics, 2005: Conference of the Association of Southern European Economic Theorists, Financial Forecasting F2 section of the European Society of Computational Methods in Sciences and Engineering, 2nd International Conference on Applied Financial Economics, Fourth Conference On Research on Economic Theory and Econometrics, 15th Annual Meeting of the Multinational Finance Society, 12th Annual Meeting of the Multinational Finance Society, 2004 Annual Meeting of the European Financial Management Association, 2008 Annual Meeting of the European Financial Management Association, 8th Conference of the Swiss Society for Financial Market Research, IXth Spring Meeting of Young Economists, The Econometrics of the Microstructure of Financial Markets.

Guest Seminars:

  1. Bangor Business School, Bangor University, UK, 2011.
  2. Surrey Business School, Surrey University, UK, 2011.
  3. Department of University of Macedonia, Greece, 2011.
  4. Istanbul Bilgi University, Turkey, 2011.
  5. ALBA Graduate Business School, Greece, 2011.
  6. Department of Economics, University of Crete, Greece, 2009.
  7. ALBA Graduate Business School, Greece, 2009.
  8. Department of Economics, University of Peloponnese, Greece, 2005.
  9. Department of Economics, University of Ioannina, Greece, 2005.

Guest Seminars:

  1. Journal of Banking and Finance.
  2. The Financial Review.
  3. International Review of Economics and Finance.
  4. Journal of Applied Econometrics.
  5. International Review of Financial Analysis.
  6. Journal of Risk Finance.
  7. Applied Financial Economics.
  8. Quantitative Finance.

Projects:

  1. November 2007 - October 2009: EDEKT Asset Management. Creation of a Risk Model. Principal Investigator. Budget grant: 30.000€.
  2. October 1999-February 2000: Construction of Eurobank's EFG Mutual Fund. Junior Research Fellow. Budget grant: 25.000€

Student Supervision Completions:

14 Dissertations (MBA & MSc Level).

References:

  1. Travlos Nickolaos. ALBA Graduate Business School. Dean, The Kitty Kyriacopoulos Chair in Finance. Email: ntravlos@alba.edu.gr.
  2. 2. Tessaromatis Nicholas. ALBA Graduate Business School. Associate Professor of Finance. Email: ntessaro@alba.edu.gr.

Contact Infromation: