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Dr George Christodoulakis - publications

List of publications

2015

2014

  • Christodoulakis, G. (2014). Rating Agencies vs. Sovereign Debt Markets: A Tale of Interacting Risk Preferences. In Managing Risks in the European Periphery Debt Crisis: Lessons from the Trade-off between Economics, Politics and the Financial Markets. (1 ed.). United Kingdom: Palgrave Macmillan . . Publication link: 98137a5b-13bc-4638-8124-9e5a7e431fa7
  • Christodoulakis, G. (2014). Managing Risks in the European Periphery Debt Crisis: lessons from the trade-off between economics, politics and the financial markets. (Studies in Banking and Financial Institution Series). United Kingdom: Palgrave Macmillan .. Publication link: 67d46d01-64ca-4ea7-86ef-43434f290719
  • Christodoulakis, G. (2014). Privatization of State Assets in the Presence of Crisis. In Managing Risks in the European Periphery Debt Crisis: Lessons from the Trade-off between Economics, Politics and the Financial Markets. (1 ed.). United Kingdom: Palgrave Macmillan . . Publication link: c9bff348-6d9d-41b2-8ab8-96602c029910
  • Christodoulakis, G., Batiz-Zuk, E., & Poon, S-H. (2014). The Robustness of Estimators in Structural Credit Loss Distributions. The Journal of Credit Risk, 11(2), 67-97. DOI: 10.21314/JCR.2015.193. Publication link: f412fbfa-a7ad-462b-bd6a-e4c92e03f7be

2013

2012

2011

2010

2009

  • Christodoulakis, G. A., & Mamatzakis, E. C. (2009). Assessing the prudence of economic forecasts in the EU. Journal of Applied Econometrics, 24(4), 583-606. DOI: 10.1002/jae.1045. Publication link: e269895d-c118-4e2a-b046-cc12d011f79e
  • Christodoulakis, G., & Peel, D. (2009). The central bank inflation bias in the presence of asymmetric preferences and non-normal shocks. Economics Bulletin, 29(3), 1608-1620. . Publication link: ab02f4b8-ad94-47ba-9bba-aa64e9cd5eb9

2008

2007

  • Christodoulakis, G. A., G, A., & Satchell, S. E. (2007). The Validity of Credit Risk Rating Model Validation Methods. In The Analytics of Risk Model Validation. London: Elsevier Butterworth-Heinemann. . Publication link: 741a38a8-64e2-4bc0-8ad2-46cd0e6ca197
  • Christodoulakis, G. A. (2007). The Evolution of Credit Risk Phenomena, Methods and Management. Bank of Greece Economic Bulletin, 28(2). . Publication link: 6675e094-e3f8-429f-8da6-2654b482b503
  • Christodoulakis, G. A. (2007). Markovian Credit Transition Probabilities Under Inequality Constraints: the US Portfolio 1984-2004. Journal of Credit Risk, 3/3. . Publication link: 93266992-271c-4e20-a4a8-42ca5b4eb5b6
  • Christodoulakis, G. (2007). Common Volatility and Correlation Clustering in Asset Returns. European Journal of Operational Research, 182, 1263-1284. DOI: 10.1016/j.bbr.2011.03.031. Publication link: 179961e7-4341-4b56-bd58-d00c4cf54c02

2006

2005

2004

  • Christodoulakis, G. A., Knight, J. (Ed.), & Satchell, S. (Ed.) (2004). Sharpe Style Analysis in the MSCI Countries and Sectors: A Monte Carolo integration approach (Reprinted from ORIJ). In Linear Factor Models in Finance. London: Elsevier Butterworth-Heinemann. . Publication link: 93d1520b-a40f-4d67-8b13-a7d2a2c74114
  • Christodoulakis, G. A. (2004). Credit Risk Models of Merton (1974)-Type and their Predictive Ability as Early Warning Systems. Bulletin of the Hellenic Banks Association, 38. . Publication link: 89636ebf-e6ad-4910-bd63-37c837d17a4f
  • Christodoulakis, G. A., & Satchell, S. E. (2004). Forecast evaluation in the presence of unobserved volatility. Econometric Reviews, 23(3), 175-198. DOI: 10.1081/ETC-200028199. Publication link: a7679430-39eb-4c8b-bb53-92e6472437fd

2003

2002

  • Christodoulakis, G. A., & Satchell, S. E. (2002). Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns. European Journal of Operational Research, 139(2), 351-370. DOI: 10.1016/S0377-2217(01)00361-7. Publication link: ab2431bf-cd1b-4dc5-95e6-cd219b0611b2
  • Christodoulakis, G., G, A., & Satchell, S. E. (2002). On the Evolution of Global Style Factors in the MSCI University of Assets. International Transactions in Operational Research, 9(5), 643-660. DOI: 10.1111/1475-3995.00379. Publication link: c808c58c-163a-4af7-b0d1-903274abeb37
  • Christodoulakis, G. A. (2002). Generating Composite Volatility Forecasts with Radom Factor Betas. In Forecasting Volatility in the Financial Markets. London: Elsevier Butterworth-Heinemann. . Publication link: 9bbbb1ae-2262-4104-a343-d816943d5099

2001

  • Christodoulakis, G. A., & Mitchie, J. (Ed.) (2001). Short-Termism in Financial Markets. In Reader's Guide to the Social Sciences. Chicago: Routledge Taylor & Francis Group. . Publication link: bd172691-f8c6-46a1-b025-7747964fd1e8

1999

  • Christodoulakis, G. A., & Satchell, S. E. (1999). The simulation of option prices with application to LIFFE options on futures. European Journal of Operational Research, 114(2), 249-262. . Publication link: 06f627fa-8fae-4e6c-8669-3e96fa1667cd