Biography

I am Professor of Finance and Director of Research and Enterprise at NBS. I am also Distinguished Professor in the Lee Shau Kee School of Business and Administration, Hong Kong.

My expertise are in the area of empirical finance and quantitative methods. I have a particular interest in the role, analysis and modelling of information in investment and corporate finance. I have made contributions in the area of information finance (here is my widely cited work on the use of Google Trends to proxy financial information demand), estimation risk (recent work here) and environmental finance (here is my widely cited work on carbon asset pricing).

My professional experience includes over 20 years of consulting and training for organizations in the private and public sector in the US, UK, Germany, Greece and Luxemburg. I am currently part of the board of the Norwich Financial Industry Group (FIG), representing NBS.

You can follow my tweets @UtopianMarket.


 

All Publications

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Markellos, R. N., Psychoyios, D.

(2017)

Interest Rate Volatility and Risk Management: Evidence from CBOE Treasury Options,

in The Quarterly Review of Economics and Finance

Full Text UEA Repository

(Article)

(E-pub ahead of print)


Kourtis, A., Markellos, R. N., Symeonidis, L.

(2016)

An International Comparison of Implied, Realized and GARCH Volatility Forecasts,

in Journal of Futures Markets

36

(12)

article no. 1164–1193

Full Text UEA Repository

(Article)

(Published)


Markellos, R. N., Psychoyios, D., Schneider, F.

(2016)

Sovereign debt markets in light of the shadow economy,

in European Journal of Operational Research

252

(1)

pp. 220-231

Full Text UEA Repository

(Article)

(Published)


Andrikopoulos, A., Markellos, R. N.

(2015)

Dynamic interaction between markets for leasing and selling automobiles,

in Journal of Banking and Finance

50

pp. 260-270

Full Text UEA Repository

(Article)

(Published)


Daskalakis, G., Symeonidis, L., Markellos, R.

(2015)

Electricity futures prices in an emissions constraint economy: Evidence from European power markets,

in The Energy Journal

36

(3)

pp. 1-33

Full Text UEA Repository

(Article)

(Published)


Makropoulou, V., Dotsis, G., Markellos, R. N.

(2013)

Environmental Policy Implications of Extreme Variations in Pollutant Stock Levels and Socioeconomic Costs,

in The Quarterly Review of Economics and Finance

53

(4)

pp. 417–428

Full Text UEA Repository

(Article)

(Published)


Vlastakis, N., Markellos, R.

(2012)

Information Demand and Stock Market Volatility,

in Journal of Banking and Finance

36

(6)

pp. 1808-1821

Full Text UEA Repository

(Article)

(Published)


Kourtis, A., Markellos, R., Psychoyios, D.

(2012)

Wine Price Risk Management: International Diversification and Derivative Instruments,

in International Review of Financial Analysis

22

pp. 30-37

Full Text UEA Repository

(Article)

(Published)


Kostika, E., Markellos, R.

(2012)

Optimal Hedge Ratio Estimation and Effectiveness Using ARCD,

in Journal of Forecasting

32

(1)

pp. 41-50

Full Text UEA Repository

(Article)

(Published)


Dotsis, G., Makropoulou, V., Markellos, R.

(2012)

Investment under uncertainty and volatility estimation risk,

in Applied Economics Letters

19

(2)

pp. 133-137

Full Text UEA Repository

(Article)

(Published)


Kourtis, A., Dotsis, G., Markellos, R.

(2012)

Parameter Uncertainty in Portfolio Selection: Shrinking the Inverse Covariance Matrix,

in Journal of Banking and Finance

36

(9)

pp. 2522-2531

Full Text UEA Repository

(Article)

(Published)


Kourtis, A., Markellos, R.

(2011)

Traded American Options are Bermudan,

in Managerial Finance

37

(11)

pp. 978-984

Full Text UEA Repository

(Article)

(Published)


Markellos, R.

(2011)

Nonlinear Cointegration using Lyapunov Stability Theory,

in Progress in Financial Markets Research.

Nova Science Publishers

UEA Repository

(Chapter)

(Published)


Markopoulou, V., Markellos, R.

(2011)

Optimal Price Setting in Fixed-Odds Betting Markets Under Information Uncertainty,

in Scottish Journal of Political Economy

58

(4)

pp. 519-536

Full Text UEA Repository

(Article)

(Published)


Symeonidis, L., Daskalakis, G., Markellos, R.

(2010)

Does the Weather Affect Stock Market Volatility?,

in Finance Research Letters

7

(4)

pp. 214-223

Full Text UEA Repository

(Article)

(Published)


Kritikos, M., Prastacos, G., Markellos, R.

(2010)

Corporate Real Estate Analysis: Evaluating Telecom Branch Efficiency in Greece,

in Applied Economics

42

(9)

pp. 1133-1143

Full Text UEA Repository

(Article)

(Published)


Psychoyios, D., Dotsis, G., Markellos, R.

(2010)

A Jump Diffusion Model for VIX Volatility Options and Futures,

in Review of Quantitative Finance and Accounting

35

(3)

pp. 245-269

Full Text UEA Repository

(Article)

(Published)


Daskalakis, G., Markellos, R.

(2009)

Are electricity risk premia affected by emission allowance prices?: Evidence from the EEX, Nord Pool and Powernext,

in Energy Policy

37

(7)

pp. 2594-2604

Full Text UEA Repository

(Article)

(Published)


Daskalakis, G., Psychoyios, D., Markellos, R.

(2009)

Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme,

in Journal of Banking & Finance

33

(7)

pp. 1230-1241

Full Text UEA Repository

(Article)

(Published)


Markellos, R., Mills, T.

(2009)

Financial Economics, Non-linear Time Series in,

in Encyclopedia of Complexity and Systems Science.

Springer

pp. 3435-3448

ISBN 978-0-387-75888-6

UEA Repository

(Chapter)

(Published)


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Key Research Interests

I have used my expertise in finance, time series econometrics and data science to explore a broad spectrum of empirical issues involving volatility and higher moments, estimation risk, abrupt changes, attention and sentiment. My latest research focuses on the analysis and modelling of novel financial information sets which include: online Google data, news and text, social media and big data. I'm also doing research which deals with big problems of our time related to environmental finance. Most of the methodologies that I employ are described in the 3rd edition of the monograph "The Econometric Modelling of Financial Time Series" (by Cambridge University Press) which I have co-authored with Terry Mills (click here to take a peek inside this book).

For bibliometrics of my work see SSRN, Google Scholar, IDEAS and ResearchGate. I have 28 papers recorded in Scopus (Google citations) with over 400 (2,400) citations.

As you can see below, my research has been funded by a variety of public and private sources:

  • Carbon Asset Markets (2005-2009), Principal Investigator, €87,255, PENED program, Hellenic Ministry of Development.
  • Estimation Risk in Portfolio Selection (2010), Principal Investigator, €4,000, AUEB.
  • An Econometric Modelling of the International ICT Sector (2006), Principal Investigator, €15,000, Intrasoft.
  • Environmental Derivatives and Energy Risk Management (2002-2005), Leading Co-Investigator, €34,000, General Secretariat for Research & Technology, Greece.
  • Climate and Environment: Risk Management and Markets (2004-2005), Leading Co-Investigator, €80,000, General Secretariat for Research & Technology, Greece.
  • Fixed Income Performance attribution (2002-2005), Co-investigator, Bank of Greece. 
  • Cotton Market Risk Management (2003-2004), Co-investigator, Agricultural Bank of Greece. 
  • Econometric modelling of the economy and employment (2003-2004), Co-investigator, Hellenic Observatory of Employment.

If you are interested in doing a PhD with me at NBS, please have a look at my research first and then email me so that we can talk about your ideas and background. I am currently supervising two full-time research students at NBS: Jessica Wang (2012-, Behavioral Finance) and Effie Symitsi (2013-, Attention and Sentiment Modelling). Here is a list of PhD students I have advised in the past (along with first placements):

  •     George Dotsis, Lecturer in Finance, Essex Business School, University of Essex
  •     Dimitris Psychoyios, Lecturer in Finance, Manchester Business School
  •     Vasiliki Makropoulou, Assistant Professor, Utrecht School of Economics, Universiteit Utrecht
  •     George Daskalakis, Lecturer in Finance, NBS, UEA
  •     Eleftheria Kostika, (continued in) Bank of Greece
  •     Apostolos Kourtis, Lecturer in Finance, NBS, UEA
  •     Nikos Vlastakis, Lecturer in Finance, Cranfield School of Management
  •     Yichun Wang, Lecturer, Nottingham Business School.
  •     Efthymia Symitsi (2013-present), PhD candidate NBS, UEA; under faculty scholarship
  •     Panayiotis Stamolampros (2016-present), PhD candidate NBS, UEA; under faculty scholarship
  •     Trung Le (2016-present), PhD candidate NBS, UEA; under Vietnamese government scholarship
  •     Lucia Murgia (2016-present), PhD candidate NBS, UEA; under Graduate Teaching Assistantship

I routinely do ad hoc refereeing for journals and funding bodies, these include:

Econometrica, Journal of Banking and Finance, Review of Finance, European Economic Review, Economica, Journal of Empirical Finance, Journal of Futures Markets, European Journal of Operational Research, Financial Review, European Journal of Finance, Journal of International Financial Markets, Institutions & Money, International Review of Financial Analysis, Journal of Forecasting, International Journal of Forecasting, Journal of Economic Behavior and Organization, Physica A, Expert Systems with Applications, Quantitative Finance, Computers & Operations Research, Review of International Economics, Economic Modelling, Empirical Economics, Energy Journal, Energy Policy, Energy Economics, Resource and Energy Economics, Quarterly Review of Economics and Finance, Applied Economics, Applied Financial Economics, Scottish Journal of Political Economy, Journal of Policy Modeling, Bulletin of Economic Research, Journal of Sports Economics, Energy & Environment, Ekonomia, EFA 2008/2009/2010, Cambridge University Press, Elsevier, Research Grants Council of Hong Kong/China, Research Promotion Foundation of Cyprus.

Teaching Interests

I have been directly involved in teaching the following modules in NBS:

In terms of activities outside NBS, I teach an MBA course on Global Capital Markets at the International Hellenic University (IHU).

I am/have been external examiner for Essex Business School/University of Essex (2013-2016), University of Nottingham Business School (2013-) and Imperial College Business School (2016-).

Over the past 20 years, I have taught a variety of subjects in corporate and investment finance, valuation, project finance, entrepreneurial finance, energy finance, real estate finance, financial econometrics, mathematics and statistics at undergraduate and postgraduate level.

I have also developed the following teaching material:

  • Mills, T.C., Markellos, R.N. (2008) The Econometric Modelling of Financial Time Series, Cambridge University Press, 3rd edition. This is a bestselling monograph which has been widely cited (over 950 times in Google Scholar) and used as teaching material in leading schools such as Yale, Wharton, Chicago, Carnegie Mellon, Oxford, Birkbeck, UCLA, Warwick, Temple Univ., Cass, Manchester, Lancaster, Michigan State, Univ. of Georgia, Oslo, UC Davis, UCL, etc.
  • Markellos, R.N,. (2002-) Lecture Notes in Statistics, AUEB.
  • Markellos, R.N,. (2002-) Lecture Notes in Introductory Finance, AUEB.
  • Markellos, R.N,. (2004-) Lecture Notes in Corporate Finance, AUEB.
  • Markellos, R.N,. (2005-) Lecture Notes in Project Finance, AUEB.
  • Markellos, R.N., Mills, T.C. (1997) Statistical Inference, Modelling and Forecasting with EXPO/Econometrics, LMT Inc, Cambridge MA (90 pp.).
  • Markellos, R.N., Mills, T.C., Siriopoulos, C. (1996) Portfolio Trading with EXPO/BasketTrader LMT Inc, Cambridge MA (90 pp.).
  • Markellos, R.N., Mills, T.C., Siriopoulos, C. (1996) Handbook of Neural Network Analysis with EXPO/Neural Net, LMT Inc, Cambridge MA (75 pp.).
  • Markellos, R.N., Mills, T.C. (1998) Case Studies in Computational Finance.

 

Professional Activities

My professional experience includes over 15 years of consulting and training for organizations in the US, UK, Germany, Luxemburg and Greece. My interests and expertise are mostly linked to my research. At present, I'm doing work on: car leasing residual value risk management and analytics, asset management applications of estimation, and, trading system design using events, social media and big data.Here is an indicative list of projects where I have been involved with a leading role:

  • Digital Business Data Services, Analytics and Consulting for Investment and Corporate Exploration, UEA Associate Dean of Enterprise’s Competition for the Social Sciences Faculty, £5,000.
  • Mastering Electricity Markets and Derivatives (2005), Executive Training.
  • Project Finance (2009), Executive Training.
  • Corporate Real Estate Financing and Management (2003-2006), Executive Training and advisory services, OTEstate SA, Greece.
  • Actuarial Research (2009-2010), Advisory services, City of Athens.
  • Expert Opinion for £150M Project Finance International Tender (2009-2010), Advisory services, GAIAOSE, Greece.
  • Strategic and Business Planning (2006-2007), Advisory services, Athens Olympic Stadium.
  • Audit of end-users funded under European Regional Development Fund (2006-2008), leading advisor for AUEB in Grant Thornton-led consortium, £3.8M, Greece.
  • Treasury Financial Advisor for a portfolio of €60M placed in capital guaranteed products on FX and international equity indices (2004), Advisory services, OPAP SA, Greece.
  • How to expland financing for SMEs (2007-2008), Advisory services, Ministry of Development and Economic Chamber of Greece.
  • Securitization of an auto-leasing residual value portfolio of €350M (2003-2005), Advisory services, KGAL, Germany.
  • Design, development and implementation of the AutoRisk© leasing risk management software (2001-2005), Advisory services, ASL, Germany.
  • Documentation, planning and development of financial analytics (1996-1999), Advisory services, Leading Market Technologies, US.

I am a regular speaker at professional conferences and corporate events. My work has attracted attention by media such as Reuters, Bloomberg, Financial Times, BBC, Daily Telegraph and Daily Mail.

Selection of recent media exposure: