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Alexandros Gabrielsen
Alexandros Gabrielsen
Sumitomo Mitsui Banking Corporation Europe Limited
Verified email at gb.smbcgroup.com
Title
Cited by
Cited by
Year
Measuring market liquidity: An introductory survey
A Gabrielsen, M Marzo, P Zagaglia
arXiv preprint arXiv:1112.6169, 2011
932011
Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework
A Gabrielsen, A Kirchner, Z Liu, P Zagaglia
Annals of Financial Economics 10 (01), 1550005, 2015
342015
(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets
N Apergis, A Gabrielsen, LA Smales
Financial Markets and Portfolio Management 30 (1), 63-94, 2016
182016
Dynamics of credit spread moments of European corporate bond indexes
AH Alizadeh, A Gabrielsen
Journal of Banking & Finance 37 (8), 3125-3144, 2013
162013
Testing for Convergence in the European Insurance Sector: A Non-Linear Factor Approach
N Apergis, A Gabrielsen, J Payne, P Zagaglia
Asian Journal of Finance & Accounting 4 (2), 1, 2012
82012
Optimal hedge ratio estimation during the credit crisis: an application of higher moments
N Apergis, A Gabrielsen
Frontiers in Finance and Economics 9 (2), 64-84, 2012
52012
Measuring and modelling the market liquidity of stocks: Methods and issues
A Gabrielsen, M Marzo, P Zagaglia
Journal of Finance and Investment Analysis 1 (4), 1-8, 2012
42012
FORECASTING VOLATILITY OF EUROPEAN AND. ASIAN EQUITY INDICES WITH HANSEN'S SKEW-T AND FAT TAILED DISTRIBUTIONS, AS WELL AS WITH NON-LINEAR ASYMMETRIC EFFECTS.
A GABRIELSEN, S SARMPEZOUDIS
International Journal of Economic Research 9 (2), 2012
12012
Convergence and clustering of Tier 1 capital in the European banking sector: a non–linear factor approach
N Apergis, A Gabrielsen, JE Payne, P Zagaglia
International Journal of Monetary Economics and Finance 5 (2), 210-221, 2012
12012
Modelling the dynamics of credit spreads of European corporate bond indices
A Gabrielsen
City University London, 2010
12010
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an EWMA Framework
P ZAGAGLIA, A Gabrielsen, A Kirchner, Z Liu
ANNALS OF FINANCIAL ECONOMICS 10 (1), 1-29, 2015
2015
Modelling the Tail Risk in Private Equities and Hedge Funds
Y Daisai, A Gabrielsen
Available at SSRN 2407601, 2014
2014
The bank lending channel and lunar phases: Evidence from a panel of European banks
N Apergis, A Gabrielsen
Available at SSRN 1780005, 2011
2011
Regime Dependent Determinants of Credit Spread Indices
A Gabrielsen
The 67th International Atlantic Economic Conference, 0
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Articles 1–14