George Filis

George Filis
University of Patras | UP · Department of Economics

BSc, MA, PhD

About

93
Publications
34,532
Reads
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5,265
Citations
Citations since 2017
42 Research Items
4631 Citations
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201720182019202020212022202302004006008001,000
201720182019202020212022202302004006008001,000
Introduction
George Filis teaches at both undergraduate and postgraduate level and he supervises PhD students. His main teaching interests include money, banking and financial economics. His main research interests include energy economics, financial economics, business cycles and tourism economics. He has published in a number of internationally recognized academic journals and he is member of the editorial board for several academic journals.
Additional affiliations
September 2012 - December 2013
Bournemouth University
Position
  • Senior Lecturer in Financial Economics

Publications

Publications (93)
Article
We evaluate the economic usefulness of oil price forecasts by means of conditional forecasting of five US macroeconomic indicators. First, we forecast oil prices using a mixed sampling frequency framework, where oil prices are driven by information available at high-frequency; and subsequently we proceed with our macroeconomic conditional forecasts...
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Very little is known on how traditional risk metrics behave under intraday trading. We fill this void by examining the finiteness of the returns' moments and assessing the impact of their infinity in a risk management framework. We show that when intraday trading is considered, assuming finite higher order moments, potential losses are materially l...
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This paper examines the dynamic connectedness among the implied volatilities of oil prices (OVX) and fourteen other assets, which can be grouped into five different assets classes (i.e., energy commodities, stock markets, precious metals, exchange rates and bond markets). To do so we estimate a recently developed time-varying parameter vector autor...
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This study evaluates oil price forecasts based on their economic significance for macroeconomic predictions. More specifically, we first use the current state-of-the-art frameworks to forecast monthly oil prices and subsequently we use these forecasts, as oil price assumptions, to predict eurozone and Greek inflation rates and industrial production...
Article
Contrary to the current practice that mainly considers stand-alone statistical loss functions, the aim of the paper is to assess oil price volatility forecasts based on objective-based evaluation criteria, given that different forecasting models may exhibit superior performance at different applications. Thus, we forecast the implied and several in...
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This paper examines the effects of tax policies on international tourist arrivals to the Maldives using the fully modified ordinary least squares (FMOLS) panel data method. The Maldives is chosen as a case study because the nation is heavily dependent on tourism and earn up to 70% of total government revenue in tourism tax. As expected, the estimat...
Article
The aim of this paper is to investigate whether oil revenues in the MENA region lead to economic growth or whether the resource curse is evident. To do so we employ a panel Vector Auto-Regressive (PVAR) model comprising not only the economic growth and oil revenues but also the government expenditures. The latter variable is considered so as to exa...
Article
Forecasting oil price volatility is considered of major importance for numerous stakeholders, including, policy makers, industries and investors. This paper examines and evaluates the main factors that oil price volatility forecasters should consider before constructing their forecasting models. Such factors are related to: i) direct vs iterated fo...
Article
In this paper we investigate global determinants of oil price volatility by employing a time-varying parameter vector autoregressive (TVP-VAR) model. We focus on realised volatility and consider the impact from a set of potential determinants including oil supply, oil demand, oil inventory, financial market uncertainty, financial interbank stress,...
Article
Option pricing depends heavily on the volatility measure used. We examine two potential routes to improve the outcome of option pricing: extracting the variance from futures prices instead of the underlying asset prices, and calculating the variance in different frequencies with intraday data instead of daily closing prices. We perform a valuation...
Article
We consider spillovers between oil price volatility and key uncertainty indicators and we extend the applicability of the spillover index beyond economic inference, by generating forecasts of oil price volatility. The paper shows that spillovers do not contain significant predictive information, raising critical questions regarding the usefulness o...
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The current literature concentrates its attention to the interactions between oil and exchange rates, focusing only on the first moments. Extending this line of research, we investigate the time‐varying correlation between the volatilities of two oil benchmarks (Brent and WTI) and six currencies of the major oil‐importers and oil‐exporters, for the...
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Building on the increased interest in oil prices and other financial assets, this paper examines the dynamic conditional correlations among their implied volatility indices. We then proceed to the examination of the optimal hedging strategies and optimal portfolio weights for implied volatility portfolios between oil and fourteen asset volatilities...
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The aim of this study is to provide a novel method to assess whether retail fuel prices respond asymmetrically to changes in the international crude oil prices. To do so, we consider the whole supply chain, we use daily data and we depart from the current practice in the literature that focuses on prices. Rather, we consider the mark-ups of both th...
Article
We forecast the realized and median realized volatility of agricultural commodities using variants of the heterogeneous autoregressive (HAR) model. We obtain tick-by-tick data on five widely-traded agricultural commodities (corn, rough rice, soybeans, sugar, and wheat) from the CME/ICE. Real out-of-sample forecasts are produced for between 1 and 66...
Article
This study examines for the first time the relationship among the oil price shocks and the sovereign yield spreads in the EMU (which is collectively the largest oil-importer of the world), in a time-varying environment. In particular, we examine the time-varying correlation between oil price shocks and the 10-year sovereign yield spread of core and...
Article
This study examines for the first time the dynamic relationship between tourism growth and expected macroeconomic conditions of the destination country using a DCC-GARCH model. The focus is on the Spanish economy in which monthly tourist arrivals data from 1998 to 2017 were collected for five key origin countries and around the world. To capture ex...
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This paper investigates the effects of fiscal policy and public-sector size on the bilateral business cycle synchronisation between 14 EU countries, while controlling for the effects of factor productivity, trade, inflation, sectorial specialisation and trade intensity. A time-varying framework is employed to measure bilateral business cycle synchr...
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The aim of this study is to assess whether fuel prices in Greece respond asymmetrically to changes in the global oil prices. To do so, we depart from the current practice in the literature that focuses on fuel prices. Rather, we consider the markup of both the refineries and retailers. Even more, unlike the bulk of the existing literature, we take...
Article
Oil price volatility forecasts have recently attracted the attention of many studies in the energy finance field. The literature mainly concentrates its attention on the use of daily data, using GARCH-type models. It is only recently that efforts to use more informative intra-day data to forecast oil price realized volatility have been made. Despit...
Article
This study examines the globalisation-regionalisation hypothesis in the WTI/Brent crude oil futures price differential by considering a set of potential determinants at 1, 3 and 6 months to maturity contracts. To this end, we employ monthly data over the period 1993:1-2016:12 for a set of crude oil-market specific (convenience yield, consumption, p...
Article
In the current study, we identify the announcements that trigger substantial changes in the behaviour of the 10-year US Treasury market, without using the surprise component and, therefore, expectational data. We use a novel model-free approach based on extreme market movements related to price returns, volatility and traded volumes. Our findings c...
Article
The paper examines the importance of combining high frequency financial information, along with the oil market fundamentals, in order to gain incremental forecasting accuracy for oil prices. Inspired by French et al. (1987) and Bollerslev et al. (1988), who maintain that future asset returns are also influenced by past volatility, we use daily vola...
Article
Do oil prices and stock markets move in tandem or in opposite directions? The complex and time varying relationship between oil prices and stock markets has caught the attention of the financial press, investors, policymakers, researchers, and the general public in recent years. In light of such attention, this paper reviews research on the oil pri...
Article
Forecasting the economic policy uncertainty in Europe is of paramount importance given the ongoing sovereign debt crisis. This paper evaluates monthly economic policy uncertainty index forecasts and examines whether ultra‐high frequency information from asset market volatilities and global economic uncertainty can improve the forecasts relatively t...
Article
This study compares parametric and non-parametric techniques in terms of their forecasting power on implied volatility indices. We extend our comparisons using combined and model-averaging models. The forecasting models are applied on eight implied volatility indices of the most important stock market indices. We provide evidence that the non-param...
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This paper investigates the volatility spillovers and co-movements among oil prices and stock prices of major oil and gas corporations over the period between 18th June 2001 and 1st February 2016. To do so, we use the spillover index approach by Diebold and Yilmaz (2009, 2012, 2014, 2015) and the dynamic correlation coefficient model of Engle (2002...
Article
This paper revisits the ambiguous relationship between tourism and economic growth, providing a comprehensive study of destinations across the globe which takes into account the key dynamics that influence tourism and economic performance. We focus on 113 countries over the period 1995-2014, clustered, for the first time, around six criteria that r...
Article
This paper examines the resource curse hypothesis both within and between countries of different democratic footprint, based on a dynamic model that properly accounts for endogeneity issues. To achieve that, we apply a panel Vector Auto-Regressive (PVAR) approach along with panel impulse response functions to data on oil dependence variables, econo...
Article
Motivated from Ross (1989) who maintains that asset volatilities are synonymous to the information flow, we claim that cross-market volatility transmission effects are synonymous to cross-market information flows or “information channels” from one market to another. Based on this assertion we assess whether cross-market volatility flows contain imp...
Article
In this study we examine the dynamic interrelationship in the output--energy--environment nexus by applying panel vector autoregression (PVAR) and impulse response function analyses to data on energy consumption (and its subcomponents), carbon dioxide emissions and real GDP in 106 countries classified by different income groups over the period 1971...
Article
This article examines the relationship between investments and uncertainty for the US economy, as the latter is approximated by consumer sentiment, purchasing managers’ prospects and economic policy uncertainty. Contrary to the existing literature, we provide evidence that this relationship is time varying. The time variation is attributed to the o...
Article
In this study we examine the dynamic structural relationship between oil price shocks and stock market returns or volatility for a sample of both net oil–exporting and net oil–importing countries between 1995:09 and 2013:07. We accomplish that, by extending the Diebold and Yilmaz (2014) dynamic connectedness measure using structural forecast error...
Article
This paper investigates the time-varying conditional correlation between oil price and stock market volatility for six major oil-importing and oil-exporting countries. The period of the study runs from January 2000 until December 2014 and a Diag-BEKK model is employed. Our findings report the following regularities. (i) The correlation between the...
Article
Tourism studies have shown a growing interest in the relationship between tourism and the economy, with relevant work exploring the causal direction of effects between a country's international tourism presence and its overall economic performance (Schubert et al., 2011; Ivanov and Webster, 2013; Antonakakis et al., 2015). The product of this enqui...
Article
We investigate spillover effects from sentiment and mood shocks on US outbound tourism demand from 1996 until 2013. We use the Index of Consumer Sentiment and Economic Policy Uncertainty Index as proxies for sentiment and the S&P500 as a proxy for mood. We find a moderate to high interrelationship among sentiment, mood and outbound tourism demand....
Article
This paper provides the empirical framework to assess whether UK monetary policy shocks induce both the UK housing market and the UK stock market to remain at a high-volatility (risk) environment. The Markov regime switching modelling approach is employed in order to identify two distinct environments for each market; namely, a high-risk environmen...
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This study utilizes both disaggregated data and macroeconomic indicators in order to examine the importance of the macroeconomic environment of origin countries for analysing destinations’ tourist arrivals. In particular, it is the first study to present strong empirical evidence that both of these features in tandem provide statistically significa...
Article
The present study adds to the literature on the impact of fiscal policy on business cycle synchronisation. Specifically, it investigates the effects of fiscal policy on business cycle synchronisation between 10. EMU member-countries and the aggregate EMU12-wide business cycle, using a time-varying framework. The findings suggest that fiscal policy...
Article
The paper investigates the ability of oil price returns, oil price shocks and oil price volatility to provide predictive information on the state (high/low risk environment) of the US stock market returns and volatility. The disaggregation of oil price shocks according to their origin allows us to assess whether they contain incremental forecasting...
Article
In this study, we examine business cycle spillovers in the European Union based on the spillover index of Diebold and Yilmaz (2009, 2012) over the period 1977-2014. The results of our analysis reveal that: (i) The total spillover indices are of high magnitude and very responsive to extreme economic events. (ii) The direction and magnitude of spillo...
Article
In this study, we examine the dynamic relationship between tourism growth and economic growth, using a newly introduced spillover index approach. Based on monthly data for 10 European countries over the period 1995{2012, our analysis reveals the following empirical regularities. First, the tourism-economic growth relationship is not stable over tim...
Article
The aim of this research is to examine the time-varying correlation between selected industrial sector indices (oil-intensive, oil-substitutes and non-oilrelated) and oil price shocks. We investigate this correlation for both oil-importing and oil-exporting economies. Using data from 1998 until 2013 and employing a Scalar-BEKK model, we report the...
Article
•We examine the time-varying tourism-economic growth relationship.•This relationship is not stable in terms of both its magnitude and direction.•The study reveals changing patterns during major economic events.
Article
This study examines the time-varying correlations between oil prices shocks of different types (supply-side, aggregate demand and oil-market specific demand as per Kilian (2009) who highlighted that “Not all oil shocks are alike”) and stock market returns, using a Scalar-BEKK model. For this study we consider the aggregate stock market indices from...
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The paper investigates the time-varying correlation between the EU12-wide business cycle and the initial EU14 member-countries (Luxembourg is not included in our sample), using the multivariate scalar-BEKK and RiskMetrics approaches, for the period 1980-2009. The contemporaneous correlation results show that the business cycle synchronisation has m...
Article
This article investigates the time-varying correlation between the EU12-wide business cycle and the initial EU12 member-countries based on Scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980–2012. The paper provides evidence that changes in the business cycle synchronization correspond to major economic events that have ta...
Article
This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that, an extension of the Diebold and Yilmaz (2009, 2012) dynamic spillover index based on structural decomposition is...
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In this study, we investigate the financial and monetary policy responses to oil price shocks using a Structural VAR framework. We distinguish between net oil-importing and net oil-exporting countries. Since the 80s, a significant number of empirical studies have been published investigating the effect of oil prices on macroeconomic and financial v...
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This paper investigates the time-varying co-movements between stock market returns and oil price shocks, for both oil-importing and oil-exporting countries. To achieve this, we use data from 1998 until 2013 and employ a Scalar-BEKK model. Our findings are as follows: (i) the correlation between oil price shocks and index returns are showing some di...
Article
Full-text available
This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that, we extend the Diebold and Yilmaz (2009, 2012) dynamic spillover index using structural decomposition. The result...
Article
Full-text available
This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that, we extend the Diebold and Yilmaz (2009, 2012) dynamic spillover index using structural decomposition. The result...
Article
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The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three measures of volatility, i.e. the conditional, the realized and the implied volatility. The findings suggest that supply-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate dema...
Chapter
The recent experience in the European Monetary Union (EMU) with the debt crisis and its repercussions has revealed the fragility of the common currency area. Some argue that countries like Greece and Portugal should not have joined in the first place as their economies where not aligned with the European economies. Thus, one aspect of the debate on...
Article
The time-varying correlation between oil prices returns and European industrial sector indices returns, considering the origin of the oil price shock, is investigated. A time-varying multivariate heteroskedastic framework is employed to test the above hypothesis based on data from 10 European sectors. The contemporaneous correlations suggest that t...
Article
We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions. Highlights: We examine dynamic correlations of stock market returns, implied volatility and policy uncertainty. Dynamic corre...
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This paper examines the influence of oil prices on stock market time-varying correlation. Five stock market indices from both oil-importing (US, UK and Germany) and oil-exporting economies (Canada and Norway) are considered for the period 1988-2011. The findings from the DCC-GARCH framework suggest that the effects of oil price changes on stock mar...
Article
A Structural VAR model is employed to investigate the effects of monetary and fiscal policy shocks on stock market performance in Germany, UK and the US. A significant number of past studies have concentrated their attention on the relationship between monetary policy and stock market performance, yet only few on the effects of fiscal policy on sto...
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In this paper we examine the extent of time-varying correlations between stock markets returns and policy uncertainty based on a newly introduced uncertainty index by Baker et al. (2012). We identify several empirical regularities: (1) the dynamic correlations of policy uncertainty and stock market returns are consistently negative. (2) Increased s...
Article
This paper examines the relationship between the cyclical components of Greek GDP and international tourism income for Greece for the period 1976–2004. Using spectral analysis the authors find that cyclical fluctuations of GDP have a length of about nine years and that international tourism income has a cycle of about seven years. The volatility of...
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This paper examines sporting event's spillover effect to investor's behavior through event study analysis using the GARCH (p,q) model, focusing on the stock price effects of a sport sponsorship program during and after a sporting event. Studying stock price behavior during a sporting event is attempted for the first time in the marketing and sponso...
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This study examines the effect of the first introduction of Greek stock options (Greek Telecommunication Organisation, Intracom, National Bank of Greece and Alpha Bank) on stock prices and volatility for the period 1999 to 2002. We examine the asymmetric information hypothesis using a standard event study methodology and asymmetric Generalized Auto...
Article
The paper investigates the time-varying correlation between stock market prices and oil prices for oil-importing and oil-exporting countries. A DCC-GARCH-GJR approach is employed to test the above hypothesis based on data from six countries; Oil-exporting: Canada, Mexico, Brazil and Oil-importing: USA, Germany, Netherlands. The contemporaneous corr...
Article
This paper examines the relationship among consumer price index, industrial production, stock market and oil prices in Greece. Initially we use a unified statistical framework (cointegration and VECM) to study the data in levels. We then employ a multivariate VAR model to examine the relationship among the cyclical components of our series. The per...
Article
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This paper examines the degree of business cycles synchronisation between Bulgaria and the European Union (EU). The period of the study is 1999 Q1 – 2007 Q2. Using cross spectral analysis, we find that both economic areas share two common cycles at the frequencies of 0.029 and 0.59 cycles (34 and 17 quarters, respectively) but they exhibit a negati...
Article
In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with a two-month expiration period. The findings provide evidence that implied volatility is not an...
Article
This paper examines the empirical relationship between CPI, oil prices, stock market and unemployment in EU15 using a new computational approach. In particular, we propose a novel approach to train the well-known vector autoregressive (VAR) model using a particle swarm optimisation (PSO) method. Results demonstrate that PSO succeeds in training the...
Article
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The major objective of this article is to test who benefits most from sponsorship agreements: the sponsor or the sponsored organization. The article deals with stock market reaction to official football club sponsorship announcements using the event-study method. Our intention is to test 123 daily stock prices, in order to investigate the potential...
Article
In this study we examine the transmission mechanisms of the cyclical components of GDP, investments and the stock market in Greece. The period of the study is from 1989:I – 2005:II. Using spectral analysis we find that cyclical fluctuations of GDP and investments have length of about 4 years and stock market has a cycle of about 8 years. The amplit...
Conference Paper
Full-text available
The major objective of this study was to test if an official football club sponsorship announcement can influence football clubs' stockholders' behavior: stock returns and stock volatility. The paper dealt with stock market reaction on official football club sponsorship announcement using event-study method. Our research intention was to test 274 d...
Article
Full-text available
Emerging digital technologies and increasing interest in the computerized delivery of higher education have led to e-learning through electronic mail, the Internet, the World Wide Web (WWW), and multimedia. The major objective of this research outlet is to examine the e-learning evolution in business schools. Our research intentions are to investig...
Article
The purpose of this study is to test the efficiency level of the Athens Stock Exchange (ASE). It performs efficiency tests for the years 2000–2002. The results of these tests enable us to argue that over the two years of the study, ASE was not an efficient market as it suffered from volatility clustering. However, the FTSE/ASE 20 inde...
Article
Full-text available
The major objective of this study is to test if an Olympic Games sponsorship program can influence investors' behavior: stock returns, stock volatility and transaction volumes. The paper deals with stock market reaction on Olympic sponsorship announcement for service organizations using event-study method. Our research intention is to test 440 dail...
Article
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In this study we examine the degree of integration of the Greek stock market with the traditional and non-traditional European stock markets during the period 1994-2004, using monthly data. We use the French stock market as a proxy of the traditional stock markets and the Portuguese stock market as a proxy for the non-traditional ones. We divide ou...
Conference Paper
Full-text available
The major objective of this preliminary study is to conceptualise the relation between stock market integration and society's prosperity. In terms of this conceptualisation, we introduce the concept of "society's attainable growth". Our intention is to identify a high-priority strategic goal, which will empower the "social capital" in EU. The autho...
Article
Full-text available
In this paper, we argue that stock options are a highly effective marketing communications (marcoms) medium, which due to their influence on the profitability of the organization, possess characteristics that should be included in strategic marketing planning for financial and non-financial organizations. This study aims to test whether stock optio...
Article
In this paper, the authors argue that stock options are a highly effective marketing communications (marcoms) medium, which due to their influence on the profitability of the organisation, possess characteristics that should be included in strategic marketing planning for financial and non-financial organisations. This study aims to test whether st...

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