Nikolaos Kourogenis

University of Piraeus, Department of Banking and Financial Management

Lecturer

80 Karaoli & Dimitriou Str.

18534 Piraeus, 185 34 -GR

Greece

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 48,197

SSRN RANKINGS

Top 48,197

in Total Papers Downloads

1,117

SSRN CITATIONS

5

CROSSREF CITATIONS

5

Scholarly Papers (12)

1.

Selectivity, Market Timing and the Morningstar Star-Rating System

CESifo Working Paper Series No. 2580, DIW Berlin Discussion Paper No. 874
Number of pages: 27 Posted: 16 Mar 2009
University of Piraeus - Department of Banking and Financial Management, Brunel University London - Department of Economics and Finance, University of Piraeus, Department of Banking and Financial Management and University of Piraeus - Department of Banking and Financial Management
Downloads 537 (62,848)
Citation 2

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mutual fund, Morningstar Star-Rating System, CAPM, conditional and unconditional portfolio performance evaluation

2.

Mixing Conditions, Central Limit Theorems and Invariance Principles: A Survey of the Literature with Some New Results on Heteroscedastic Sequences

Number of pages: 60 Posted: 22 Jan 2009
Nikolaos Kourogenis and Nikitas Pittis
University of Piraeus, Department of Banking and Financial Management and University of Piraeus - Department of Banking and Financial Management
Downloads 160 (223,891)
Citation 1

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Central limit theorem, Invariance Principle, mixing, trending variances, variance break

3.

Time-Disaggregated Dividend-Price Ratio and Dividend Growth Predictability in Large Equity Markets

Number of pages: 32 Posted: 21 Feb 2014 Last Revised: 26 Jun 2016
Loughborough University - School of Business and Economics, University of Bath, University of Piraeus, Department of Banking and Financial Management and University of Piraeus
Downloads 120 (280,673)
Citation 2

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dividend growth, dividend-price ratio, predictability, dividend smoothing, mixed data sampling

4.

Revisiting Dividend Growth Predictability via Dividend Yield

Number of pages: 30 Posted: 10 Oct 2013 Last Revised: 25 Feb 2014
Loughborough University - School of Business and Economics, University of Bath, University of Piraeus, Department of Banking and Financial Management and University of Piraeus
Downloads 84 (354,978)

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Dividend growth, dividend yield, predictability, dividend smoothing, mixed frequency data analysis

5.

Can Autoregressive Betas Account for the Statistical Properties of Stock Returns?

Number of pages: 27 Posted: 01 Jan 2010 Last Revised: 18 Mar 2010
Nikolaos Kourogenis and Nikitas Pittis
University of Piraeus, Department of Banking and Financial Management and University of Piraeus - Department of Banking and Financial Management
Downloads 71 (390,949)

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autoregressive beta, stock returns, single factor model, serial correlation, conditional heteroscedasticity

6.

Aggregational Gaussianity and Barely Infinite Variance in Financial Returns

Number of pages: 22 Posted: 01 Aug 2012
Antonios Antypas, Phoebe Koundouri and Nikolaos Kourogenis
University of Piraeus - Department of Banking and Financial Management, Athens University of Economics and Business - Department of International and European Economic Studies and University of Piraeus, Department of Banking and Financial Management
Downloads 68 (400,097)
Citation 2

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Aggregational Gausianity, infinite variance, FIGARCH, financial returns

7.

A Note on Bootstrapping Autoregression Under Nonstationary Volatility

Number of pages: 28 Posted: 20 Jan 2012
Nikolaos Kourogenis
University of Piraeus, Department of Banking and Financial Management
Downloads 33 (540,913)

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Autoregression, Robust inference, Wild bootstrap, Polynomial trend, Nonstationary volatility, Eicker-White covariance matrix estimator

8.

Estimation and Inference in Autoregressive Models with Trending Innovation Variance

Number of pages: 35 Posted: 26 Jan 2009
Nikolaos Kourogenis and Nikitas Pittis
University of Piraeus, Department of Banking and Financial Management and University of Piraeus - Department of Banking and Financial Management
Downloads 25 (587,424)
Citation 1

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polynomial-like noise variance, limiting distribution, order of variance growth, modified t-statistic, heteroscedasticity-robust t-statistic, variance decline

9.

Estimation of Conditional Asset Pricing Models with Integrated Variables in the Beta Specification

CESifo Working Paper No. 7969
Number of pages: 27 Posted: 12 Dec 2019
University of Piraeus - Department of Banking and Financial Management, Brunel University London - Department of Economics and Finance, University of Piraeus, Department of Banking and Financial Management and University of Piraeus - Department of Banking and Financial Management
Downloads 17 (641,558)

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conditional CAPM, time-varying beta, cointegration, Morningstar star-rating system

10.

Testing for a Unit Root Under Errors with Just Barely Infinite Variance

Journal of Time Series Analysis, Vol. 29, Issue 6, pp. 1066-1087, November 2008
Number of pages: 22 Posted: 27 Oct 2008
Nikolaos Kourogenis and Nikitas Pittis
University of Piraeus, Department of Banking and Financial Management and University of Piraeus - Department of Banking and Financial Management
Downloads 2 (757,764)
Citation 1
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11.

On the Distribution of Crop Yields: Does the Central Limit Theorem Apply?

American Journal of Agricultural Economics, Vol. 93, Issue 5, pp. 1341-1357, 2011
Number of pages: 17 Posted: 08 Apr 2020
Nikolaos Kourogenis
University of Piraeus, Department of Banking and Financial Management
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aggregate crop yield, central limit theorem, limit theorem for random sums of random variables, normality

12.

Statistical Modeling of Stock Returns: Explanatory or Descriptive? A Historical Survey with Some Methodological Reflections

Journal of Economic Surveys, Vol. 30, Issue 1, pp. 149-164, 2016
Number of pages: 16 Posted: 06 Jan 2016
Phoebe Koundouri, Nikolaos Kourogenis and Nikitas Pittis
Athens University of Economics and Business - Department of International and European Economic Studies, University of Piraeus, Department of Banking and Financial Management and University of Piraeus - Department of Banking and Financial Management
Downloads 0 (786,335)
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Brownian motion, Explanatory model, Market efficiency, Scientific explanation, Statistical model, Stock returns