Research output per year
Research output per year
Personal profile
Contact Details
Phone: 0121 204 3251
Email: l.tsiaras@aston.ac.uk
Room: SW1020A
Biography
I joined Aston Business School as a Lecturer in Finance in June 2011. Prior to this, I was a PhD student at Aarhus School of Business, Aarhus University. During my PhD studies I also became affiliated with the Center for Research in Econometric Analysis of TimE Series (CREATES), as a Junior Fellow, and with Kellogg School of Management, Northwestern University, as a Visiting Research Scholar (March 2008 - September 2008). My PhD thesis examined how the prices of derivative contracts can be utilized in order to improve forecasts of financial return volatility and comovement, as well as forecasts of univariate and multivariate asset price probability distributions.
Research Interests
My current research interests belong mainly in the field of Financial Econometrics.
I am particularly interested in models that attempt to describe the dynamics of asset prices, especially conditional volatility and conditional dependence models, the empirical study of observed option prices and the informational efficiency of derivative markets, forecasting, the estimation of risk-premia changes, and the econometrics of high-frequency financial data.
Teaching Activity
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BFM102 – Valuation of Investments
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BFM115 – Financial Econometrics
Qualifications
Aarhus School of Business, Aarhus University, Denmark
- Ph.D. in Finance, August 2010
Kellogg School of Management, Northwestern University, U.S.A.
- Visiting Research Scholar, Department of Finance, March 2008 - September 2008
Management School, Lancaster University, U.K.
- M.Sc. in Finance, September 2005
Department of Business Administration, University of Patras, Greece
- B.Sc. in Business Administration, June 2004
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Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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Investigating the Links between UK House Prices and Share Prices with Copulas
Bissoondeeal, R. & Tsiaras, L., 23 Aug 2021, (E-pub ahead of print) In: Journal of Real Estate Finance and Economics.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
Volatility Forecasts Embedded in the Prices of Crude-Oil Options
Tsiaras, L. & Gilder, D., 1 Jul 2020, In: Journal of Futures Markets. 40, 7, p. 1127-1159 33 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
Density forecasts of crude-oil prices using option-implied and ARCH-type models
Høg, E. & Tsiaras, L., Aug 2011, In: Journal of Futures Markets. 31, 8, p. 727-754 28 p.Research output: Contribution to journal › Article › peer-review
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Dynamic models of exchange rate dependence using option prices and historical returns
Tsiaras, L., 12 Jan 2010, (Unpublished) Aarhus University, 45 p. (CREATES Research Paper 2010-35).Research output: Preprint or Working paper › Working paper
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The forecast performance of competing implied volatility measures: the case of individual stocks
Tsiaras, L., 2010, (Unpublished) Aarhus University, (CREATES Research Papers).Research output: Preprint or Working paper › Working paper
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International Finance and Banking Society (IFABS)
Leonidas Tsiaras (Speaker)
27 Jun 2019 → 29 Jun 2019Activity: Talk or presentation types › Oral presentation
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International Finance and Banking Society (IFABS): Risk in Financial Markets and Institutions
Leonidas Tsiaras (Speaker)
30 Jun 2016Activity: Talk or presentation types › Oral presentation
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INET-SoFiE Conference
Leonidas Tsiaras (Speaker)
28 Apr 2014 → 29 Apr 2014Activity: Talk or presentation types › Oral presentation
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3rd University of Humboldt/University of Copenhagen Conference on Financial Econometrics
Leonidas Tsiaras (Speaker)
14 Mar 2014 → 16 Mar 2014Activity: Talk or presentation types › Oral presentation
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2nd Annual Optionmetrics Research Conference
Leonidas Tsiaras (Speaker)
14 Oct 2013Activity: Participating in or organising an event types › Participation in conference