ILIAS TSIAKAS

  Associate Professor of Finance

    Department of Economics and Finance

   College of Management and Economics

   University of Guelph

   Guelph Ontario N1G 2W1

   Canada

   Tel: 519-824-4120 ext. 53054

   Fax: 519-763-8497

   Email: itsiakas -at- uoguelph.ca

FULL CV

RESEARCH

International Finance, Empirical Asset Pricing, Portfolio Choice, Financial Econometrics, Bayesian Econometrics.

PUBLICATIONS

Della Corte, P., and I. Tsiakas (2012). "Statistical and Economic Methods for Evaluating Exchange Rate Predictability," in James, J., L. Sarno and I.W. Marsh (eds.) Handbook of Exchange Rates. Hoboken, NJ: Wiley.

Della Corte, P., L. Sarno and I. Tsiakas (2012). "Volatility and Correlation Timing in Active Currency Management," in James, J., L. Sarno and I.W. Marsh (eds.) Handbook of Exchange Rates. Hoboken, NJ: Wiley.

Della Corte, P., L. Sarno, and I. Tsiakas (2011). "Spot and Forward Volatility in Foreign Exchange," Journal of Financial Economics 100, 496-513. Awarded the 2010 best paper prize by INQUIRE UK. Summarized on January 26, 2011 in the Financial Times ft.com/alphaville section.  Extended Working Paper. 

Tsiakas, I. (2010). "The Economic Gains of Trading Stocks around Holidays," Journal of Financial Research 33, 1-26 (lead article). Abstracted by the CFA Digest vol. 40, no.3 (August 2010). Received the 2010 Outstanding Article Award by the journal.

Della Corte, P., L. Sarno, and I. Tsiakas (2009). "An Economic Evaluation of Empirical Exchange Rate Models," Review of Financial Studies 22, 3491-3530. 

Tsiakas, I. (2008). "Overnight Information and Stochastic Volatility: A Study of European and US Stock Exchanges," Journal of Banking and Finance 32, 251-268. 

Tsiakas, I. (2006). "Periodic Stochastic Volatility and Fat Tails," Journal of Financial Econometrics 4, 90-135.

Tsiakas, I. (2005). "Is Seasonal Heteroskedasticity Real?  An International Perspective," Finance Letters 3, 124-132. (Special issue on "Modeling of the Equity Market" Ed.: Frank J. Fabozzi).

WORKING PAPERS

"Average Variance, Average Correlation and Currency Returns"  (with Gino Cenedese and Lucio Sarno)

"Carbon Emissions and Stock Returns"  (with Marcel Oestreich)

"Currency Order Flow and Real-Time Macroeconomic Information"  (with Pasquale Della Corte, Dagfinn Rime and Lucio Sarno)

"What Drives International Capital Flows?"  (with Lucio Sarno and Barbara Ulloa)

RESEARCH COLUMNS IN MEDIA

"The New Carry Trade" (with Pasquale Della Corte and Lucio Sarno) invited article for VoxEU.org, published online January 26, 2011.

"Valuable Predictions of Exchange Rates" (with Pasquale Della Corte and Lucio Sarno) invited article for VoxEU.org, published online January 18, 2008. Republished on EconoMonitor.com on May 5, 2008.