Dr. Dimitrios Giannikis

Dr. Dimitrios Giannikis

Giannikis
Telephone: +49 (0) 911 – 5302 – 290 (Office)
E-Mail: Dimitrios.Giannikis@fau.de
Information:

Education

  • Ph.D. in Statistics, 2013 (Topic: Bayesian Financial Econometrics)
    Athens University of Economics and Business, Department of Statistics
  • M.Sc. in Applied Economics and Finance,  2005
    Athens University of Economics and Business, Department of Economics
  • Ptyxeion (4 years degree) in International Economics and Finance, 2003
    Athens University of Economics and Business, Department of Inernational and European Economic Studies

Appointments

  • Post-Doc Researcher, 2014 – 2015
    Athens University of Economics and Business
  • Research Fellow, 2006 – 2013
    Athens University of Economics and Business
  • Teaching Assistant, 2006 – 2011
    Athens University of Economics and Business

Honors and Awards

  • Scholarship – Bank of Cyprus – for the performance in the 1nd semester of the M.Sc. program
  • Scholarship – Bank of Cyprus – for the performance in the 2nd semester of the M.Sc. program

Research Interests

  • Financial Econometrics – Modelling of Financial Time Series
  • Bayesian Inference and Bayesian Model Choice
  • Markov Chain Monte Carlo
  • Hedge Funds
  • Option Pricing
  • Optimal Asset Portfolio Allocation with Classical and Bayesian Approaches

Publications in International Refereed Journals

  • D. Giannikis and I.D. Vrontos. A Bayesian approach to detecting nonlinear risk exposures in hedge fund strategies. Journal of Banking and Finance, 35, 1399 – 1414, 2011.
  • D. Giannikis, I.D. Vrontos and P. Dellaportas. Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models. Computational Statistics and Data Analysis, 52, 1549 – 1571, 2008.

Funded Research Projects

  • BRFP1-AUEB (2010) ”Analysis of financial time series using Bayesian nonparametric methods” (with I.D. Vrontos)

Research in Progress

  • “Multivariate (GARCH) Regressions: An alternative modelling approach” (with L. Meligkotsidou and I.D. Vrontos )
  • “Exploring Co-movements and Co-jumps via Bayesian Dynamic Financial Networks ” (with P. Dellaportas )