Education

Ph.D. (Finance & Econometrics), Graduate School and University Center, CUNY.
M.B.A. (Finance), Baruch College, CUNY.
M.A. (Economics), Queens College, CUNY.
B.Sc. (Economics), Aristotle's University of Thessaloniki, Greece.

Research Interests

Robust estimation techniques, time series and CAPM estimation.

Stochastic properties of financial prices and VaR techniques.

Probability distributions and option pricing

Credit scoring systems and financial distress models.

Courses Frequently Taught

Financial Management; Principles of Finance; Statistical Financial Modeling; Real Estate Investing; and Managerial Economics.
 

Service and other Scholarship Activities

Editor in Chief (Founding), Multinational Finance Journal, Quarterly Publication of the Multinational Finance Society, June 1995-Present.
Member, Academic Council, The Cyprus International Institute of management (CIIM), Nicosia, Cyprus, 1999-present.

Executive Director, Multinational Finance Society, July 1998 to July 2006.

Program Chair, 8th Annual Conference of the Multinational Finance Society, Lake Garda, Verona, Italy, June 24-27, 2001.

Founding President, Multinational Finance Society, July 1995 to June 1996.

Co-editor, Ekonomia, Publication of the Cyprus Economic Society, January 1996 to May 2001.

Coordinator, Finance Area, School of Business-Camden, Rutgers University, Spring 1993-June 1997 and July 1998-September 1999.

Associate Editor, The Financial Review, Publication of the Eastern Finance Association, Fall 1993-Fall 1997.

Recent Research

“Robust Estimation with Flexible Parametric Distributions: Estimation of Utility Stock Betas,” (J. B. McDonald, R. Michelfelder and P. Theodossiou), Quantitative Finance, Under Third Review.
 

“Evaluation of Robust Regression Estimation Methods and Intercept Bias: A Capital Asset Pricing Model Application,” (J. B. McDonald, R.A. Michelfelder, and P. Theodossiou), Under Review.
 

“Distribution of Financial Asset Prices, Skewed Generalized Error Distribution, and Forecasting Realized Volatility?” (T. G. Bali, S. N. Neftci, and P. Theodossiou), Under Review.
 

"Should Stock Specific Risk Due to Outliers Be Priced? Evidence and Implications." (P. Theodossiou & A. Theodossiou), Under Review.

Selected Publications

“Risk Measurement Performance of Alternative Distribution Functions” Journal of Risk and Insurance 2008, Vol. 75, No. 2, 411-437 (T. Bali and P. Theodossiou).

“Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models” Economics - The Open-Access, Open-Assessment E-Journal, (C. B. Hansen, J. B. McDonald, P.Theodossiou), July 2007, pp. 1-20. http://www.economics-ejournal.org/economics/journalarticles/2007-7

“A Conditional-SGT-VaR Approach With Alternative GARCH Models,” Annals of Operation Research (T. Bali and P. Theodossiou), December 2006, pp. 1-27.

“The Asymmetric Relation Between Margin Requirements and Stock Market Volatility Across Bull and Bear Markets,” Review of Financial Studies, 15(5): 1525-1159, Winter 2002 (G. Hardouvelis and P. Theodossiou).
 

“Predicting Corporate Financial Distress: A Time Series CUSUM Methodology,” Review of Quantitative Finance and Accounting, 13(4): 323-345, December 1999, lead article (E. Kahya and P. Theodossiou).

“Financial Data and the Skewed Generalized t Distribution,” Management Science, 44(12-1): 1650-1661, December 1998 (P. Theodossiou).

“Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets,” The Financial Review 32: 205-224, May 1997, lead article, (P. Theodossiou, E. Kahya, A. Christofi, and G. Koutmos). “Reprinted as Chapter 17, Section IV, Volatility: New Estimation Techniques for Pricing Derivatives. Ed: R. Jarrow, Risk Books, London, 1998.

“Financial Distress Corporate Acquisitions: Further Empirical Evidence,” Journal of Business Finance and Accounting, 23: 699-719, July 1996 (P. Theodossiou, E. Kahya, R. Saidi, and G. Philippatos)

“Relationship Between Volatility and Expected Returns Across International Stock Markets,” Journal of Business Finance and Accounting, 22(2): 289-300, 1995 (P. Theodossiou and U. Lee). Reprinted as Chapter 16, Section VI (lead article), Volatility: New Estimation Techniques for Pricing Derivatives. Ed: R. Jarrow, Risk Books, London, 1998.

“The Stochastic Properties of Major Canadian Exchange Rates,” The Financial Review, 29(2): 193-221, May 1994 (P. Theodossiou).

“Time-Series Properties and Predictability of Greek Exchange Rates,” Managerial and Decision Economics, 15(2): 159-167, 1994 (G. Koutmos and P. Theodossiou).

“Time Varying Betas and Volatility Persistence in International Stock Markets,” Journal of Economics and Business, 46(2): 101-112, 1994 (G. Koutmos, U. Lee and P. Theodossiou).

“Stochastic Behaviour of the Athens Stock Exchange,” Applied Financial Economics, 3(2): 119-126, June 1993 (G. Koutmos, C. Negakis, and P. Theodossiou).

“Mean and Volatility Spillovers Across Major National Stock Markets: Further Empirical Evidence,” Journal of Financial Research, 16(4): 337-350, Winter 1993 (P. Theodossiou and U. Lee).

“Predicting Shifts in the Mean of a Multivariate Time Series Process: An Application in Predicting Business Failures,” Journal of the American Statistical Association, 88(422): 441-449, June 1993 (P. Theodossiou).

“Analysis and Modeling of Recent Business Failures in Greece,” Managerial and Decision Economics, 13(2): 163-169, 1992 (C. Papoulias and P. Theodossiou).

“Alternative Models for Assessing the Financial Condition of Businesses in Greece,” Journal of Business Finance and Accounting, 18(5): 697-720, September 1991 (P. Theodossiou).

Selected Grants

Rutgers and State of New Jersey Grant for the Support of the Multinational Finance Society, a non-profit corporation incorporated in the state of NJ on June 15, 1995 for the dissemination and to promotion of financial knowledge, philosophies, techniques, and research findings pertaining to industrialized and developing countries among members of the international academic and business communities, $821,500, July 1, 1995 to June 30, 2005.

“Pricing Options in the Presence of Skewness and Kurtosis,” Research Council Fund, Rutgers University, $1500, June 1998.

“The Canadian Exchange Rate in Relation to Currencies of Major Trading Partner Countries: Predictability, Stochastic Properties and Linkages,” Canadian Embassy Faculty Research Grant Program, $3,600 funded, February 1992-January 1993.

Special Lecture Series
 

Keynote Speaker, "Should Stock Specific Risk Due to Outliers Priced? Evidence and Implications", 7th Annual Conference, Hellenic Finance and Accounting Association, Chania, Crete, December 12-13, 2009.

Keynote Speaker, “Probability Distributions in Finance: Estimation, Pricing & VaR”, 14th Annual Conference, Multinational Finance Society, Thessaloniki, Greece, July 1-4, 2007.

Major speaker on issues related to privatization and globalization in developing economies, Special Conference on “Globalization and Economic Growth in Namibia,” organized by Rutgers University, the United States Information Agency and the United States Embassy in Namibia, Windhoek (October 6-7, 1997) and Oshikati (October 9, 1997), Namibia, West Africa.

Lecture series on the “Economics of Money and Finance” with special emphasis on Treasury Bills market in Tanzania, delivered to the staff of The Bank of Tanzania, Mwanza, Tanzania, on Behalf of the Graduate Institute of International Studies (IUHEI), Geneva, Switzerland (August 8 - 18, 1994 and July 7 - 21, 1995).

Lecture series on “Treasury Bills and Government Bonds Markets in Tanzania,” delivered to Senior Managers of The Bank of Tanzania, Dar es Salaam and Mwanza, Tanzania, on Behalf of the Graduate Institute of International Studies (IUHEI), Geneva, Switzerland (August 30-September 10, 1993, August 19- 24, 1994 and March 10-24, 1995).