Konstantinos Gkillas

Bio: Konstantinos Gkillas is an academic researcher from University of Patras. The author has contributed to research in topics: Volatility (finance) & Realized variance. The author has an hindex of 13, co-authored 74 publications receiving 636 citations.

COVID-19 predictability in the United States using Google Trends time series

Abstract: During the unprecedented situation that all countries around the globe are facing due to the Coronavirus disease 2019 (COVID-19) pandemic, which has also had severe socioeconomic consequences, it is imperative to explore novel approaches to monitoring and forecasting regional outbreaks as they happen or even before they do so. To that end, in this paper, the role of Google query data in the predictability of COVID-19 in the United States at both national and state level is presented. As a preliminary investigation, Pearson and Kendall rank correlations are examined to explore the relationship between Google Trends data and COVID-19 data on cases and deaths. Next, a COVID-19 predictability analysis is performed, with the employed model being a quantile regression that is bias corrected via bootstrap simulation, i.e., a robust regression analysis that is the appropriate statistical approach to taking against the presence of outliers in the sample while also mitigating small sample estimation bias. The results indicate that there are statistically significant correlations between Google Trends and COVID-19 data, while the estimated models exhibit strong COVID-19 predictability. In line with previous work that has suggested that online real-time data are valuable in the monitoring and forecasting of epidemics and outbreaks, it is evident that such infodemiology approaches can assist public health policy makers in addressing the most crucial issues: flattening the curve, allocating health resources, and increasing the effectiveness and preparedness of their respective health care systems.

Have individual stocks become more volatile : an empirical exploration of idiosyncratic risk

Abstract: This paper examines the volatility of common stocks of the Athens Stock Exchange at the market, industry and firm level. Over the period from 1988 to 2009 there has been a considerable increase in firm-level volatility relative to the market volatility, which implies that it takes increasingly more stocks to diversify away idiosyncratic risk. All volatility series move together and they are trended upwards. All three volatility measures show a countercyclical behaviour relative to GDP growth, and they all help to forecast GDP. Correlations among individual stocks have increased over the sample period, yet the explanatory power of the market model for a typical stock is still relatively low. All three volatility series rise during times of low returns. Factors that may be responsible for these findings are suggested.

Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?; Parenting Styles and Financial Security: How are children impacted?

Abstract: Recently developed structural models of the global crude oil market imply that the surge in the real price of oil between mid-2003 and mid-2008 was driven by repeated positive shocks to the demand for all industrial commodities, reflecting unexpectedly high growth mainly in emerging Asia. This note evaluates this proposition using an alternative data source and a different econometric methodology. Rather than inferring demand shocks from an econometric model, we utilize a direct measure of global demand shocks based on revisions of professional real GDP growth forecasts. We show that recent forecast surprises were associated primarily with unexpected growth in emerging economies (and to a lesser extent in Japan), that markets were repeatedly surprised by the strength of this growth, that these surprises were associated with a hump-shaped response of the real price of oil that reaches its peak after 12 to 16 months, and that news about global growth predict much of the surge in the real price of oil from mid-2003 until mid-2008 and much of its subsequent decline.