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Nikos K. Nomikos
Researcher at City University London
Publications - 76
Citations - 2250
Nikos K. Nomikos is an academic researcher from City University London. The author has contributed to research in topics: Futures contract & Index (economics). The author has an hindex of 24, co-authored 67 publications receiving 1987 citations. Previous affiliations of Nikos K. Nomikos include University of London.
Papers
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A Markov regime switching approach for hedging energy commodities
TL;DR: In this article, constant and dynamic hedge ratios in the New York Mercantile Exchange oil futures markets and examines their hedging performance were estimated and a Markov regime switching vector error correction model with GARCH error structure was introduced.
Book
Shipping Derivatives and Risk Management
TL;DR: In this article, the authors present tools for risk analysis and modelling of freight market information, including options on freight rates, risk management of option positions, and risk at risk in shipping and Freight Risk Management.
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Forecasting petroleum futures markets volatility: The role of regimes and market conditions
TL;DR: In this article, the authors employ regime volatility models to describe time dependency in petroleum markets and investigate the relationship between disequilibrium and volatility of oil futures across high and low volatility regimes.
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A Markov regime switching approach for hedging stock indices
TL;DR: In this paper, the authors describe a new approach for determining time-varying minimum variance hedge ratio in stock index futures markets by using Markov Regime Switching (MRS) models.
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Investment timing and trading strategies in the sale and purchase market for ships
TL;DR: In this paper, the authors investigated the performance of trading strategies based on the combination of technical trading rules and fundamental analysis in the sale and purchase market for dry bulk ships, using a sample of price and charter rates over the period January 1976 to September 2004.