Elena Kalotychou

Elena Kalotychou is a Senior Lecturer at the Faculty of Finance, Cass Business School, City University, London. She has previously worked as a post-doc research fellow at Cass. Her research interests are in applied econometrics, credit risk, international finance, financial modelling and forecasting. She has published widely in European and US journals. Her work has been presented in seminars held at the Bank of England, universities and international conferences. Her teaching experience includes Financial Econometrics, Quantitative in Investment Management, Mathematical Finance, Portfolio Theory, Risk Analysis and Modelling, Financial Markets and Institutions. She has taught at both undergraduate and postgraduate level.

Qualifications

BA/MA (Mathematics) Cambridge, MSc (OR) LSE and PhD (Finance).

Visiting Appointments

Invited Member of the Scientific Programme, Cass Business School Emerging Scholars in Banking and Finance Conference, Dec 2009 – present

Memberships of Committees

• Founding member, British Accounting and Finance Association Financial Markets and Institutions Special Interest Group, 2008 – present
• Member, ERCIM-European Research Consortium of Informatics and Mathematics, committee for workshops on Computing and Statistics

Memberships of Professional Organisations

• Member, Financial Management Association, ERCIM Working Group on Computing and Statistics, Econometric Society
• Member, British Accounting Association, Special Interest Group Financial Markets and Institutions
• Member, Chartered Institute of Securities and Investment

Languages

Greek, Modern (1453-).

Expertise

Primary Topics

• Asset Pricing
• Financial Econometrics
• International Finance
• Risk Modelling

Research Topics

• Volatility Forecasting using High Frequency Data
• Volatility Spillovers
• Dynamic Asset Allocation:The value of correlation
• Credit Risk Management and CDS-equity comovements
• Sovereign Credit Contagion

Chapter

Kalotychou, E. and Staikouras, S.K. (2009). An overview of the issues surrounding stock market volatility. In Gregoriou, G.N. (Ed.), Stock market volatility Taylor & Francis.

Journal Articles (21)

• Fei, F., Fuertes, A.M. and Kalotychou, E. (2017). Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching. International Journal of Forecasting, 33(3), pp. 662–678. doi:10.1016/j.ijforecast.2017.01.006.
• Wu, E., Erdem, M., Kalotychou, E. and Remolona, E. (2016). The anatomy of sovereign risk contagion. Journal of International Money and Finance . doi:10.1016/j.jimonfin.2016.07.002.
• Elyasiani, E., Kalotychou, E., Staikouras, S.K. and Zhao, G. (2015). Return and Volatility Spillover among Banks and Insurers: Evidence from Pre-Crisis and Crisis Periods. Journal of Financial Services Research, 48(1), pp. 21–52. doi:10.1007/s10693-014-0200-z.
• Saka, O., Fuertes, A.M. and Kalotychou, E. (2015). ECB policy and Eurozone fragility: Was de grauwe right? Journal of International Money and Finance, 54, pp. 168–185. doi:10.1016/j.jimonfin.2015.03.002.
• Kalotychou, E., Staikouras, S.K. and Zhao, G. (2014). The role of correlation dynamics in sector allocation. Journal of Banking and Finance, 48, pp. 1–12. doi:10.1016/j.jbankfin.2014.06.025.
• Fuertes, A.M., Kalotychou, E. and Todorovic, N. (2014). Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy? Review of Quantitative Finance and Accounting, 45(2), pp. 251–278. doi:10.1007/s11156-014-0436-6.
• Fei, F., Fuertes, A.M. and Kalotychou, E. (2012). Credit Rating Migration Risk and Business Cycles. Journal of Business Finance and Accounting, 39(1-2), pp. 229–263. doi:10.1111/j.1468-5957.2011.02272.x.
• Kalotychou, E., Fuertes, A.-.M. and Todorovic, N. (2010). Translating overnight and intraday returns to improve daily volatility forecast accuracy. Hedge Funds Review .
• Fuertes, A.M., Heffernan, S. and Kalotychou, E. (2010). How do UK banks react to changing central bank rates? Journal of Financial Services Research, 37(2-3), pp. 99–130. doi:10.1007/s10693-009-0056-9.
• Kalotychou, E., Staikouras, S.K. and Zagonov, M. (2009). The UK equity market around the ex-split date. Journal of International Financial Markets, Institutions and Money, 19(3), pp. 534–549. doi:10.1016/j.intfin.2008.07.001.
• Fuertes, A.-.M., Izzeldin, M. and Kalotychou, E. (2009). On forecasting daily stock volatility: The role of intraday information and market conditions. , 25(2), pp. 259–281.
• Izzeldin, M., Fuertes, A.M. and Kalotychou, E. (2008). On forecasting daily stock volatility: the role of intraday information and market conditions. .
• Artikis, P.G., Kalotychou, E. and Staikouras, S.K. (2007). Interest rate fluctuations and the UK financial services industry. Applied Financial Economics Letters, 3(5), pp. 343–347. doi:10.1080/17446540601118319.
• Kalotychou, E. and Staikouras, S.K. (2007). De facto versus de jure bank-insurance ventures in the Greek market. Geneva Papers on Risk and Insurance: Issues and Practice, 32(2), pp. 246–263. doi:10.1057/palgrave.gpp.2510124.
• Fuertes, A.-.M. and Kalotychou, E. (2007). On sovereign credit migration: A study of alternative estimators and rating dynamics. Computational Statistics & Data Analysis, 51(7), pp. 3448–3469. doi:10.1016/j.csda.2006.07.003.
• Fuertes, A.M. and Kalotychou, E. (2007). Optimal design of early warning systems for sovereign debt crises. International Journal of Forecasting, 23(1), pp. 85–100. doi:10.1016/j.ijforecast.2006.07.001.
• Fuertes, A.-.M. and Kalotychou, E. (2006). Early warning systems for sovereign debt crises: The role of heterogeneity. Computational Statistics & Data Analysis, 51(2), pp. 1420–1441. doi:10.1016/j.csda.2006.08.023.
• Kalotychou, E. and Staikouras, S.K. (2006). An empirical investigation of the loan concentration risk in Latin America. Journal of Multinational Financial Management, 16(4), pp. 363–384. doi:10.1016/j.mulfin.2005.08.005.
• Kalotychou, E. and Staikouras, S.K. (2006). Volatility and trading activity in Short Sterling futures. Applied Economics, 38(9), pp. 997–1005. doi:10.1080/00036840500400038.
• Kalotychou, E. and Staikouras, S.K. (2005). The banking exposure to international lending: Regional differences or common fundamentals? Financial Markets, Institutions and Instruments, 14(4), pp. 187–214. doi:10.1111/j.0963-8008.2005.00103.x.
• Kalotychou, E. and Staikouras, S.K. (2004). Credit Exposure and Sovereign Risk Analysis: The Case of South America. Frontiers in Finance and Economics, 1, pp. 46–56.

Course Directorship

• 2008 - present, MSc Investment Management, Director

Editorial Activities (13)

• Journal of Banking and Finance, Referee, 2013 – present.
• Journal of Credit Risk, Referee, 2013 – present.
• Journal of Computational Finance, Referee, 2009 – present.
• Journal of International Money and Finance, Referee, 2009 – present.
• Empirical Finance, Referee, 2008 – present.
• International Journal of Banking, Accounting and Finance, Referee, 2008 – present.
• International Journal of Forecasting, Referee, 2008 – present.
• Journal of Money, Investment and Banking, Associate Editor, 2007 – present.
• Journal of Money, Investment & Banking, Associate Editor, 2007 – present.
• European Journal of Finance, Referee, 2007 – present.
• Review of Futures Markets, Referee, 2007 – present.
• Computational Statistics and Data Analysis, Referee, 2006 – present.
• Cambridge University Press, Referee, 2006 – present.