I joined Aston Business School as a Lecturer in Finance in June 2011. Prior to this, I was a PhD student at Aarhus School of Business, Aarhus University. During my PhD studies I also became affiliated with the Center for Research in Econometric Analysis of TimE Series (CREATES), as a Junior Fellow, and with Kellogg School of Management, Northwestern University, as a Visiting Research Scholar (March 2008 - September 2008).
My PhD thesis examined how the prices of derivative contracts can be utilized in order to improve forecasts of financial return volatility and comovement, as well as forecasts of univariate and multivariate asset price probability distributions.
Qualifications & Education
Aarhus School of Business, Aarhus University, Denmark
- Ph.D. in Finance, August 2010
Kellogg School of Management, Northwestern University, U.S.A.
- Visiting Research Scholar, Department of Finance, March 2008 - September 2008
Management School, Lancaster University, U.K.
- M.Sc. in Finance, September 2005
Department of Business Administration, University of Patras, Greece
- B.Sc. in Business Administration, June 2004
Center for Research in Econometric Analysis of TimE Series (CREATES), Junior Fellow (2007-2010)
For the academic year 2011-2012 I will be teaching the following modules:
My current research interests belong mainly in the field of Financial Econometrics.
I am particularly interested in models that attempt to describe the dynamics of asset prices, especially conditional volatility and conditional dependence models, the empirical study of observed option prices and the informational efficiency of derivative markets, forecasting, the estimation of risk-premia changes, and the econometrics of high-frequency financial data.
Høg, Esben and Leonidas Tsiaras, 2011, “Crude-oil Density Forecasts Using Option-Implied and ARCH-type Models”, Journal of Future Markets, Vol. 31, 8, 727-754.
Tsiaras, L., 2010, “The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks”, CREATES Research Papers 2010-34.
Tsiaras, L., 2010, “Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns”, CREATES Research Papers 2010-35.