Dr Katerina Tsakou

Lecturer

Accounting and Finance

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Office 218 - 218
Second Floor
School of Management
Bay Campus

Available For Postgraduate Supervision

Research Links

https://orcid.org/0000-0003-1913-858X

About

Katerina joined Swansea University in January 2017 as a Lecturer in Finance. She obtained her PhD from the University of Stirling (2017). She holds an MSc in Finance and Economics (2011) from the University of Southampton and a BSc in Economics (2008) from the University of Crete (Greece).

Areas Of Expertise

Volatility Modelling and Forecasting
Financial Econometrics
Risk Management
High-Frequency Data

Career Highlights

Research

Katerina's research focuses on the areas of financial volatility and financial econometrics. She has particular interest in modelling and forecasting stock index volatility and realized volatility, and with applications to risk management.

Publications

Research Highlights

Kambouroudis, D., McMillan, D., & Tsakou, K. (2021). Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. Journal of Futures Markets, 41(10), 1618-1639.
https://doi.org/10.1002/fut.22241, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa57115
Gavriilidis, K., Kambouroudis, D., Tsakou, K., & Tsouknidis, D. (2018). Volatility forecasting across tanker freight rates: The role of oil price shocks. Transportation Research Part E: Logistics and Transportation Review, 118, 376-391.
https://doi.org/10.1016/j.tre.2018.08.012, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa44403
Kambouroudis, D., McMillan, D., & Tsakou, K. (2016). Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models. Journal of Futures Markets, 36(12), 1127-1163.
https://doi.org/10.1002/fut.21783, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa34904

All Research

Journal Articles

Kambouroudis, D., McMillan, D., & Tsakou, K. (2021). Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. Journal of Futures Markets, 41(10), 1618-1639.
https://doi.org/10.1002/fut.22241, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa57115
Gavriilidis, K., Kambouroudis, D., Tsakou, K., & Tsouknidis, D. (2018). Volatility forecasting across tanker freight rates: The role of oil price shocks. Transportation Research Part E: Logistics and Transportation Review, 118, 376-391.
https://doi.org/10.1016/j.tre.2018.08.012, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa44403
Kambouroudis, D., McMillan, D., & Tsakou, K. (2016). Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models. Journal of Futures Markets, 36(12), 1127-1163.
https://doi.org/10.1002/fut.21783, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa34904

Supervision

Essays on forecasting stock market volatility (current)

PhD

Other supervisor: Dr Sarosh Shabi

Other supervisor: Dr Syed Shabi-Ul-Hassan
THREE ESSAYS ON BANK CULTURE (awarded 2023)

PhD

Other supervisor: Dr Ilias Asproudis

Taught Modules

MN-D023 Independent Research Project

The module aims to develop fundamental research skills. It comprises the development of a research proposal which will form the foundation for supervised research work leading to a dissertation in the field of accounting or finance. The specific research topic will be chosen by the student following consultation with their supervisor. This module is exclusive to MSc Investment Management MSc International Banking and Finance MSc International Finance MSc Finance Technology (FinTech) MSc Financial Analytics MSc Sustainable Finance MSc International Accounting and Finance MSc International Financial Management MSc Finance and Big Data Analytics MSc Strategic Accounting This module is not available to incoming exchange/visiting students.
MN-M585 Applied Data Analytics

This module provides students with experience in describing, analysing and making inference from data as well as reporting the results and presenting the data with different visualization techniques. It introduces students to tools and software useful to their careers.
MN-M601 Financial Risk Forecasting

The module is designed to provide students with fundamental knowledge and understanding of the quantitative risk management with a focus on market risk. The module aims to equip students with the empirical skills to estimate, test and interpret market risk forecasting, and evaluate in practice the application of different risk evaluation and measurement techniques that are required in the current regulatory environment.
MN-M602 Advanced Data Analytics

In today¿s data-driven world, the need for data visualization and data analytics has become fundamental in the financial services sector. This module provides students with fundamental competencies, technical skills and advance understanding of data and big data analytics in finance. The first part of the module covers exploratory data analysis and data visualization techniques. The second part focuses on the application of data analytics in different areas of finance, such as corporate finance, insurance companies and fraud.

Dr Katerina Tsakou

Email address

Research Links

About

Areas Of Expertise

Career Highlights

Publications

Research Highlights

All Research

Journal Articles

Supervision

Essays on forecasting stock market volatility (current)

THREE ESSAYS ON BANK CULTURE (awarded 2023)

Taught Modules

MN-D023 Independent Research Project

MN-M585 Applied Data Analytics

MN-M601 Financial Risk Forecasting

MN-M602 Advanced Data Analytics