Professor Evarist Stoja

Professor Evarist Stoja

Professor Evarist Stoja
Professor of Finance

2.12, 15-19 Tyndalls Park Road,
The Priory Road Complex, Priory Road, Clifton
(See a map)

Telephone Number (0117) 39 41497

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Department of Accounting and Finance

Personal profile

I am Professor of Finance at the University of Bristol. I have a PhD and a MBA from the University of Exeter.

See my personal website for details.


My main research fields are applied financial econometrics, risk modelling and management and asset pricing. I also have interests in portfolio management, extreme events and financial stability.

Here is a link to some of my papers


ECONM2035: MSc Asset Pricing

Fields of interest

Applied Financial Econometrics, Risk Modelling, Asset Pricing

Latest publications

  1. Harris, RD, Nguyen, LH & Stoja, E, 2019, ‘Extreme downside risk and market turbulence’. Quantitative Finance, vol 19., pp. 1875-1892
  2. Harris, R, Nguyen, L & Stoja, E, 2019, ‘Systematic extreme downside risk’. Journal of International Financial Markets, Institutions and Money, vol 61., pp. 128-142
  3. Polanski, A, Stoja, E & Windmeijer, F, 2019, ‘Telling tales from the tails: High-dimensional tail interdependence’. Journal of Applied Econometrics.
  4. Chiu, Cw(, Harris, RD, Stoja, E & Chin, M, 2018, ‘Financial market Volatility, macroeconomic fundamentals and investor Sentiment’. Journal of Banking and Finance, vol 92., pp. 130-145
  5. Harris, RDF, Stoja, E & Tan, L, 2017, ‘The Dynamic Black-Litterman Approach to Asset Allocation’. European Journal of Operational Research, vol 259., pp. 1085?1096
  6. Stoja, E & Polanski, A, 2017, ‘Forecasting multidimensional tail risk at short and long horizons’. International Journal of Forecasting, vol 33., pp. 958-969
  7. Stoja, E & Polanski, A, 2014, ‘Co-Dependence of Extreme Events in High Frequency FX Returns’. Journal of International Money and Finance, vol 44., pp. 164-178
  8. Stoja, E & Polanski, A, 2013, ‘Multidimensional Risk and Risk Dependence’. Journal of Banking and Finance, vol 37., pp. 3286-3294
  9. Stoja, E & Polanski, A, 2012, ‘Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with Applications to Risk Management’. International Journal of Forecasting.
  10. Stoja, E, Harris, R & Yilmaz, F, 2011, ‘A Cyclical Model of Exchange Rate Volatility’. Journal of Banking and Finance, vol 35., pp. 3055 - 3064
  11. Stoja, E & Tucker, J, 2011, ‘Industry membership and capital structure dynamics in the UK’. International Review of Financial Analysis, vol 20., pp. 207 - 214
  12. Stoja, E & Polanski, A, 2011, ‘Dynamic density forecasts for multivariate asset returns’. Journal of Forecasting, vol 30., pp. 523 - 540
  13. Harris, RD, Shen, J & Stoja, E, 2010, ‘The Limits to Minimum Variance Hedging’. Journal of Business Finance and Accounting, vol 37., pp. 737 - 761
  14. Stoja, E & Polanski, A, 2010, ‘Incorporating Higher Moments into Value-at-Risk Forecasting’. Journal of Forecasting, vol 29., pp. 523 - 535
  15. Stoja, E, Harris, F, Yilmaz, Ra & , 2009, ‘Day-of-the-Month Effects in the Performance of Momentum Trading Strategies in the Foreign Exchange Market’. Journal of Trading, vol 4., pp. 48 - 55
  16. Harris, RD, Stoja, E & Yilmaz, F, 2008, ‘Day-of-the-Month Effects in the Performance ofMomentum Trading Strategies in the ForeignExchange Market’. Journal of Trading, vol 4., pp. 48-55
  17. Harris, RD, Stoja, E & Tucker, J, 2007, ‘A simplified approach to modeling the co-movement of asset returns’. Journal of Futures Markets, vol 27., pp. 575 - 598
  18. Stoja, E, 2007, ‘The Capital Structure Decision’. in: N Hyndman, DG McKillop (eds) Cases in Management Accounting and Business Finance. Institute of Chartered Accountants in Ireland, pp. 135 - 140

Full publications list in the University of Bristol publications system

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