His research focuses on empirical finance and financial econometrics. Ilias has recently worked on Bayesian MCMC methods for the estimation of univariate and multivariate stochastic volatility models. At present he is exploring themes such as: periodic stochastic volatility, the economic value of seasonal heteroscedasticity, the predictive ability of the information accumulated over nights, weekends and holidays, and the optimal dynamics of portfolio weights with conditioning information in returns and volatility.