Access Statistics for Stavros Degiannakis

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification 0 0 1 42 1 9 23 270
A Probit Model for the State of the Greek GDP Growth 0 0 0 1 1 3 5 27
A Robust VaR Model under Different Time Periods and Weighting Schemes 0 0 0 3 1 3 14 59
ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling 0 0 0 11 1 4 12 105
Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models 0 0 0 1 1 1 6 25
Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review 0 0 0 19 2 6 48 180
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 0 2 8 27 44
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 15 0 5 20 89
Backtesting VaR Models: An Expected Shortfall Approach 0 0 0 1,154 2 5 26 3,064
Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer? 0 0 0 18 0 1 4 73
Business Cycle Synchronisation in EU: A time-varying approach 0 0 0 6 0 4 15 44
Can spillover effects provide forecasting gains? The case of oil price volatility 0 1 1 18 0 1 8 36
Cryptokurtosis: frequent trading fuels higher losses 0 0 0 0 1 3 3 3
Determinants of regional business cycle synchronization in Greece 1 1 2 3 1 7 19 25
Disaggregated inflation rates: Some preliminary economic analysis for Greece 0 0 7 7 0 1 7 7
Disaggregating VIX 0 1 1 1 0 2 17 17
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 0 0 12 3 10 38 116
Earnings Management to Avoid Losses and Earnings Declines in Croatia 0 0 1 25 0 0 10 98
Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component 0 0 0 5 0 3 10 36
Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence 0 0 0 6 1 6 22 48
Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market 0 0 0 1 0 4 10 25
Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors 0 0 0 4 0 3 9 40
Forecasting European Economic Policy Uncertainty 0 1 1 80 0 4 10 131
Forecasting European Economic Policy Uncertainty 0 0 0 32 0 4 14 46
Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 0 1 0 1 9 31
Forecasting Realized Volatility of Agricultural Commodities 0 0 1 26 1 20 34 62
Forecasting Tourist Arrivals Using Origin Country Macroeconomics 0 0 0 42 0 2 8 77
Forecasting VIX: The illusion of forecast evaluation criteria 0 1 1 8 1 8 16 50
Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence 0 0 0 11 0 6 18 65
Forecasting Vix 0 1 2 12 0 7 19 93
Forecasting household-level inflation in Greece 1 1 3 3 1 4 10 10
Forecasting implied volatility indices worldwide: A new approach 0 0 1 50 0 4 22 65
Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions? 0 0 1 17 0 3 9 25
Forecasting oil price realized volatility using information channels from other asset classes 0 0 0 6 1 6 25 49
Forecasting oil price realized volatility: A new approach 0 0 0 63 2 7 22 205
Forecasting oil prices 0 0 0 101 0 5 10 186
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 27 1 3 13 37
Hedge Fund Returns under Crisis Scenarios: A Holistic Approach 0 0 0 20 0 4 13 87
Hedge Ratios in South African Stock Index Futures 0 0 0 1 0 1 6 20
Intra-Day Realized Volatility for European and USA Stock Indices 0 0 0 12 1 6 21 73
Investments and uncertainty revisited: The case of the US economy 0 0 0 23 1 3 10 64
Is PEAD a consequence of the presence of the cognitive bias of self-attribution in investors’ expectations regarding permanent earnings? Evidence from Athens Stock Exchange 0 1 2 3 0 4 6 122
Modeling CAC40 Volatility Using Ultra-high Frequency Data 0 0 1 8 0 4 15 50
Modeling Risk for Long and Short Trading Positions 0 0 0 4 0 3 9 49
Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts 0 0 1 25 1 6 16 34
Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data 0 0 0 45 0 0 13 94
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 3 0 4 14 49
Navigating crude oil volatility forecasts: assessing the contribution of geopolitical risk 0 0 1 1 0 3 15 15
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 1 17 1 3 13 57
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 0 36 3 8 13 135
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 2 61 1 5 15 142
Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? 0 0 0 19 2 4 22 52
Oil and pump prices: is there any asymmetry in the Greek oil downstream sector? 0 0 0 18 0 2 20 69
Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 7 0 5 48 101
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 2 0 4 10 35
Oil price assumptions for macroeconomic policy 0 0 0 27 0 6 17 77
Oil price shocks and stock market volatility: evidence from European data 1 1 4 230 9 27 51 651
Oil price shocks and volatility do predict stock market regimes 0 0 0 70 0 3 12 235
Oil price volatility forecasts: What do investors need to know? 0 0 1 31 0 6 30 91
Oil prices and stock markets: A review of the theory and empirical evidence 0 0 7 620 2 5 72 2,630
On the Stationarity of Futures Hedge Ratios 0 0 0 6 2 13 38 62
Predictability and Model Selection in the Context of ARCH Models 0 0 0 1 1 4 12 56
Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting 0 0 0 15 0 2 8 43
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 3 0 3 11 31
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 2 0 1 27 54
Return dispersion, stock market liquidity and aggregate economic activity 0 0 0 72 0 3 12 345
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 3 0 5 23 51
SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework 0 0 0 0 0 3 9 17
Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes 0 0 0 0 0 3 9 18
Stock market as a nowcasting indicator for real investment 0 0 0 23 1 3 22 36
Superkurtosis 0 0 0 26 2 3 12 81
Superkurtosis 0 0 0 32 0 19 30 80
Superkurtosis 0 0 0 2 0 2 15 26
The D-model for GDP nowcasting 0 0 0 4 0 2 12 27
The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets 0 0 0 25 2 3 9 48
The Use of GARCH Models in VaR Estimation 0 0 1 36 2 5 39 171
The Use of GARCH Models in VaR Estimation 0 0 1 366 0 1 13 812
The effects of oil price shocks on stock market volatility: Evidence from European data 0 0 0 4 0 9 40 81
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 1 43 1 4 14 76
Time-varying Business Cycles Synchronisation in Europe 0 0 1 52 2 5 16 113
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 22 0 5 16 75
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 35 2 4 22 103
Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets 0 0 0 0 0 8 13 25
Trading VIX on volatility forecasts: another volatility puzzle? 0 0 2 2 0 4 24 24
US stock market regimes and oil price shocks 0 0 0 11 2 7 18 102
VIX Index in Interday and Intraday Volatility Models 0 0 0 5 1 5 13 59
Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 0 3 1 3 12 34
Volatility forecasting: Intra-day versus inter-day models 0 0 0 2 0 2 4 18
Volatility forecasting: intra-day vs. inter-day models 0 0 0 5 0 3 8 44
What should be taken into consideration when forecasting oil implied volatility index? 0 0 0 16 0 6 19 53
Total Working Papers 3 9 49 3,930 64 429 1,573 13,260

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification 0 0 1 60 1 14 31 285
A Probit Model for the State of the Greek GDP Growth 0 0 0 7 0 3 6 67
A robust VaR model under different time periods and weighting schemes 0 0 1 181 1 6 22 677
ARFIMAX and ARFIMAX-TARCH realized volatility modeling 0 0 0 87 1 3 10 255
An alternative approach to detect earnings management to meet or beat benchmarks 0 0 0 3 1 2 7 17
Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models 0 0 0 41 0 6 17 296
Backtesting VaR models:a two-stage procedure 0 0 2 2 2 4 16 18
Business Cycle Synchronization in EU: A Time-Varying Approach 0 0 1 23 0 4 10 104
Business Cycles Synchronization: Literature Review 0 1 17 65 0 5 44 164
Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? 0 0 1 26 0 3 12 125
Determinants of regional business cycle synchronization in Greece 0 0 0 0 0 2 9 10
Disaggregating VIX 0 0 0 0 0 1 10 10
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 2 6 11 337 12 47 101 1,426
Earnings management to avoid losses and earnings declines in Croatia 0 0 0 3 0 2 4 28
Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component 0 0 0 0 0 2 3 17
Evaluating volatility forecasts in option pricing in the context of a simulated options market 0 0 0 8 1 5 15 79
Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors 0 0 0 3 0 2 8 25
Forecasting European economic policy uncertainty 0 0 0 6 0 3 19 65
Forecasting VIX: the illusion of forecast evaluation criteria 0 0 0 1 0 4 21 24
Forecasting global stock market implied volatility indices 0 0 0 32 1 4 11 136
Forecasting oil price realized volatility using information channels from other asset classes 0 0 0 29 1 11 26 172
Forecasting oil price volatility using spillover effects from uncertainty indices 0 0 0 6 0 2 18 32
Forecasting oil prices: High-frequency financial data are indeed useful 0 0 1 27 17 35 45 164
Forecasting realized volatility of agricultural commodities 0 1 1 5 0 6 30 44
Forecasting the Oil Volatility Index Using Factors of Uncertainty 0 0 0 10 0 6 12 57
Forecasting tourist arrivals using origin country macroeconomics 0 0 0 6 0 1 10 47
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence 0 0 0 48 0 3 18 282
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 4 0 2 15 50
Hedge Ratios in South African Stock Index Futures 0 0 0 3 0 3 7 41
Hedge fund returns under crisis scenarios: A holistic approach 0 0 1 4 1 2 14 69
Intra-day realized volatility for European and USA stock indices 0 0 0 7 1 3 14 70
Investments and uncertainty revisited: the case of the US economy 0 0 0 4 1 4 12 47
Is PEAD a consequence of the presence of the cognitive bias of self-attribution in investors' expectations regarding permanent earnings? Evidence from Athens Stock Exchange 0 0 1 8 0 2 11 107
Modeling CAC40 volatility using ultra-high frequency data 0 0 0 35 0 3 13 156
Modeling risk for long and short trading positions 0 0 0 0 0 4 10 13
Multiple days ahead realized volatility forecasting: Single, combined and average forecasts 0 0 0 22 0 4 12 87
Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data 0 0 0 16 1 3 12 84
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 4 0 2 10 40
Navigating crude oil volatility forecasts: Assessing the contribution of geopolitical risk 1 1 2 2 2 5 24 24
Oil Price Volatility is Effective in Predicting Food Price Volatility. Or is it? 0 0 0 0 0 4 14 16
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 3 6 0 5 21 33
Oil and currency volatilities: Co‐movements and hedging opportunities 0 0 0 4 1 4 12 36
Oil and pump prices: Testing their asymmetric relationship in a robust way 0 0 0 19 0 4 19 78
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 1 2 69 3 10 26 271
Oil price assumptions for macroeconomic policy 0 0 0 4 0 5 21 41
Oil price shocks and uncertainty: How stable is their relationship over time? 0 0 0 71 1 2 13 186
Oil price volatility forecasts: What do investors need to know? 0 0 0 3 0 10 22 40
On the stationarity of futures hedge ratios 0 0 0 0 0 3 12 17
Option pricing using high-frequency futures prices 0 2 6 7 1 6 22 23
Predictability and model selection in the context of ARCH models 0 0 0 0 0 3 8 17
Real-time monitoring of carbon monoxide using value-at-risk measure and control charting 0 0 0 0 0 5 11 25
Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 15 0 3 14 76
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 17 0 1 6 69
SPEC model selection algorithm for ARCH models: an options pricing evaluation framework 0 0 0 0 0 4 9 10
Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes 0 0 0 0 0 2 6 7
Stock market as a nowcasting indicator for real investment 0 0 1 8 0 3 10 22
Superkurtosis 0 0 0 2 0 4 16 34
The D-model for GDP nowcasting 1 1 1 6 1 3 11 25
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 0 1 0 6 13 17
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 2 0 0 5 36
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 29 0 5 14 150
Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets 0 0 0 30 0 5 8 133
Trading VIX on Volatility Forecasts: Another Volatility Puzzle? 0 1 5 5 1 7 23 23
US stock market regimes and oil price shocks 0 0 0 21 0 6 17 167
Volatility forecasting: Intra-day versus inter-day models 0 0 1 100 0 1 8 371
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model 0 0 1 108 1 3 13 354
What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index? 0 0 1 3 0 5 7 13
What matters when developing oil price volatility forecasting frameworks? 0 0 1 1 0 4 9 11
Total Journal Articles 4 14 62 1,656 53 346 1,079 7,715
13 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Modelling and Forecasting High Frequency Financial Data 0 0 0 3 0 4 15 78
Total Books 0 0 0 3 0 4 15 78

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Intraday Hedge Ratios and Option Pricing 0 0 0 0 0 3 7 12
Intraday Realized Volatility Measures 0 0 0 1 0 6 10 23
Introduction to High Frequency Financial Modelling 0 0 0 0 0 2 4 21
Methods of Volatility Estimation and Forecasting 0 0 0 0 0 4 10 28
Multiple Model Comparison and Hypothesis Framework Construction 0 0 0 0 0 1 2 5
Realized Volatility Forecasting: Applications 0 0 0 1 0 2 6 15
Recent Methods: A Review 0 0 0 0 0 1 4 8
Total Chapters 0 0 0 2 0 19 43 112

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