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 1 1 42 2 6 12 254
A Probit Model for the State of the Greek GDP Growth 0 0 0 1 0 0 2 22
A Robust VaR Model under Different Time Periods and Weighting Schemes 0 0 0 3 2 3 7 49
ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling 0 0 0 11 2 3 7 99
Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models 0 0 0 1 1 1 5 21
Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review 0 0 0 19 7 10 17 145
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 0 0 2 7 22
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 15 0 2 5 71
Backtesting VaR Models: An Expected Shortfall Approach 0 0 0 1,154 1 7 10 3,047
Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer? 0 0 0 18 1 1 3 70
Business Cycle Synchronisation in EU: A time-varying approach 0 0 0 6 3 6 7 35
Can spillover effects provide forecasting gains? The case of oil price volatility 0 0 0 17 1 2 2 30
Determinants of regional business cycle synchronization in Greece 0 0 2 2 2 5 12 13
Disaggregating VIX 0 0 0 0 3 6 6 6
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 0 1 12 4 7 17 88
Earnings Management to Avoid Losses and Earnings Declines in Croatia 0 0 1 24 1 5 12 94
Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component 0 0 0 5 1 2 4 30
Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence 0 0 1 6 3 9 10 35
Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market 0 0 0 1 1 3 3 18
Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors 0 0 0 4 1 1 1 32
Forecasting European Economic Policy Uncertainty 0 0 0 32 0 2 2 34
Forecasting European Economic Policy Uncertainty 0 0 0 79 0 1 3 122
Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 0 1 1 7 8 29
Forecasting Realized Volatility of Agricultural Commodities 0 0 1 26 2 5 8 36
Forecasting Tourist Arrivals Using Origin Country Macroeconomics 0 0 0 42 1 3 4 73
Forecasting VIX: The illusion of forecast evaluation criteria 0 0 0 7 0 2 6 36
Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence 0 0 0 11 0 1 8 50
Forecasting Vix 0 0 0 10 1 4 10 78
Forecasting implied volatility indices worldwide: A new approach 0 0 1 49 2 2 9 49
Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions? 0 1 2 17 2 3 6 20
Forecasting oil price realized volatility using information channels from other asset classes 0 0 1 6 2 5 8 30
Forecasting oil price realized volatility: A new approach 0 0 0 63 1 6 11 193
Forecasting oil prices 0 0 0 101 1 1 3 177
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 27 2 3 4 28
Hedge Fund Returns under Crisis Scenarios: A Holistic Approach 0 0 0 20 1 3 6 79
Hedge Ratios in South African Stock Index Futures 0 0 0 1 2 3 5 17
Intra-Day Realized Volatility for European and USA Stock Indices 0 0 0 12 2 7 10 59
Investments and uncertainty revisited: The case of the US economy 0 0 0 23 3 4 5 58
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 1 2 0 2 4 118
Modeling CAC40 Volatility Using Ultra-high Frequency Data 0 0 0 7 4 6 8 41
Modeling Risk for Long and Short Trading Positions 0 0 0 4 0 0 2 40
Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts 0 0 0 24 1 2 5 22
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 1 2 7 86
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 3 0 4 5 39
Navigating crude oil volatility forecasts: assessing the contribution of geopolitical risk 0 0 0 0 2 5 5 5
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 1 1 17 1 4 8 51
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 0 36 1 3 6 125
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 1 2 2 61 3 5 10 133
Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? 0 0 0 19 2 9 11 39
Oil and pump prices: is there any asymmetry in the Greek oil downstream sector? 0 0 1 18 2 3 6 53
Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 7 0 4 6 58
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 2 1 4 5 29
Oil price assumptions for macroeconomic policy 0 0 0 27 0 0 6 62
Oil price shocks and stock market volatility: evidence from European data 0 1 3 227 2 4 18 610
Oil price shocks and volatility do predict stock market regimes 0 0 1 70 2 3 8 229
Oil price volatility forecasts: What do investors need to know? 0 1 2 31 4 9 16 74
Oil prices and stock markets: A review of the theory and empirical evidence 2 4 13 620 22 33 77 2,602
On the Stationarity of Futures Hedge Ratios 0 0 1 6 2 4 11 29
Predictability and Model Selection in the Context of ARCH Models 0 0 0 1 0 0 1 44
Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting 0 0 0 15 0 0 1 36
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 2 17 17 19 45
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 3 1 2 3 22
Return dispersion, stock market liquidity and aggregate economic activity 0 0 0 72 1 2 6 336
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 3 4 4 8 35
SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework 0 0 0 0 1 2 2 10
Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes 0 0 0 0 0 1 3 11
Stock market as a nowcasting indicator for real investment 0 0 1 23 1 3 9 20
Superkurtosis 0 0 0 26 4 4 8 74
Superkurtosis 0 0 0 2 2 3 5 15
Superkurtosis 0 0 0 32 2 4 7 57
The D-model for GDP nowcasting 0 0 0 4 3 7 10 22
The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets 0 0 0 25 1 4 7 43
The Use of GARCH Models in VaR Estimation 0 0 1 365 2 3 12 804
The Use of GARCH Models in VaR Estimation 0 0 3 35 8 19 31 155
The effects of oil price shocks on stock market volatility: Evidence from European data 0 0 1 4 11 14 18 57
The one-trading-day-ahead forecast errors of intra-day realized volatility 1 1 1 43 1 2 6 64
Time-varying Business Cycles Synchronisation in Europe 0 1 2 52 0 4 11 106
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 1 22 1 3 12 64
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 35 0 3 5 84
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 2 6 14
Trading VIX on volatility forecasts: another volatility puzzle? 0 2 2 2 2 6 9 9
US stock market regimes and oil price shocks 0 0 0 11 1 4 5 88
VIX Index in Interday and Intraday Volatility Models 0 0 0 5 1 3 7 49
Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 0 3 1 4 7 28
Volatility forecasting: Intra-day versus inter-day models 0 0 0 2 0 0 2 14
Volatility forecasting: intra-day vs. inter-day models 0 0 0 5 0 2 3 38
What should be taken into consideration when forecasting oil implied volatility index? 0 0 0 16 1 5 8 41
Total Working Papers 4 16 48 3,902 175 376 720 12,179

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 1 1 60 0 3 5 258
A Probit Model for the State of the Greek GDP Growth 0 0 0 7 0 0 0 61
A robust VaR model under different time periods and weighting schemes 0 0 0 180 2 7 13 666
ARFIMAX and ARFIMAX-TARCH realized volatility modeling 0 0 0 87 0 1 4 247
An alternative approach to detect earnings management to meet or beat benchmarks 0 0 0 3 0 0 2 11
Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models 0 0 0 41 2 3 6 284
Backtesting VaR models:a two-stage procedure 0 0 0 0 2 2 4 4
Business Cycle Synchronization in EU: A Time-Varying Approach 0 1 1 23 0 3 6 99
Business Cycles Synchronization: Literature Review 2 8 24 63 7 15 53 148
Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? 0 0 1 26 2 5 10 119
Determinants of regional business cycle synchronization in Greece 0 0 0 0 2 2 5 5
Disaggregating VIX 0 0 0 0 3 4 4 4
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 0 5 327 6 15 45 1,351
Earnings management to avoid losses and earnings declines in Croatia 0 0 0 3 0 0 1 24
Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component 0 0 0 0 0 0 3 15
Evaluating volatility forecasts in option pricing in the context of a simulated options market 0 0 0 8 2 4 6 69
Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors 0 0 0 3 2 3 3 20
Forecasting European economic policy uncertainty 0 0 1 6 0 0 9 50
Forecasting VIX: the illusion of forecast evaluation criteria 0 0 1 1 4 7 9 11
Forecasting global stock market implied volatility indices 0 0 1 32 1 3 6 129
Forecasting oil price realized volatility using information channels from other asset classes 0 0 2 29 5 5 18 154
Forecasting oil price volatility using spillover effects from uncertainty indices 0 0 0 6 1 2 4 16
Forecasting oil prices: High-frequency financial data are indeed useful 1 1 2 27 3 3 10 123
Forecasting realized volatility of agricultural commodities 0 0 0 4 2 12 14 28
Forecasting the Oil Volatility Index Using Factors of Uncertainty 0 0 0 10 1 4 7 49
Forecasting tourist arrivals using origin country macroeconomics 0 0 2 6 2 5 10 44
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence 0 0 0 48 1 2 5 268
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 4 0 4 7 41
Hedge Ratios in South African Stock Index Futures 0 0 0 3 1 2 3 36
Hedge fund returns under crisis scenarios: A holistic approach 0 0 0 3 4 5 7 61
Intra-day realized volatility for European and USA stock indices 0 0 0 7 2 4 7 61
Investments and uncertainty revisited: the case of the US economy 0 0 0 4 0 1 6 41
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 1 8 1 5 6 102
Modeling CAC40 volatility using ultra-high frequency data 0 0 0 35 1 1 1 144
Modeling risk for long and short trading positions 0 0 0 0 0 2 5 7
Multiple days ahead realized volatility forecasting: Single, combined and average forecasts 0 0 0 22 1 2 3 78
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 4 76
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 4 1 3 5 34
Navigating crude oil volatility forecasts: Assessing the contribution of geopolitical risk 0 0 0 0 2 7 8 8
Oil Price Volatility is Effective in Predicting Food Price Volatility. Or is it? 0 0 0 0 2 4 5 7
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 2 4 5 4 9 17 23
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 2 105 5 13 22 424
Oil and currency volatilities: Co‐movements and hedging opportunities 0 0 0 4 0 2 3 26
Oil and pump prices: Testing their asymmetric relationship in a robust way 0 0 0 19 2 8 8 67
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 67 4 11 12 257
Oil price assumptions for macroeconomic policy 0 0 0 4 0 0 3 20
Oil price shocks and uncertainty: How stable is their relationship over time? 0 0 1 71 2 4 9 178
Oil price volatility forecasts: What do investors need to know? 0 0 0 3 1 5 7 24
Oil price volatility is effective in predicting food price volatility. Or is it? 0 0 0 5 2 3 7 19
On the stationarity of futures hedge ratios 0 0 0 0 2 6 6 11
Option pricing using high-frequency futures prices 0 1 3 3 1 6 11 11
Predictability and model selection in the context of ARCH models 0 0 0 0 2 2 3 12
Real-time monitoring of carbon monoxide using value-at-risk measure and control charting 0 0 0 0 1 3 5 17
Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 15 0 2 4 64
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 17 0 1 2 65
SPEC model selection algorithm for ARCH models: an options pricing evaluation framework 0 0 0 0 1 2 3 4
Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes 0 0 0 0 0 1 1 2
Stock market as a nowcasting indicator for real investment 0 1 1 8 2 3 4 16
Superkurtosis 0 0 0 2 4 4 7 24
The D-model for GDP nowcasting 0 0 0 5 4 6 10 21
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 1 68 1 2 11 229
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 1 1 2 3 6 7
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 2 0 3 3 34
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 29 4 7 9 143
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 0 0 125
Trading VIX on Volatility Forecasts: Another Volatility Puzzle? 0 3 4 4 3 6 7 7
US stock market regimes and oil price shocks 0 0 1 21 1 3 12 155
Volatility forecasting: Intra-day versus inter-day models 0 1 1 100 0 2 4 365
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model 0 1 1 108 1 3 6 346
What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index? 0 0 1 3 0 0 3 7
What matters when developing oil price volatility forecasting frameworks? 0 0 0 0 1 1 1 3
Total Journal Articles 3 21 63 1,805 116 274 535 7,659
10 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 1 3 2 9 21 72
Total Books 0 0 1 3 2 9 21 72

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 1 3 8
Intraday Realized Volatility Measures 0 0 1 1 0 0 2 13
Introduction to High Frequency Financial Modelling 0 0 0 0 0 1 5 18
Methods of Volatility Estimation and Forecasting 0 0 0 0 0 0 1 19
Multiple Model Comparison and Hypothesis Framework Construction 0 0 0 0 0 1 2 4
Realized Volatility Forecasting: Applications 0 0 0 1 0 0 2 10
Recent Methods: A Review 0 0 0 0 1 1 2 6
Total Chapters 0 0 1 2 1 4 17 78

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Statistics updated 2026-01-09