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 3 7 15 257
A Probit Model for the State of the Greek GDP Growth 0 0 0 1 1 1 3 23
A Robust VaR Model under Different Time Periods and Weighting Schemes 0 0 0 3 2 4 8 51
ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling 0 0 0 11 1 4 8 100
Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models 0 0 0 1 1 2 5 22
Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review 0 0 0 19 18 25 35 163
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 15 7 9 10 78
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 0 6 7 12 28
Backtesting VaR Models: An Expected Shortfall Approach 0 0 0 1,154 4 7 13 3,051
Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer? 0 0 0 18 2 3 5 72
Business Cycle Synchronisation in EU: A time-varying approach 0 0 0 6 3 8 10 38
Can spillover effects provide forecasting gains? The case of oil price volatility 0 0 0 17 4 6 6 34
Determinants of regional business cycle synchronization in Greece 0 0 2 2 3 8 15 16
Disaggregated inflation rates: Some preliminary economic analysis for Greece 6 6 6 6 3 3 3 3
Disaggregating VIX 0 0 0 0 9 13 15 15
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 0 1 12 8 15 24 96
Earnings Management to Avoid Losses and Earnings Declines in Croatia 1 1 1 25 3 6 14 97
Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component 0 0 0 5 2 4 6 32
Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence 0 0 1 6 4 10 14 39
Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market 0 0 0 1 2 5 5 20
Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors 0 0 0 4 4 5 5 36
Forecasting European Economic Policy Uncertainty 0 0 0 32 6 7 8 40
Forecasting European Economic Policy Uncertainty 0 0 0 79 3 4 6 125
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 2 8 29
Forecasting Realized Volatility of Agricultural Commodities 0 0 1 26 3 7 11 39
Forecasting Tourist Arrivals Using Origin Country Macroeconomics 0 0 0 42 0 2 4 73
Forecasting VIX: The illusion of forecast evaluation criteria 0 0 0 7 2 4 7 38
Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence 0 0 0 11 6 7 13 56
Forecasting Vix 0 0 0 10 6 10 14 84
Forecasting implied volatility indices worldwide: A new approach 0 0 1 49 7 9 16 56
Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions? 0 1 2 17 1 4 7 21
Forecasting oil price realized volatility using information channels from other asset classes 0 0 1 6 10 13 18 40
Forecasting oil price realized volatility: A new approach 0 0 0 63 3 7 14 196
Forecasting oil prices 0 0 0 101 3 4 6 180
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 27 4 6 8 32
Hedge Fund Returns under Crisis Scenarios: A Holistic Approach 0 0 0 20 1 4 7 80
Hedge Ratios in South African Stock Index Futures 0 0 0 1 2 5 7 19
Intra-Day Realized Volatility for European and USA Stock Indices 0 0 0 12 2 7 12 61
Investments and uncertainty revisited: The case of the US economy 0 0 0 23 2 6 7 60
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 2 0 1 4 118
Modeling CAC40 Volatility Using Ultra-high Frequency Data 0 0 0 7 3 9 10 44
Modeling Risk for Long and Short Trading Positions 0 0 0 4 4 4 5 44
Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts 1 1 1 25 6 8 11 28
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 5 7 12 91
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 3 5 6 10 44
Navigating crude oil volatility forecasts: assessing the contribution of geopolitical risk 0 0 0 0 3 6 8 8
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 1 1 17 2 6 10 53
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 0 36 2 4 8 127
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 1 2 61 3 6 12 136
Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? 0 0 0 19 4 10 15 43
Oil and pump prices: is there any asymmetry in the Greek oil downstream sector? 0 0 1 18 5 7 11 58
Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 7 15 19 21 73
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 2 0 4 5 29
Oil price assumptions for macroeconomic policy 0 0 0 27 5 5 10 67
Oil price shocks and stock market volatility: evidence from European data 0 1 3 227 6 9 24 616
Oil price shocks and volatility do predict stock market regimes 0 0 1 70 2 4 9 231
Oil price volatility forecasts: What do investors need to know? 0 0 2 31 8 13 24 82
Oil prices and stock markets: A review of the theory and empirical evidence 0 3 13 620 19 51 94 2,621
On the Stationarity of Futures Hedge Ratios 0 0 1 6 18 21 29 47
Predictability and Model Selection in the Context of ARCH Models 0 0 0 1 8 8 9 52
Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting 0 0 0 15 4 4 5 40
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 2 7 24 26 52
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 3 3 5 6 25
Return dispersion, stock market liquidity and aggregate economic activity 0 0 0 72 3 5 8 339
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 3 11 15 19 46
SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework 0 0 0 0 3 5 5 13
Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes 0 0 0 0 2 2 5 13
Stock market as a nowcasting indicator for real investment 0 0 1 23 5 8 13 25
Superkurtosis 0 0 0 2 4 7 9 19
Superkurtosis 0 0 0 26 3 7 10 77
Superkurtosis 0 0 0 32 2 5 9 59
The D-model for GDP nowcasting 0 0 0 4 0 5 8 22
The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets 0 0 0 25 1 4 7 44
The Use of GARCH Models in VaR Estimation 1 1 2 366 5 7 16 809
The Use of GARCH Models in VaR Estimation 1 1 3 36 8 20 36 163
The effects of oil price shocks on stock market volatility: Evidence from European data 0 0 1 4 12 25 30 69
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 1 1 43 4 5 9 68
Time-varying Business Cycles Synchronisation in Europe 0 1 2 52 2 4 13 108
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 35 9 12 14 93
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 1 22 5 8 15 69
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 2 3 7 16
Trading VIX on volatility forecasts: another volatility puzzle? 0 1 2 2 8 13 17 17
US stock market regimes and oil price shocks 0 0 0 11 3 6 7 91
VIX Index in Interday and Intraday Volatility Models 0 0 0 5 3 6 9 52
Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 0 3 3 5 9 31
Volatility forecasting: Intra-day versus inter-day models 0 0 0 2 1 1 1 15
Volatility forecasting: intra-day vs. inter-day models 0 0 0 5 3 4 5 41
What should be taken into consideration when forecasting oil implied volatility index? 0 0 0 16 4 9 12 45
Total Working Papers 10 20 56 3,912 394 692 1,075 12,573

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 11 11 16 269
A Probit Model for the State of the Greek GDP Growth 0 0 0 7 3 3 3 64
A robust VaR model under different time periods and weighting schemes 0 0 0 180 3 8 15 669
ARFIMAX and ARFIMAX-TARCH realized volatility modeling 0 0 0 87 3 3 6 250
An alternative approach to detect earnings management to meet or beat benchmarks 0 0 0 3 1 1 3 12
Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models 0 0 0 41 5 8 10 289
Backtesting VaR models:a two-stage procedure 0 0 0 0 2 4 6 6
Business Cycle Synchronization in EU: A Time-Varying Approach 0 1 1 23 1 3 7 100
Business Cycles Synchronization: Literature Review 0 5 22 63 3 13 47 151
Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? 0 0 1 26 3 7 13 122
Determinants of regional business cycle synchronization in Greece 0 0 0 0 2 4 7 7
Disaggregating VIX 0 0 0 0 3 6 7 7
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 1 1 6 328 7 19 50 1,358
Earnings management to avoid losses and earnings declines in Croatia 0 0 0 3 1 1 2 25
Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component 0 0 0 0 0 0 2 15
Evaluating volatility forecasts in option pricing in the context of a simulated options market 0 0 0 8 3 5 9 72
Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors 0 0 0 3 3 6 6 23
Forecasting European economic policy uncertainty 0 0 1 6 6 6 13 56
Forecasting VIX: the illusion of forecast evaluation criteria 0 0 1 1 6 12 15 17
Forecasting global stock market implied volatility indices 0 0 1 32 2 3 8 131
Forecasting oil price realized volatility using information channels from other asset classes 0 0 2 29 6 11 23 160
Forecasting oil price volatility using spillover effects from uncertainty indices 0 0 0 6 7 9 11 23
Forecasting oil prices: High-frequency financial data are indeed useful 0 1 1 27 4 7 13 127
Forecasting realized volatility of agricultural commodities 0 0 0 4 5 15 19 33
Forecasting the Oil Volatility Index Using Factors of Uncertainty 0 0 0 10 0 3 6 49
Forecasting tourist arrivals using origin country macroeconomics 0 0 2 6 1 4 11 45
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence 0 0 0 48 7 8 12 275
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 4 6 8 13 47
Hedge Ratios in South African Stock Index Futures 0 0 0 3 2 3 4 38
Hedge fund returns under crisis scenarios: A holistic approach 0 0 0 3 3 8 10 64
Intra-day realized volatility for European and USA stock indices 0 0 0 7 4 6 9 65
Investments and uncertainty revisited: the case of the US economy 0 0 0 4 2 3 8 43
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 3 5 9 105
Modeling CAC40 volatility using ultra-high frequency data 0 0 0 35 7 8 8 151
Modeling risk for long and short trading positions 0 0 0 0 2 4 6 9
Multiple days ahead realized volatility forecasting: Single, combined and average forecasts 0 0 0 22 3 5 6 81
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 4 6 8 80
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 4 3 6 8 37
Navigating crude oil volatility forecasts: Assessing the contribution of geopolitical risk 1 1 1 1 7 14 15 15
Oil Price Volatility is Effective in Predicting Food Price Volatility. Or is it? 0 0 0 0 5 9 10 12
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 1 4 5 3 8 20 26
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 2 105 27 38 49 451
Oil and currency volatilities: Co‐movements and hedging opportunities 0 0 0 4 5 7 8 31
Oil and pump prices: Testing their asymmetric relationship in a robust way 0 0 0 19 6 10 14 73
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 1 1 1 68 1 10 13 258
Oil price assumptions for macroeconomic policy 0 0 0 4 6 6 9 26
Oil price shocks and uncertainty: How stable is their relationship over time? 0 0 1 71 3 6 12 181
Oil price volatility forecasts: What do investors need to know? 0 0 0 3 5 9 12 29
Oil price volatility is effective in predicting food price volatility. Or is it? 0 0 0 5 14 17 21 33
On the stationarity of futures hedge ratios 0 0 0 0 2 7 8 13
Option pricing using high-frequency futures prices 1 1 4 4 4 8 15 15
Predictability and model selection in the context of ARCH models 0 0 0 0 2 4 5 14
Real-time monitoring of carbon monoxide using value-at-risk measure and control charting 0 0 0 0 3 4 7 20
Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 15 5 5 9 69
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 17 1 2 3 66
SPEC model selection algorithm for ARCH models: an options pricing evaluation framework 0 0 0 0 1 2 4 5
Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes 0 0 0 0 3 3 4 5
Stock market as a nowcasting indicator for real investment 0 1 1 8 3 6 7 19
Superkurtosis 0 0 0 2 4 8 11 28
The D-model for GDP nowcasting 0 0 0 5 1 7 9 22
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 1 68 5 7 16 234
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 1 1 3 6 9 10
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 2 7 10 145
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 3 3 3 128
Trading VIX on Volatility Forecasts: Another Volatility Puzzle? 0 0 4 4 5 8 12 12
US stock market regimes and oil price shocks 0 0 1 21 4 7 15 159
Volatility forecasting: Intra-day versus inter-day models 0 1 1 100 4 6 7 369
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model 0 0 1 108 3 5 8 349
What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index? 0 0 1 3 1 1 4 8
What matters when developing oil price volatility forecasting frameworks? 0 0 0 0 3 4 4 6
Total Journal Articles 4 14 64 1,809 281 489 785 7,940
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 8 19 74
Total Books 0 0 1 3 2 8 19 74

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 0 3 8
Intraday Realized Volatility Measures 0 0 0 1 2 2 3 15
Introduction to High Frequency Financial Modelling 0 0 0 0 1 1 4 19
Methods of Volatility Estimation and Forecasting 0 0 0 0 4 4 5 23
Multiple Model Comparison and Hypothesis Framework Construction 0 0 0 0 0 1 2 4
Realized Volatility Forecasting: Applications 0 0 0 1 3 3 4 13
Recent Methods: A Review 0 0 0 0 1 2 3 7
Total Chapters 0 0 0 2 11 13 24 89

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Statistics updated 2026-02-12