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 2 7 16 259
A Probit Model for the State of the Greek GDP Growth 0 0 0 1 0 1 2 23
A Robust VaR Model under Different Time Periods and Weighting Schemes 0 0 0 3 3 7 11 54
ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling 0 0 0 11 1 4 9 101
Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models 0 0 0 1 0 2 4 22
Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review 0 0 0 19 5 30 40 168
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 15 4 11 14 82
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 0 8 14 20 36
Backtesting VaR Models: An Expected Shortfall Approach 0 0 0 1,154 6 11 19 3,057
Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer? 0 0 0 18 0 3 5 72
Business Cycle Synchronisation in EU: A time-varying approach 0 0 0 6 1 7 11 39
Can spillover effects provide forecasting gains? The case of oil price volatility 0 0 0 17 1 6 7 35
Determinants of regional business cycle synchronization in Greece 0 0 2 2 0 5 14 16
Disaggregated inflation rates: Some preliminary economic analysis for Greece 1 7 7 7 3 6 6 6
Disaggregating VIX 0 0 0 0 0 12 15 15
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 0 0 12 3 15 25 99
Earnings Management to Avoid Losses and Earnings Declines in Croatia 0 1 1 25 1 5 14 98
Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component 0 0 0 5 0 3 6 32
Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence 0 0 1 6 0 7 14 39
Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market 0 0 0 1 0 3 5 20
Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors 0 0 0 4 0 5 5 36
Forecasting European Economic Policy Uncertainty 0 0 0 32 1 7 9 41
Forecasting European Economic Policy Uncertainty 0 0 0 79 1 4 6 126
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 2 9 30
Forecasting Realized Volatility of Agricultural Commodities 0 0 1 26 3 8 14 42
Forecasting Tourist Arrivals Using Origin Country Macroeconomics 0 0 0 42 2 3 6 75
Forecasting VIX: The illusion of forecast evaluation criteria 0 0 0 7 3 5 10 41
Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence 0 0 0 11 2 8 14 58
Forecasting Vix 0 0 0 10 1 8 14 85
Forecasting household-level inflation in Greece 1 1 1 1 6 6 6 6
Forecasting implied volatility indices worldwide: A new approach 0 0 1 49 2 11 18 58
Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions? 0 0 1 17 1 4 6 22
Forecasting oil price realized volatility using information channels from other asset classes 0 0 1 6 3 15 21 43
Forecasting oil price realized volatility: A new approach 0 0 0 63 1 5 15 197
Forecasting oil prices 0 0 0 101 1 5 6 181
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 27 2 8 10 34
Hedge Fund Returns under Crisis Scenarios: A Holistic Approach 0 0 0 20 1 3 8 81
Hedge Ratios in South African Stock Index Futures 0 0 0 1 0 4 6 19
Intra-Day Realized Volatility for European and USA Stock Indices 0 0 0 12 6 10 18 67
Investments and uncertainty revisited: The case of the US economy 0 0 0 23 1 6 8 61
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 0 3 118
Modeling CAC40 Volatility Using Ultra-high Frequency Data 1 1 1 8 1 8 11 45
Modeling Risk for Long and Short Trading Positions 0 0 0 4 2 6 6 46
Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts 0 1 1 25 0 7 10 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 2 8 14 93
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 3 1 6 11 45
Navigating crude oil volatility forecasts: assessing the contribution of geopolitical risk 1 1 1 1 3 8 11 11
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 1 17 1 4 11 54
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 0 36 0 3 7 127
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 1 2 61 0 6 10 136
Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? 0 0 0 19 5 11 19 48
Oil and pump prices: is there any asymmetry in the Greek oil downstream sector? 0 0 0 18 3 10 13 61
Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 7 13 28 33 86
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 2 0 1 5 29
Oil price assumptions for macroeconomic policy 0 0 0 27 2 7 12 69
Oil price shocks and stock market volatility: evidence from European data 1 1 4 228 2 10 25 618
Oil price shocks and volatility do predict stock market regimes 0 0 1 70 1 5 10 232
Oil price volatility forecasts: What do investors need to know? 0 0 2 31 2 14 25 84
Oil prices and stock markets: A review of the theory and empirical evidence 0 2 12 620 2 43 93 2,623
On the Stationarity of Futures Hedge Ratios 0 0 1 6 2 22 27 49
Predictability and Model Selection in the Context of ARCH Models 0 0 0 1 0 8 9 52
Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting 0 0 0 15 0 4 5 40
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 3 3 7 8 28
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 2 1 25 27 53
Return dispersion, stock market liquidity and aggregate economic activity 0 0 0 72 0 4 8 339
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 3 0 15 19 46
SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework 0 0 0 0 1 5 6 14
Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes 0 0 0 0 0 2 4 13
Stock market as a nowcasting indicator for real investment 0 0 1 23 5 11 18 30
Superkurtosis 0 0 0 32 2 6 11 61
Superkurtosis 0 0 0 26 1 8 11 78
Superkurtosis 0 0 0 2 3 9 12 22
The D-model for GDP nowcasting 0 0 0 4 2 5 10 24
The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets 0 0 0 25 0 2 7 44
The Use of GARCH Models in VaR Estimation 0 1 3 36 2 18 38 165
The Use of GARCH Models in VaR Estimation 0 1 2 366 1 8 16 810
The effects of oil price shocks on stock market volatility: Evidence from European data 0 0 1 4 2 25 31 71
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 1 1 43 2 7 11 70
Time-varying Business Cycles Synchronisation in Europe 0 0 2 52 0 2 13 108
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 35 6 15 20 99
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 1 22 0 6 14 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 1 3 8 17
Trading VIX on volatility forecasts: another volatility puzzle? 0 0 2 2 3 13 20 20
US stock market regimes and oil price shocks 0 0 0 11 2 6 9 93
VIX Index in Interday and Intraday Volatility Models 0 0 0 5 0 4 8 52
Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 0 3 0 4 9 31
Volatility forecasting: Intra-day versus inter-day models 0 0 0 2 0 1 1 15
Volatility forecasting: intra-day vs. inter-day models 0 0 0 5 0 3 5 41
What should be taken into consideration when forecasting oil implied volatility index? 0 0 0 16 2 7 14 47
Total Working Papers 5 19 57 3,917 157 726 1,194 12,730

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 12 17 270
A Probit Model for the State of the Greek GDP Growth 0 0 0 7 0 3 3 64
A robust VaR model under different time periods and weighting schemes 0 0 0 180 1 6 16 670
ARFIMAX and ARFIMAX-TARCH realized volatility modeling 0 0 0 87 0 3 5 250
An alternative approach to detect earnings management to meet or beat benchmarks 0 0 0 3 1 2 4 13
Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models 0 0 0 41 0 7 10 289
Backtesting VaR models:a two-stage procedure 1 1 1 1 6 10 12 12
Business Cycle Synchronization in EU: A Time-Varying Approach 0 0 1 23 0 1 7 100
Business Cycles Synchronization: Literature Review 1 3 22 64 5 15 49 156
Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? 0 0 1 26 0 5 12 122
Determinants of regional business cycle synchronization in Greece 0 0 0 0 0 4 7 7
Disaggregating VIX 0 0 0 0 2 8 9 9
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 1 2 6 329 7 20 54 1,365
Earnings management to avoid losses and earnings declines in Croatia 0 0 0 3 1 2 2 26
Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component 0 0 0 0 0 0 1 15
Evaluating volatility forecasts in option pricing in the context of a simulated options market 0 0 0 8 2 7 11 74
Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors 0 0 0 3 0 5 6 23
Forecasting European economic policy uncertainty 0 0 1 6 3 9 16 59
Forecasting VIX: the illusion of forecast evaluation criteria 0 0 1 1 2 12 17 19
Forecasting global stock market implied volatility indices 0 0 1 32 1 4 8 132
Forecasting oil price realized volatility using information channels from other asset classes 0 0 2 29 1 12 21 161
Forecasting oil price volatility using spillover effects from uncertainty indices 0 0 0 6 5 13 15 28
Forecasting oil prices: High-frequency financial data are indeed useful 0 1 1 27 2 9 15 129
Forecasting realized volatility of agricultural commodities 0 0 0 4 1 8 20 34
Forecasting the Oil Volatility Index Using Factors of Uncertainty 0 0 0 10 1 2 5 50
Forecasting tourist arrivals using origin country macroeconomics 0 0 2 6 1 4 12 46
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence 0 0 0 48 3 11 14 278
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 4 0 6 12 47
Hedge Ratios in South African Stock Index Futures 0 0 0 3 0 3 4 38
Hedge fund returns under crisis scenarios: A holistic approach 1 1 1 4 1 8 11 65
Intra-day realized volatility for European and USA stock indices 0 0 0 7 0 6 9 65
Investments and uncertainty revisited: the case of the US economy 0 0 0 4 0 2 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 0 4 9 105
Modeling CAC40 volatility using ultra-high frequency data 0 0 0 35 0 8 8 151
Modeling risk for long and short trading positions 0 0 0 0 0 2 6 9
Multiple days ahead realized volatility forecasting: Single, combined and average forecasts 0 0 0 22 2 6 8 83
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 0 5 8 80
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 4 1 5 9 38
Navigating crude oil volatility forecasts: Assessing the contribution of geopolitical risk 0 1 1 1 1 10 16 16
Oil Price Volatility is Effective in Predicting Food Price Volatility. Or is it? 0 0 0 0 0 7 10 12
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 3 5 0 7 17 26
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 1 105 24 56 72 475
Oil and currency volatilities: Co‐movements and hedging opportunities 0 0 0 4 0 5 7 31
Oil and pump prices: Testing their asymmetric relationship in a robust way 0 0 0 19 1 9 15 74
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 1 1 68 0 5 13 258
Oil price assumptions for macroeconomic policy 0 0 0 4 6 12 15 32
Oil price shocks and uncertainty: How stable is their relationship over time? 0 0 0 71 1 6 12 182
Oil price volatility forecasts: What do investors need to know? 0 0 0 3 1 7 13 30
Oil price volatility is effective in predicting food price volatility. Or is it? 0 0 0 5 0 16 21 33
On the stationarity of futures hedge ratios 0 0 0 0 1 5 9 14
Option pricing using high-frequency futures prices 0 1 3 4 0 5 14 15
Predictability and model selection in the context of ARCH models 0 0 0 0 0 4 5 14
Real-time monitoring of carbon monoxide using value-at-risk measure and control charting 0 0 0 0 0 4 6 20
Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 15 1 6 8 70
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 17 0 1 3 66
SPEC model selection algorithm for ARCH models: an options pricing evaluation framework 0 0 0 0 0 2 4 5
Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes 0 0 0 0 0 3 4 5
Stock market as a nowcasting indicator for real investment 0 0 1 8 0 5 7 19
Superkurtosis 0 0 0 2 1 9 12 29
The D-model for GDP nowcasting 0 0 0 5 0 5 9 22
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 1 1 1 6 10 11
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 1 68 1 7 17 235
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 2 2 2 5 36
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 29 0 6 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 0 3 3 128
Trading VIX on Volatility Forecasts: Another Volatility Puzzle? 0 0 4 4 0 8 12 12
US stock market regimes and oil price shocks 0 0 1 21 1 6 15 160
Volatility forecasting: Intra-day versus inter-day models 0 0 1 100 1 5 8 370
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model 0 0 1 108 2 6 10 351
What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index? 0 0 1 3 0 1 3 8
What matters when developing oil price volatility forecasting frameworks? 1 1 1 1 1 5 5 7
Total Journal Articles 5 12 63 1,814 96 493 850 8,036
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 0 4 16 74
Total Books 0 0 1 3 0 4 16 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 0 2 3 15
Introduction to High Frequency Financial Modelling 0 0 0 0 0 1 3 19
Methods of Volatility Estimation and Forecasting 0 0 0 0 0 4 5 23
Multiple Model Comparison and Hypothesis Framework Construction 0 0 0 0 0 0 1 4
Realized Volatility Forecasting: Applications 0 0 0 1 0 3 4 13
Recent Methods: A Review 0 0 0 0 0 2 3 7
Total Chapters 0 0 0 2 0 12 22 89

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