Access Statistics for Stavros Degiannakis

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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 2 4 17 35 10 15 93 199
A Probit Model for the State of the Greek GDP Growth 0 0 0 1 0 0 7 19
A Robust VaR Model under Different Time Periods and Weighting Schemes 0 0 0 2 0 3 7 33
ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling 0 0 1 9 2 4 19 70
Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models 0 0 0 0 1 1 4 9
Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review 0 0 0 6 2 4 18 65
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 12 0 0 3 30
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 0 1 2 4 10
Backtesting VaR Models: An Expected Shortfall Approach 0 1 4 1,150 0 4 16 3,016
Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer? 0 0 1 18 0 2 6 63
Business Cycle Synchronisation in EU: A time-varying approach 0 0 1 3 0 2 4 22
Can spillover effects provide forecasting gains? The case of oil price volatility 0 0 1 15 0 1 9 22
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 0 1 5 0 1 23 46
Earnings Management to Avoid Losses and Earnings Declines in Croatia 0 0 4 19 2 5 17 66
Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component 0 0 1 4 1 2 5 16
Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence 0 0 1 4 0 0 1 22
Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market 0 0 1 1 0 1 2 14
Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors 0 0 0 2 0 0 2 26
Forecasting European Economic Policy Uncertainty 0 0 1 31 2 2 8 23
Forecasting European Economic Policy Uncertainty 1 2 2 79 1 6 11 104
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 6 19
Forecasting Realized Volatility of Agricultural Commodities 0 0 1 24 0 1 2 18
Forecasting Tourist Arrivals Using Origin Country Macroeconomics 0 0 1 41 0 0 8 64
Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence 0 0 3 10 1 3 11 41
Forecasting Vix 0 0 0 4 0 5 18 34
Forecasting implied volatility indices worldwide: A new approach 0 0 0 48 0 0 1 35
Forecasting oil price realized volatility using information channels from other asset classes 0 0 1 2 0 0 6 12
Forecasting oil price realized volatility: A new approach 0 0 2 63 2 6 24 177
Forecasting oil prices 0 0 1 100 1 2 11 154
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 1 27 0 1 4 20
Hedge Fund Returns under Crisis Scenarios: A Holistic Approach 1 1 2 19 2 3 13 68
Hedge Ratios in South African Stock Index Futures 0 0 0 1 0 0 1 8
Intra-Day Realized Volatility for European and USA Stock Indices 0 0 1 12 0 1 5 44
Investments and uncertainty revisited: The case of the US economy 0 0 0 22 0 1 2 48
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 1 1 3 10 105
Modeling CAC40 Volatility Using Ultra-high Frequency Data 0 0 2 5 0 2 14 28
Modeling Risk for Long and Short Trading Positions 0 0 0 2 0 0 2 25
Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts 0 0 0 23 0 0 3 14
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 44 0 3 10 70
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 2 0 0 3 26
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 0 14 0 2 19 35
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 1 1 34 1 3 12 104
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 4 46 1 4 21 64
Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? 0 0 1 17 0 0 4 22
Oil and pump prices: is there any asymmetry in the Greek oil downstream sector? 0 0 3 15 0 2 13 26
Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 7 0 2 7 42
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 1 0 1 2 13
Oil price assumptions for macroeconomic policy 0 0 3 22 2 3 19 31
Oil price shocks and stock market volatility: evidence from European data 0 0 0 221 0 0 3 582
Oil price shocks and volatility do predict stock market regimes 0 0 0 64 1 3 10 203
Oil price volatility forecasts: What do investors need to know? 0 1 4 24 0 1 7 41
Oil prices and stock markets: A review of the theory and empirical evidence 9 36 150 445 44 154 640 1,745
On the Stationarity of Futures Hedge Ratios 0 0 3 3 0 0 7 9
Predictability and Model Selection in the Context of ARCH Models 0 0 0 1 1 6 17 38
Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting 0 0 0 15 1 1 8 34
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 3 0 0 2 16
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 1 1 0 1 5 19
Return dispersion, stock market liquidity and aggregate economic activity 1 2 5 69 5 11 27 247
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 2 1 3 6 25
SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework 0 0 0 0 0 3 3 4
Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes 0 0 0 0 0 0 5 7
Superkurtosis 0 0 2 25 1 1 12 51
Superkurtosis 0 0 5 25 0 1 11 27
The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets 0 0 0 21 0 2 5 16
The Use of GARCH Models in VaR Estimation 0 0 3 356 0 1 10 750
The Use of GARCH Models in VaR Estimation 0 1 1 4 2 5 15 33
The effects of oil price shocks on stock market volatility: Evidence from European data 1 1 1 2 1 4 9 18
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 2 42 0 2 8 46
Time-varying Business Cycles Synchronisation in Europe 0 0 0 49 0 2 6 89
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 1 19 0 0 3 34
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 35 0 1 5 70
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 1 1 2
US stock market regimes and oil price shocks 0 0 1 8 1 3 20 64
VIX Index in Interday and Intraday Volatility Models 0 1 1 1 0 2 12 16
Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 2 2 0 0 8 17
Volatility forecasting: Intra-day versus inter-day models 0 0 1 1 0 1 2 10
Volatility forecasting: intra-day vs. inter-day models 0 0 1 4 0 0 3 32
Total Working Papers 15 51 248 3,445 91 314 1,380 9,467

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 0 58 0 1 2 247
A Probit Model for the State of the Greek GDP Growth 0 0 1 7 0 1 3 55
A robust VaR model under different time periods and weighting schemes 0 0 0 176 0 2 6 642
ARFIMAX and ARFIMAX-TARCH realized volatility modeling 0 0 0 85 0 0 1 229
Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models 0 0 0 41 0 0 1 276
Business Cycle Synchronization in EU: A Time-Varying Approach 0 0 1 15 1 5 12 70
Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? 0 0 1 20 0 3 13 95
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 1 24 300 5 13 100 1,204
Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component 0 0 0 0 0 0 2 11
Evaluating value-at-risk models before and after the financial crisis of 2008: International evidence 0 0 1 5 0 0 9 29
Evaluating volatility forecasts in option pricing in the context of a simulated options market 0 0 0 8 0 0 1 61
Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors 0 0 0 3 0 0 0 16
Forecasting European economic policy uncertainty 0 0 0 3 0 3 8 21
Forecasting global stock market implied volatility indices 1 1 2 25 3 5 22 106
Forecasting oil price realized volatility using information channels from other asset classes 0 1 3 12 0 3 16 68
Forecasting oil prices: High-frequency financial data are indeed useful 0 0 4 17 0 0 25 86
Forecasting one-day-ahead VaR and intra-day realized volatility in the Athens Stock Exchange Market 0 0 0 2 0 0 1 23
Forecasting tourist arrivals using origin country macroeconomics 0 0 1 4 0 0 3 29
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence 0 0 1 47 1 3 7 257
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 1 4 0 2 7 29
Hedge Ratios in South African Stock Index Futures 0 0 0 3 0 0 8 33
Hedge fund returns under crisis scenarios: A holistic approach 0 0 0 2 1 3 10 45
Intra-day realized volatility for European and USA stock indices 0 0 1 5 0 4 7 48
Investments and uncertainty revisited: the case of the US economy 0 0 0 2 0 0 2 29
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 0 7 0 0 2 90
Modeling CAC40 volatility using ultra-high frequency data 0 0 0 32 0 0 1 136
Multiple days ahead realized volatility forecasting: Single, combined and average forecasts 2 2 3 18 2 3 14 64
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 1 12 1 2 7 62
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 3 0 0 2 22
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 2 15 64 2 11 63 235
Oil and currency volatilities: Co‐movements and hedging opportunities 0 1 1 1 0 3 10 10
Oil and pump prices: Testing their asymmetric relationship in a robust way 2 2 4 9 3 3 17 31
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 1 1 2 57 1 1 12 212
Oil price shocks and uncertainty: How stable is their relationship over time? 1 2 36 66 2 4 63 145
Predictability and model selection in the context of ARCH models 0 0 0 0 0 2 2 8
Real-time monitoring of carbon monoxide using value-at-risk measure and control charting 0 0 0 0 1 2 5 11
Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 13 0 0 1 56
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 16 0 0 0 60
SPEC model selection algorithm for ARCH models: an options pricing evaluation framework 0 0 0 16 0 2 2 79
Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes 0 0 0 12 1 2 4 93
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 1 1 2 63 3 5 12 180
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 2 0 1 6 26
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 1 2 3 24 3 10 25 106
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 1 123
US stock market regimes and oil price shocks 0 1 4 16 0 3 15 119
Volatility forecasting: Intra-day versus inter-day models 0 0 2 97 0 0 5 356
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model 0 0 0 105 1 4 8 336
Total Journal Articles 9 17 114 1,507 31 106 543 6,269

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 0 0 2 2 2
Total Books 0 0 0 0 0 2 2 2

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 0 0
Intraday Realized Volatility Measures 0 0 0 0 0 0 0 0
Introduction to High Frequency Financial Modelling 0 0 0 0 0 0 0 0
Methods of Volatility Estimation and Forecasting 0 0 0 0 0 1 1 1
Multiple Model Comparison and Hypothesis Framework Construction 0 0 0 0 0 1 1 1
Realized Volatility Forecasting: Applications 0 0 0 0 0 0 0 0
Recent Methods: A Review 0 0 0 0 0 0 1 1
Total Chapters 0 0 0 0 0 2 3 3

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Statistics updated 2021-10-04