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 38 2 3 14 231
A Probit Model for the State of the Greek GDP Growth 0 0 0 1 0 0 0 19
A Robust VaR Model under Different Time Periods and Weighting Schemes 1 1 1 3 1 2 5 40
ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling 0 0 1 10 0 0 6 78
Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models 0 0 0 0 0 0 4 13
Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review 0 1 6 16 0 1 23 99
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 1 13 2 4 19 55
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 0 0 0 2 13
Backtesting VaR Models: An Expected Shortfall Approach 0 1 1 1,152 1 2 4 3,027
Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer? 0 0 0 18 0 0 0 64
Business Cycle Synchronisation in EU: A time-varying approach 0 0 0 5 0 0 0 26
Can spillover effects provide forecasting gains? The case of oil price volatility 0 0 1 16 0 0 3 26
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 0 1 8 2 2 9 61
Earnings Management to Avoid Losses and Earnings Declines in Croatia 0 0 1 22 1 1 4 73
Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component 0 1 1 5 0 3 7 24
Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence 0 0 0 4 0 0 0 23
Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market 0 0 0 1 0 0 0 15
Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors 0 0 1 3 0 1 2 28
Forecasting European Economic Policy Uncertainty 0 0 0 31 0 0 3 28
Forecasting European Economic Policy Uncertainty 0 0 0 79 0 0 0 105
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 0 1 20
Forecasting Realized Volatility of Agricultural Commodities 0 0 0 25 0 0 1 24
Forecasting Tourist Arrivals Using Origin Country Macroeconomics 0 0 0 41 0 0 0 65
Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence 0 1 1 11 0 1 1 42
Forecasting Vix 0 0 2 7 0 3 10 47
Forecasting implied volatility indices worldwide: A new approach 0 0 0 48 0 0 1 36
Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions? 0 0 14 14 0 0 8 8
Forecasting oil price realized volatility using information channels from other asset classes 0 2 2 4 0 2 2 15
Forecasting oil price realized volatility: A new approach 0 0 0 63 0 2 3 182
Forecasting oil prices 0 0 0 101 0 0 2 163
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 27 0 0 1 22
Hedge Fund Returns under Crisis Scenarios: A Holistic Approach 0 0 0 19 0 0 0 70
Hedge Ratios in South African Stock Index Futures 0 0 0 1 0 0 0 8
Intra-Day Realized Volatility for European and USA Stock Indices 0 0 0 12 0 0 0 47
Investments and uncertainty revisited: The case of the US economy 0 0 0 22 1 1 1 50
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 1 0 0 5 113
Modeling CAC40 Volatility Using Ultra-high Frequency Data 0 0 1 6 0 0 2 32
Modeling Risk for Long and Short Trading Positions 0 0 0 3 0 0 2 31
Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts 0 0 1 24 0 0 1 15
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 1 3 74
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 2 0 1 5 32
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 0 14 0 0 1 38
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 0 34 0 0 1 112
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 3 5 57 1 12 30 115
Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? 0 1 2 19 0 1 5 28
Oil and pump prices: is there any asymmetry in the Greek oil downstream sector? 0 0 1 16 0 1 4 38
Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 7 0 1 3 48
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 1 1 1 3 20
Oil price assumptions for macroeconomic policy 0 0 3 26 0 0 8 48
Oil price shocks and stock market volatility: evidence from European data 0 0 0 222 0 0 0 584
Oil price shocks and volatility do predict stock market regimes 0 0 0 69 1 1 1 214
Oil price volatility forecasts: What do investors need to know? 0 0 1 27 0 0 3 54
Oil prices and stock markets: A review of the theory and empirical evidence 3 11 48 568 16 51 253 2,364
On the Stationarity of Futures Hedge Ratios 0 0 1 5 0 0 3 14
Predictability and Model Selection in the Context of ARCH Models 0 0 0 1 0 0 0 41
Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting 0 0 0 15 0 0 0 34
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 3 0 0 0 18
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 2 0 0 1 22
Return dispersion, stock market liquidity and aggregate economic activity 0 0 1 71 4 18 42 316
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 2 0 1 1 26
SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework 0 0 0 0 0 0 0 6
Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes 0 0 0 0 0 0 1 8
Stock market as a nowcasting indicator for real investment 0 0 1 20 0 0 3 9
Superkurtosis 0 0 7 32 1 1 16 48
Superkurtosis 0 0 0 26 0 0 2 62
The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets 1 1 3 24 1 1 5 26
The Use of GARCH Models in VaR Estimation 1 2 10 17 4 6 24 76
The Use of GARCH Models in VaR Estimation 0 1 3 359 0 1 12 775
The effects of oil price shocks on stock market volatility: Evidence from European data 0 0 1 3 0 2 9 29
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 42 0 0 3 54
Time-varying Business Cycles Synchronisation in Europe 0 0 0 50 0 0 0 91
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 35 0 0 1 73
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 20 0 0 6 47
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 3 7
US stock market regimes and oil price shocks 0 0 1 9 1 3 7 76
VIX Index in Interday and Intraday Volatility Models 0 0 1 3 0 3 13 35
Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 0 2 0 0 0 20
Volatility forecasting: Intra-day versus inter-day models 0 0 0 1 0 0 0 11
Volatility forecasting: intra-day vs. inter-day models 0 0 0 5 0 0 1 34
What should be taken into consideration when forecasting oil implied volatility index? 0 1 3 16 0 1 7 26
Total Working Papers 6 27 129 3,724 40 136 626 10,791

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 59 1 2 4 252
A Probit Model for the State of the Greek GDP Growth 0 0 0 7 2 3 3 61
A robust VaR model under different time periods and weighting schemes 0 0 0 178 0 0 1 649
ARFIMAX and ARFIMAX-TARCH realized volatility modeling 0 0 0 86 0 0 0 233
An alternative approach to detect earnings management to meet or beat benchmarks 0 1 1 1 2 5 5 5
Business Cycle Synchronization in EU: A Time-Varying Approach 0 0 1 18 0 0 3 78
Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? 0 0 1 23 0 0 2 101
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 1 2 8 316 1 5 18 1,261
Earnings management to avoid losses and earnings declines in Croatia 1 1 1 2 1 2 2 19
Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component 0 0 0 0 0 0 0 11
Evaluating volatility forecasts in option pricing in the context of a simulated options market 0 0 0 8 0 0 0 63
Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors 0 0 0 3 0 0 1 17
Forecasting European economic policy uncertainty 0 0 0 3 0 1 6 32
Forecasting global stock market implied volatility indices 0 0 1 28 0 2 5 115
Forecasting oil price realized volatility using information channels from other asset classes 0 0 3 16 1 2 8 85
Forecasting oil price volatility using spillover effects from uncertainty indices 0 0 0 2 0 1 1 5
Forecasting oil prices: High-frequency financial data are indeed useful 0 0 4 21 0 0 6 104
Forecasting realized volatility of agricultural commodities 0 0 0 2 0 2 2 9
Forecasting the Oil Volatility Index Using Factors of Uncertainty 0 0 2 9 0 0 10 33
Forecasting tourist arrivals using origin country macroeconomics 0 0 0 4 1 1 2 31
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence 0 0 0 48 0 0 2 262
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 4 0 0 3 34
Hedge Ratios in South African Stock Index Futures 0 0 0 3 0 0 0 33
Hedge fund returns under crisis scenarios: A holistic approach 0 0 1 3 1 1 6 53
Intra-day realized volatility for European and USA stock indices 0 0 1 6 0 0 4 52
Investments and uncertainty revisited: the case of the US economy 0 0 0 2 0 0 3 33
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 1 92
Modeling CAC40 volatility using ultra-high frequency data 1 1 1 33 1 1 2 139
Modeling risk for long and short trading positions 0 0 0 0 0 0 0 0
Multiple days ahead realized volatility forecasting: Single, combined and average forecasts 0 0 1 20 0 0 5 72
Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data 0 1 1 14 0 1 5 68
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 0 0 0 0 0
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 1 6 22 89 6 18 65 329
Oil and currency volatilities: Co‐movements and hedging opportunities 0 0 1 4 1 1 5 20
Oil and pump prices: Testing their asymmetric relationship in a robust way 0 0 3 15 0 0 9 51
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 2 64 1 1 10 236
Oil price assumptions for macroeconomic policy 0 0 1 1 0 1 7 7
Oil price shocks and uncertainty: How stable is their relationship over time? 0 0 2 68 0 0 8 162
Oil price volatility forecasts: What do investors need to know? 0 0 0 0 0 0 5 8
Oil price volatility is effective in predicting food price volatility. Or is it? 1 2 4 4 2 3 7 7
On the stationarity of futures hedge ratios 0 0 0 0 1 2 2 2
Predictability and model selection in the context of ARCH models 0 0 0 0 0 0 0 9
Real-time monitoring of carbon monoxide using value-at-risk measure and control charting 0 0 0 0 0 0 0 12
Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 1 14 0 0 1 58
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 16 0 0 1 61
Stock market as a nowcasting indicator for real investment 0 0 2 2 0 0 4 4
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 1 64 1 2 6 190
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 2 0 0 1 27
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 1 3 27 0 1 6 118
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 1 1 2 125
US stock market regimes and oil price shocks 0 0 1 18 0 0 5 130
Volatility forecasting: Intra-day versus inter-day models 0 0 1 98 0 1 3 360
What matters when developing oil price volatility forecasting frameworks? 0 0 0 0 0 0 0 0
Total Journal Articles 5 15 71 1,442 24 60 257 5,918
12 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 1 1 4 14 24
Total Books 0 0 1 1 1 4 14 24

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 2
Intraday Realized Volatility Measures 0 0 0 0 0 0 4 7
Introduction to High Frequency Financial Modelling 0 0 0 0 0 1 3 5
Methods of Volatility Estimation and Forecasting 0 0 0 0 1 2 4 7
Multiple Model Comparison and Hypothesis Framework Construction 0 0 0 0 0 0 0 1
Realized Volatility Forecasting: Applications 0 0 0 1 0 0 2 3
Recent Methods: A Review 0 0 0 0 0 0 0 3
Total Chapters 0 0 0 1 1 3 13 28

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Statistics updated 2023-05-07