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 0 41 1 1 8 248
A Probit Model for the State of the Greek GDP Growth 0 0 0 1 0 0 3 22
A Robust VaR Model under Different Time Periods and Weighting Schemes 0 0 0 3 1 1 4 46
ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling 0 0 0 11 1 3 7 96
Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models 0 0 1 1 0 1 5 20
Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review 0 0 0 19 1 3 10 135
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 1 15 0 0 4 69
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 0 0 3 5 20
Backtesting VaR Models: An Expected Shortfall Approach 0 0 2 1,154 0 2 5 3,040
Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer? 0 0 0 18 0 0 3 69
Business Cycle Synchronisation in EU: A time-varying approach 0 0 0 6 0 0 1 29
Can spillover effects provide forecasting gains? The case of oil price volatility 0 0 0 17 0 0 0 28
Determinants of regional business cycle synchronization in Greece 0 1 2 2 0 2 7 8
Disaggregating VIX 0 0 0 0 0 0 0 0
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 0 2 12 1 3 12 81
Earnings Management to Avoid Losses and Earnings Declines in Croatia 0 0 1 24 0 1 7 89
Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component 0 0 0 5 1 2 3 28
Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence 0 0 1 6 0 0 1 26
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 0 4 0 0 0 31
Forecasting European Economic Policy Uncertainty 0 0 0 79 0 0 2 121
Forecasting European Economic Policy Uncertainty 0 0 0 32 0 0 0 32
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 22
Forecasting Realized Volatility of Agricultural Commodities 1 1 1 26 2 3 3 31
Forecasting Tourist Arrivals Using Origin Country Macroeconomics 0 0 0 42 1 1 1 70
Forecasting VIX: The illusion of forecast evaluation criteria 0 0 0 7 0 0 5 34
Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence 0 0 0 11 0 2 7 49
Forecasting Vix 0 0 0 10 0 0 11 74
Forecasting implied volatility indices worldwide: A new approach 0 0 1 49 1 4 8 47
Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions? 0 0 2 16 0 1 4 17
Forecasting oil price realized volatility using information channels from other asset classes 0 0 1 6 0 1 4 25
Forecasting oil price realized volatility: A new approach 0 0 0 63 2 4 5 187
Forecasting oil prices 0 0 0 101 0 0 6 176
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 27 0 1 1 25
Hedge Fund Returns under Crisis Scenarios: A Holistic Approach 0 0 0 20 0 2 3 76
Hedge Ratios in South African Stock Index Futures 0 0 0 1 0 0 3 14
Intra-Day Realized Volatility for European and USA Stock Indices 0 0 0 12 0 0 3 52
Investments and uncertainty revisited: The case of the US economy 0 0 0 23 0 0 1 54
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 2 116
Modeling CAC40 Volatility Using Ultra-high Frequency Data 0 0 0 7 0 0 2 35
Modeling Risk for Long and Short Trading Positions 0 0 0 4 0 0 4 40
Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts 0 0 0 24 0 2 3 20
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 3 3 6 84
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 3 0 0 2 35
Navigating crude oil volatility forecasts: assessing the contribution of geopolitical risk 0 0 0 0 0 0 0 0
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 0 36 0 0 3 122
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 0 16 0 3 4 47
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 0 59 1 1 5 128
Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? 0 0 0 19 0 0 2 30
Oil and pump prices: is there any asymmetry in the Greek oil downstream sector? 0 0 1 18 0 1 4 50
Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 7 1 1 3 54
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 2 0 0 1 25
Oil price assumptions for macroeconomic policy 0 0 0 27 0 2 6 62
Oil price shocks and stock market volatility: evidence from European data 0 0 2 226 0 6 15 606
Oil price shocks and volatility do predict stock market regimes 0 0 1 70 0 3 8 226
Oil price volatility forecasts: What do investors need to know? 0 0 1 30 1 4 7 65
Oil prices and stock markets: A review of the theory and empirical evidence 0 3 14 616 2 11 55 2,569
On the Stationarity of Futures Hedge Ratios 0 0 1 6 1 1 7 25
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 1 1 1 36
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 2 1 1 4 28
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 3 0 0 2 20
Return dispersion, stock market liquidity and aggregate economic activity 0 0 1 72 0 1 6 334
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 1 3 2 3 5 31
SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework 0 0 0 0 0 0 0 8
Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes 0 0 0 0 1 1 2 10
Stock market as a nowcasting indicator for real investment 0 0 1 23 1 3 6 17
Superkurtosis 0 0 0 32 0 3 3 53
Superkurtosis 0 0 0 2 0 1 3 12
Superkurtosis 0 0 0 26 0 1 5 70
The D-model for GDP nowcasting 0 0 0 4 0 0 3 15
The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets 0 0 0 25 0 0 6 39
The Use of GARCH Models in VaR Estimation 0 0 1 365 2 2 12 801
The Use of GARCH Models in VaR Estimation 0 0 5 35 3 4 21 136
The effects of oil price shocks on stock market volatility: Evidence from European data 0 0 1 4 0 2 4 43
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 42 0 0 5 62
Time-varying Business Cycles Synchronisation in Europe 0 0 1 51 4 5 7 102
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 35 0 0 3 81
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 1 22 1 2 11 61
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 0 4 12
Trading VIX on volatility forecasts: another volatility puzzle? 0 0 0 0 2 3 3 3
US stock market regimes and oil price shocks 0 0 0 11 0 0 1 84
VIX Index in Interday and Intraday Volatility Models 0 0 1 5 0 0 7 46
Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 1 3 0 2 4 24
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 0 1 36
What should be taken into consideration when forecasting oil implied volatility index? 0 0 0 16 1 2 3 36
Total Working Papers 1 5 49 3,886 40 116 427 11,803

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 0 1 2 255
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 4 4 6 659
ARFIMAX and ARFIMAX-TARCH realized volatility modeling 0 0 1 87 0 1 7 246
An alternative approach to detect earnings management to meet or beat benchmarks 0 0 0 3 0 1 3 11
Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models 0 0 0 41 0 2 3 281
Backtesting VaR models:a two-stage procedure 0 0 0 0 0 0 2 2
Business Cycle Synchronization in EU: A Time-Varying Approach 0 0 0 22 0 2 4 96
Business Cycles Synchronization: Literature Review 3 7 22 55 6 13 54 133
Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? 1 1 1 26 1 1 5 114
Determinants of regional business cycle synchronization in Greece 0 0 0 0 0 2 3 3
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 1 6 327 4 11 38 1,336
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 1 4 15
Evaluating volatility forecasts in option pricing in the context of a simulated options market 0 0 0 8 0 1 2 65
Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors 0 0 0 3 0 0 0 17
Forecasting European economic policy uncertainty 0 0 2 6 0 4 10 50
Forecasting VIX: the illusion of forecast evaluation criteria 0 0 1 1 0 1 2 4
Forecasting global stock market implied volatility indices 0 0 1 32 0 1 3 126
Forecasting oil price realized volatility using information channels from other asset classes 0 0 2 29 1 3 18 149
Forecasting oil price volatility using spillover effects from uncertainty indices 0 0 2 6 0 0 6 14
Forecasting oil prices: High-frequency financial data are indeed useful 0 0 1 26 0 1 8 120
Forecasting realized volatility of agricultural commodities 0 0 0 4 0 2 2 16
Forecasting the Oil Volatility Index Using Factors of Uncertainty 0 0 0 10 0 0 4 45
Forecasting tourist arrivals using origin country macroeconomics 0 0 2 6 0 2 6 39
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence 0 0 0 48 1 2 3 266
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 4 1 2 3 37
Hedge Ratios in South African Stock Index Futures 0 0 0 3 0 0 1 34
Hedge fund returns under crisis scenarios: A holistic approach 0 0 0 3 1 1 2 56
Intra-day realized volatility for European and USA stock indices 0 0 1 7 0 1 5 57
Investments and uncertainty revisited: the case of the US economy 0 0 0 4 1 5 5 40
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 1 1 97
Modeling CAC40 volatility using ultra-high frequency data 0 0 0 35 0 0 0 143
Modeling risk for long and short trading positions 0 0 0 0 1 2 3 5
Multiple days ahead realized volatility forecasting: Single, combined and average forecasts 0 0 1 22 1 1 2 76
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 1 2 73
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 4 0 1 3 31
Navigating crude oil volatility forecasts: Assessing the contribution of geopolitical risk 0 0 0 0 1 1 1 1
Oil Price Volatility is Effective in Predicting Food Price Volatility. Or is it? 0 0 0 0 1 1 1 3
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 3 3 0 2 10 14
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 2 105 0 3 11 411
Oil and currency volatilities: Co‐movements and hedging opportunities 0 0 0 4 0 0 2 24
Oil and pump prices: Testing their asymmetric relationship in a robust way 0 0 0 19 0 0 0 59
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 67 0 1 1 246
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 0 1 8 174
Oil price volatility forecasts: What do investors need to know? 0 0 0 3 0 1 3 19
Oil price volatility is effective in predicting food price volatility. Or is it? 0 0 0 5 0 1 6 16
On the stationarity of futures hedge ratios 0 0 0 0 0 0 0 5
Option pricing using high-frequency futures prices 1 1 2 2 3 4 5 5
Predictability and model selection in the context of ARCH models 0 0 0 0 0 1 1 10
Real-time monitoring of carbon monoxide using value-at-risk measure and control charting 0 0 0 0 0 0 2 14
Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 15 0 0 2 62
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 17 0 1 1 64
SPEC model selection algorithm for ARCH models: an options pricing evaluation framework 0 0 0 0 1 1 1 2
Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes 0 0 0 0 0 0 1 1
Stock market as a nowcasting indicator for real investment 0 0 0 7 0 1 1 13
Superkurtosis 0 0 0 2 1 2 5 20
The D-model for GDP nowcasting 0 0 0 5 1 1 6 15
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 1 1 0 0 3 4
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 1 1 68 1 4 11 227
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 2 0 0 0 31
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 29 0 0 4 136
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? 1 1 1 1 1 1 1 1
US stock market regimes and oil price shocks 0 0 2 21 1 2 12 152
Volatility forecasting: Intra-day versus inter-day models 0 0 0 99 0 0 2 363
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model 0 0 0 107 0 2 4 343
What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index? 1 1 3 3 1 1 5 7
What matters when developing oil price volatility forecasting frameworks? 0 0 0 0 0 0 0 2
Total Journal Articles 7 13 59 1,784 34 103 336 7,385
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 0 16 63
Total Books 0 0 1 3 0 0 16 63

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 1 2 2 7
Intraday Realized Volatility Measures 0 0 1 1 0 0 2 13
Introduction to High Frequency Financial Modelling 0 0 0 0 0 0 5 17
Methods of Volatility Estimation and Forecasting 0 0 0 0 0 1 4 19
Multiple Model Comparison and Hypothesis Framework Construction 0 0 0 0 0 0 1 3
Realized Volatility Forecasting: Applications 0 0 0 1 0 1 3 10
Recent Methods: A Review 0 0 0 0 1 1 1 5
Total Chapters 0 0 1 2 2 5 18 74

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Statistics updated 2025-10-06