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 0 0 2 41 1 3 8 243
A Probit Model for the State of the Greek GDP Growth 0 0 0 1 1 1 2 21
A Robust VaR Model under Different Time Periods and Weighting Schemes 0 0 0 3 0 1 2 43
ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling 0 0 1 11 0 1 7 92
Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models 0 0 1 1 1 2 5 18
Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review 0 0 1 19 0 0 15 128
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 0 0 1 2 16
Backtesting VaR Models: A Τwo-Stage Procedure 0 1 2 15 0 3 7 68
Backtesting VaR Models: An Expected Shortfall Approach 0 1 2 1,154 0 2 4 3,038
Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer? 0 0 0 18 0 1 1 67
Business Cycle Synchronisation in EU: A time-varying approach 0 0 0 6 0 0 0 28
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 0 0 0 1 1 2 2
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 1 1 3 12 2 3 7 74
Earnings Management to Avoid Losses and Earnings Declines in Croatia 0 1 1 24 1 2 5 84
Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component 0 0 0 5 0 0 1 26
Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence 0 0 1 5 0 0 2 25
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 4 0 0 2 31
Forecasting European Economic Policy Uncertainty 0 0 0 79 1 1 1 120
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 21
Forecasting Realized Volatility of Agricultural Commodities 0 0 0 25 0 0 1 28
Forecasting Tourist Arrivals Using Origin Country Macroeconomics 0 0 1 42 0 0 2 69
Forecasting VIX: The illusion of forecast evaluation criteria 0 0 1 7 0 1 8 31
Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence 0 0 0 11 1 2 2 44
Forecasting Vix 0 0 0 10 1 4 12 71
Forecasting implied volatility indices worldwide: A new approach 0 0 0 48 0 0 2 40
Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions? 1 1 2 16 2 2 3 16
Forecasting oil price realized volatility using information channels from other asset classes 0 0 1 5 0 0 3 22
Forecasting oil price realized volatility: A new approach 0 0 0 63 0 0 0 182
Forecasting oil prices 0 0 0 101 1 3 11 175
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 27 0 0 1 24
Hedge Fund Returns under Crisis Scenarios: A Holistic Approach 0 0 0 20 0 0 2 73
Hedge Ratios in South African Stock Index Futures 0 0 0 1 1 1 2 13
Intra-Day Realized Volatility for European and USA Stock Indices 0 0 0 12 0 0 1 49
Investments and uncertainty revisited: The case of the US economy 0 0 1 23 0 0 2 53
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 1 1 1 115
Modeling CAC40 Volatility Using Ultra-high Frequency Data 0 0 0 7 0 1 1 34
Modeling Risk for Long and Short Trading Positions 0 0 0 4 1 3 6 40
Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts 0 0 0 24 1 1 2 18
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 0 0 1 79
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 1 3 0 0 2 34
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 1 36 1 1 2 120
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 2 16 0 0 2 43
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 0 59 2 3 6 126
Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? 0 0 0 19 1 1 1 29
Oil and pump prices: is there any asymmetry in the Greek oil downstream sector? 1 1 1 18 1 1 7 48
Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 7 1 1 3 53
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 2 0 0 1 24
Oil price assumptions for macroeconomic policy 0 0 0 27 0 1 2 57
Oil price shocks and stock market volatility: evidence from European data 0 0 2 224 1 1 7 593
Oil price shocks and volatility do predict stock market regimes 0 0 0 69 0 2 7 222
Oil price volatility forecasts: What do investors need to know? 0 0 1 29 1 1 4 59
Oil prices and stock markets: A review of the theory and empirical evidence 1 2 15 608 3 9 57 2,530
On the Stationarity of Futures Hedge Ratios 0 0 0 5 4 4 7 22
Predictability and Model Selection in the Context of ARCH Models 0 0 0 1 0 0 1 43
Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting 0 0 0 15 0 0 1 35
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 2 0 2 2 26
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 3 1 1 2 20
Return dispersion, stock market liquidity and aggregate economic activity 0 0 1 72 0 2 7 331
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 1 3 0 0 1 27
SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework 0 0 0 0 0 0 1 8
Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes 0 0 0 0 1 1 1 9
Stock market as a nowcasting indicator for real investment 0 0 0 22 0 1 1 12
Superkurtosis 0 0 0 32 0 0 0 50
Superkurtosis 0 0 0 26 0 2 3 67
Superkurtosis 0 0 1 2 0 1 7 10
The D-model for GDP nowcasting 0 0 2 4 0 2 7 14
The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets 0 0 0 25 0 1 7 37
The Use of GARCH Models in VaR Estimation 0 0 3 364 1 3 12 794
The Use of GARCH Models in VaR Estimation 0 1 8 33 0 6 28 127
The effects of oil price shocks on stock market volatility: Evidence from European data 0 0 0 3 1 1 3 40
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 42 0 1 3 59
Time-varying Business Cycles Synchronisation in Europe 0 0 0 50 0 0 0 95
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 35 0 0 2 79
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 21 1 3 5 55
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 2 9
US stock market regimes and oil price shocks 0 0 0 11 0 1 2 84
VIX Index in Interday and Intraday Volatility Models 0 0 1 5 1 3 6 44
Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 1 3 0 1 2 22
Volatility forecasting: Intra-day versus inter-day models 0 0 0 2 0 2 2 14
Volatility forecasting: intra-day vs. inter-day models 0 0 0 5 0 1 2 36
What should be taken into consideration when forecasting oil implied volatility index? 0 0 0 16 0 0 3 33
Total Working Papers 4 9 62 3,860 38 102 358 11,536

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 0 0 253
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 1 180 0 1 3 654
ARFIMAX and ARFIMAX-TARCH realized volatility modeling 0 0 1 87 1 3 9 245
An alternative approach to detect earnings management to meet or beat benchmarks 0 0 0 3 0 0 1 9
Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models 0 0 0 41 0 1 1 279
Business Cycle Synchronization in EU: A Time-Varying Approach 0 0 0 22 0 0 6 93
Business Cycles Synchronization: Literature Review 1 4 42 42 3 16 107 107
Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? 0 0 0 25 1 1 2 110
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 1 1 4 323 3 7 26 1,311
Earnings management to avoid losses and earnings declines in Croatia 0 0 1 3 1 1 3 24
Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component 0 0 0 0 1 2 3 14
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 0 17
Forecasting European economic policy uncertainty 0 0 2 5 0 2 5 43
Forecasting VIX: the illusion of forecast evaluation criteria 0 0 0 0 0 0 0 2
Forecasting global stock market implied volatility indices 0 0 1 31 1 1 3 124
Forecasting oil price realized volatility using information channels from other asset classes 0 0 1 27 3 6 19 140
Forecasting oil price volatility using spillover effects from uncertainty indices 0 0 2 6 1 2 6 13
Forecasting oil prices: High-frequency financial data are indeed useful 0 1 3 26 0 1 6 114
Forecasting realized volatility of agricultural commodities 0 0 2 4 0 0 2 14
Forecasting the Oil Volatility Index Using Factors of Uncertainty 0 0 0 10 2 3 5 45
Forecasting tourist arrivals using origin country macroeconomics 0 0 0 4 0 1 2 34
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence 0 0 0 48 1 1 2 264
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 4 1 1 1 35
Hedge Ratios in South African Stock Index Futures 0 0 0 3 0 1 1 34
Hedge fund returns under crisis scenarios: A holistic approach 0 0 0 3 0 0 1 54
Intra-day realized volatility for European and USA stock indices 0 1 1 7 0 3 4 56
Investments and uncertainty revisited: the case of the US economy 0 0 2 4 0 0 2 35
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 96
Modeling CAC40 volatility using ultra-high frequency data 0 0 2 35 0 0 3 143
Modeling risk for long and short trading positions 0 0 0 0 0 1 1 3
Multiple days ahead realized volatility forecasting: Single, combined and average forecasts 0 0 2 22 0 0 3 75
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 16 0 0 2 72
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 4 0 0 1 29
Oil Price Volatility is Effective in Predicting Food Price Volatility. Or is it? 0 0 0 0 0 0 2 2
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 1 1 4 104 1 2 24 403
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 1 1 2 2 3 3 9 9
Oil and currency volatilities: Co‐movements and hedging opportunities 0 0 0 4 1 2 2 24
Oil and pump prices: Testing their asymmetric relationship in a robust way 0 0 0 19 0 0 2 59
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 1 67 0 0 3 245
Oil price assumptions for macroeconomic policy 0 0 0 4 0 0 3 17
Oil price shocks and uncertainty: How stable is their relationship over time? 1 1 2 71 1 2 5 170
Oil price volatility forecasts: What do investors need to know? 0 0 0 3 0 0 4 17
Oil price volatility is effective in predicting food price volatility. Or is it? 0 0 1 5 0 1 3 12
On the stationarity of futures hedge ratios 0 0 0 0 0 0 3 5
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 1 2 2 14
Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 1 15 2 2 3 62
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 1 17 0 0 2 63
SPEC model selection algorithm for ARCH models: an options pricing evaluation framework 0 0 0 0 0 0 0 1
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 2 7 0 0 3 12
Superkurtosis 0 0 0 2 0 0 9 17
The D-model for GDP nowcasting 0 0 0 5 0 4 5 13
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 0 0 0 0 1 1
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 0 67 0 1 13 218
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 2 0 0 1 31
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 1 29 0 2 10 135
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
US stock market regimes and oil price shocks 0 1 1 20 1 5 11 145
Volatility forecasting: Intra-day versus inter-day models 0 0 1 99 0 1 2 362
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model 0 0 0 107 0 1 2 341
What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index? 0 0 2 2 1 1 5 5
What matters when developing oil price volatility forecasting frameworks? 0 0 0 0 0 0 1 2
Total Journal Articles 5 11 87 1,750 30 84 363 7,185
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 2 3 8 24 58
Total Books 0 0 1 2 3 8 24 58

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 1 5
Intraday Realized Volatility Measures 0 1 1 1 0 1 4 12
Introduction to High Frequency Financial Modelling 0 0 0 0 1 3 9 16
Methods of Volatility Estimation and Forecasting 0 0 0 0 0 2 7 18
Multiple Model Comparison and Hypothesis Framework Construction 0 0 0 0 1 1 2 3
Realized Volatility Forecasting: Applications 0 0 0 1 0 2 3 9
Recent Methods: A Review 0 0 0 0 0 0 1 4
Total Chapters 0 1 1 2 2 9 27 67

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Statistics updated 2025-03-03