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 1 1 42 2 5 12 252
A Probit Model for the State of the Greek GDP Growth 0 0 0 1 0 0 2 22
A Robust VaR Model under Different Time Periods and Weighting Schemes 0 0 0 3 0 2 5 47
ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling 0 0 0 11 1 2 6 97
Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models 0 0 0 1 0 0 4 20
Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review 0 0 0 19 0 4 10 138
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 0 1 2 7 22
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 1 15 2 2 6 71
Backtesting VaR Models: An Expected Shortfall Approach 0 0 1 1,154 2 6 10 3,046
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 2 3 4 32
Can spillover effects provide forecasting gains? The case of oil price volatility 0 0 0 17 1 1 1 29
Determinants of regional business cycle synchronization in Greece 0 0 2 2 3 3 10 11
Disaggregating VIX 0 0 0 0 1 3 3 3
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 0 1 12 3 4 13 84
Earnings Management to Avoid Losses and Earnings Declines in Croatia 0 0 1 24 2 4 11 93
Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component 0 0 0 5 1 2 3 29
Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence 0 0 1 6 3 6 7 32
Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market 0 0 0 1 2 2 2 17
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 32 1 2 2 34
Forecasting European Economic Policy Uncertainty 0 0 0 79 1 1 3 122
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 6 7 28
Forecasting Realized Volatility of Agricultural Commodities 0 1 1 26 2 5 6 34
Forecasting Tourist Arrivals Using Origin Country Macroeconomics 0 0 0 42 1 3 3 72
Forecasting VIX: The illusion of forecast evaluation criteria 0 0 0 7 2 2 6 36
Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence 0 0 0 11 1 1 8 50
Forecasting Vix 0 0 0 10 3 3 10 77
Forecasting implied volatility indices worldwide: A new approach 0 0 1 49 0 1 7 47
Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions? 1 1 2 17 1 1 4 18
Forecasting oil price realized volatility using information channels from other asset classes 0 0 1 6 1 3 6 28
Forecasting oil price realized volatility: A new approach 0 0 0 63 3 7 10 192
Forecasting oil prices 0 0 0 101 0 0 4 176
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 27 0 1 2 26
Hedge Fund Returns under Crisis Scenarios: A Holistic Approach 0 0 0 20 2 2 5 78
Hedge Ratios in South African Stock Index Futures 0 0 0 1 1 1 3 15
Intra-Day Realized Volatility for European and USA Stock Indices 0 0 0 12 3 5 8 57
Investments and uncertainty revisited: The case of the US economy 0 0 0 23 1 1 2 55
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 1 1 2 1 2 4 118
Modeling CAC40 Volatility Using Ultra-high Frequency Data 0 0 0 7 2 2 4 37
Modeling Risk for Long and Short Trading Positions 0 0 0 4 0 0 3 40
Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts 0 0 0 24 1 1 4 21
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 1 4 6 85
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 3 1 4 5 39
Navigating crude oil volatility forecasts: assessing the contribution of geopolitical risk 0 0 0 0 1 3 3 3
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 1 1 1 17 3 3 7 50
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 0 36 1 2 5 124
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 1 1 60 0 3 7 130
Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? 0 0 0 19 4 7 9 37
Oil and pump prices: is there any asymmetry in the Greek oil downstream sector? 0 0 1 18 0 1 4 51
Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 7 4 5 6 58
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 2 3 3 4 28
Oil price assumptions for macroeconomic policy 0 0 0 27 0 0 6 62
Oil price shocks and stock market volatility: evidence from European data 1 1 3 227 1 2 16 608
Oil price shocks and volatility do predict stock market regimes 0 0 1 70 0 1 7 227
Oil price volatility forecasts: What do investors need to know? 0 1 2 31 1 6 12 70
Oil prices and stock markets: A review of the theory and empirical evidence 1 2 12 618 10 13 59 2,580
On the Stationarity of Futures Hedge Ratios 0 0 1 6 1 3 9 27
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 0 1 1 36
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 2 0 1 4 28
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 3 1 1 2 21
Return dispersion, stock market liquidity and aggregate economic activity 0 0 0 72 1 1 6 335
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 3 0 2 4 31
SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework 0 0 0 0 1 1 1 9
Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes 0 0 0 0 0 2 3 11
Stock market as a nowcasting indicator for real investment 0 0 1 23 2 3 8 19
Superkurtosis 0 0 0 2 1 1 4 13
Superkurtosis 0 0 0 26 0 0 5 70
Superkurtosis 0 0 0 32 1 2 5 55
The D-model for GDP nowcasting 0 0 0 4 2 4 7 19
The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets 0 0 0 25 2 3 6 42
The Use of GARCH Models in VaR Estimation 0 0 3 35 4 14 26 147
The Use of GARCH Models in VaR Estimation 0 0 1 365 0 3 11 802
The effects of oil price shocks on stock market volatility: Evidence from European data 0 0 1 4 2 3 7 46
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 42 0 1 5 63
Time-varying Business Cycles Synchronisation in Europe 1 1 2 52 2 8 11 106
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 1 22 2 3 11 63
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 35 3 3 5 84
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 2 6 14
Trading VIX on volatility forecasts: another volatility puzzle? 1 2 2 2 3 6 7 7
US stock market regimes and oil price shocks 0 0 0 11 2 3 4 87
VIX Index in Interday and Intraday Volatility Models 0 0 0 5 2 2 7 48
Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 0 3 1 3 6 27
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 1 2 3 38
What should be taken into consideration when forecasting oil implied volatility index? 0 0 0 16 4 5 7 40
Total Working Papers 6 13 47 3,898 123 241 570 12,004

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 1 1 60 0 3 5 258
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 3 9 11 664
ARFIMAX and ARFIMAX-TARCH realized volatility modeling 0 0 0 87 0 1 5 247
An alternative approach to detect earnings management to meet or beat benchmarks 0 0 0 3 0 0 2 11
Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models 0 0 0 41 1 1 4 282
Backtesting VaR models:a two-stage procedure 0 0 0 0 0 0 2 2
Business Cycle Synchronization in EU: A Time-Varying Approach 1 1 1 23 2 3 6 99
Business Cycles Synchronization: Literature Review 3 9 23 61 3 14 50 141
Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? 0 1 1 26 2 4 8 117
Determinants of regional business cycle synchronization in Greece 0 0 0 0 0 0 3 3
Disaggregating VIX 0 0 0 0 0 1 1 1
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 0 5 327 6 13 41 1,345
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 0 3 15
Evaluating volatility forecasts in option pricing in the context of a simulated options market 0 0 0 8 0 2 4 67
Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors 0 0 0 3 1 1 1 18
Forecasting European economic policy uncertainty 0 0 1 6 0 0 9 50
Forecasting VIX: the illusion of forecast evaluation criteria 0 0 1 1 2 3 5 7
Forecasting global stock market implied volatility indices 0 0 1 32 0 2 5 128
Forecasting oil price realized volatility using information channels from other asset classes 0 0 2 29 0 1 15 149
Forecasting oil price volatility using spillover effects from uncertainty indices 0 0 0 6 1 1 4 15
Forecasting oil prices: High-frequency financial data are indeed useful 0 0 1 26 0 0 7 120
Forecasting realized volatility of agricultural commodities 0 0 0 4 8 10 12 26
Forecasting the Oil Volatility Index Using Factors of Uncertainty 0 0 0 10 2 3 6 48
Forecasting tourist arrivals using origin country macroeconomics 0 0 2 6 1 3 9 42
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence 0 0 0 48 0 2 4 267
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 4 2 5 7 41
Hedge Ratios in South African Stock Index Futures 0 0 0 3 0 1 2 35
Hedge fund returns under crisis scenarios: A holistic approach 0 0 0 3 1 2 3 57
Intra-day realized volatility for European and USA stock indices 0 0 1 7 0 2 6 59
Investments and uncertainty revisited: the case of the US economy 0 0 0 4 1 2 6 41
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 1 1 8 1 4 5 101
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 2 3 5 7
Multiple days ahead realized volatility forecasting: Single, combined and average forecasts 0 0 0 22 1 2 2 77
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 1 2 3 75
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 4 2 2 4 33
Navigating crude oil volatility forecasts: Assessing the contribution of geopolitical risk 0 0 0 0 5 6 6 6
Oil Price Volatility is Effective in Predicting Food Price Volatility. Or is it? 0 0 0 0 2 3 3 5
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 2 105 6 8 18 419
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 1 2 4 5 1 5 13 19
Oil and currency volatilities: Co‐movements and hedging opportunities 0 0 0 4 2 2 4 26
Oil and pump prices: Testing their asymmetric relationship in a robust way 0 0 0 19 2 6 6 65
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 67 5 7 8 253
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 1 2 8 176
Oil price volatility forecasts: What do investors need to know? 0 0 0 3 3 4 6 23
Oil price volatility is effective in predicting food price volatility. Or is it? 0 0 0 5 1 1 6 17
On the stationarity of futures hedge ratios 0 0 0 0 3 4 4 9
Option pricing using high-frequency futures prices 0 2 3 3 3 8 10 10
Predictability and model selection in the context of ARCH models 0 0 0 0 0 0 1 10
Real-time monitoring of carbon monoxide using value-at-risk measure and control charting 0 0 0 0 0 2 4 16
Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 15 0 2 4 64
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 17 1 1 2 65
SPEC model selection algorithm for ARCH models: an options pricing evaluation framework 0 0 0 0 0 2 2 3
Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes 0 0 0 0 0 1 1 2
Stock market as a nowcasting indicator for real investment 1 1 1 8 1 1 2 14
Superkurtosis 0 0 0 2 0 1 3 20
The D-model for GDP nowcasting 0 0 0 5 2 3 8 17
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 1 1 1 1 4 5
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 1 68 1 2 11 228
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 2 3 3 3 34
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 29 1 3 6 139
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? 0 4 4 4 0 4 4 4
US stock market regimes and oil price shocks 0 0 2 21 2 3 14 154
Volatility forecasting: Intra-day versus inter-day models 1 1 1 100 2 2 4 365
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model 0 1 1 108 1 2 5 345
What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index? 0 1 1 3 0 1 3 7
What matters when developing oil price volatility forecasting frameworks? 0 0 0 0 0 0 0 2
Total Journal Articles 7 25 63 1,802 92 192 442 7,543
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 4 7 20 70
Total Books 0 0 1 3 4 7 20 70

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 2 3 8
Intraday Realized Volatility Measures 0 0 1 1 0 0 2 13
Introduction to High Frequency Financial Modelling 0 0 0 0 0 1 5 18
Methods of Volatility Estimation and Forecasting 0 0 0 0 0 0 3 19
Multiple Model Comparison and Hypothesis Framework Construction 0 0 0 0 1 1 2 4
Realized Volatility Forecasting: Applications 0 0 0 1 0 0 3 10
Recent Methods: A Review 0 0 0 0 0 1 1 5
Total Chapters 0 0 1 2 1 5 19 77

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Statistics updated 2025-12-06