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 42 6 10 22 267
A Probit Model for the State of the Greek GDP Growth 0 0 0 1 2 3 5 26
A Robust VaR Model under Different Time Periods and Weighting Schemes 0 0 0 3 2 7 14 58
ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling 0 0 0 11 2 3 11 103
Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models 0 0 0 1 0 2 6 24
Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review 0 0 0 19 3 14 47 177
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 15 3 9 19 87
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 0 6 14 26 42
Backtesting VaR Models: An Expected Shortfall Approach 0 0 0 1,154 2 10 23 3,061
Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer? 0 0 0 18 1 1 4 73
Business Cycle Synchronisation in EU: A time-varying approach 0 0 0 6 4 6 15 44
Can spillover effects provide forecasting gains? The case of oil price volatility 1 1 1 18 1 2 8 36
Determinants of regional business cycle synchronization in Greece 0 0 2 2 5 7 18 23
Disaggregated inflation rates: Some preliminary economic analysis for Greece 0 1 7 7 1 4 7 7
Disaggregating VIX 0 0 0 0 1 1 16 16
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 0 0 12 4 14 34 110
Earnings Management to Avoid Losses and Earnings Declines in Croatia 0 0 1 25 0 1 11 98
Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component 0 0 0 5 3 4 10 36
Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence 0 0 0 6 4 7 20 46
Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market 0 0 0 1 3 4 9 24
Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors 0 0 0 4 3 4 9 40
Forecasting European Economic Policy Uncertainty 0 0 0 79 3 5 9 130
Forecasting European Economic Policy Uncertainty 0 0 0 32 4 6 14 46
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 2 9 31
Forecasting Realized Volatility of Agricultural Commodities 0 0 1 26 18 21 32 60
Forecasting Tourist Arrivals Using Origin Country Macroeconomics 0 0 0 42 1 3 7 76
Forecasting VIX: The illusion of forecast evaluation criteria 0 0 0 7 6 10 15 48
Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence 0 0 0 11 5 8 19 64
Forecasting Vix 1 2 2 12 5 7 17 91
Forecasting household-level inflation in Greece 0 2 2 2 0 6 6 6
Forecasting implied volatility indices worldwide: A new approach 0 1 2 50 4 9 24 65
Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions? 0 0 1 17 2 3 8 24
Forecasting oil price realized volatility using information channels from other asset classes 0 0 0 6 5 8 25 48
Forecasting oil price realized volatility: A new approach 0 0 0 63 4 6 19 202
Forecasting oil prices 0 0 0 101 5 6 10 186
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 27 2 4 12 36
Hedge Fund Returns under Crisis Scenarios: A Holistic Approach 0 0 0 20 4 7 13 87
Hedge Ratios in South African Stock Index Futures 0 0 0 1 1 1 7 20
Intra-Day Realized Volatility for European and USA Stock Indices 0 0 0 12 4 10 20 71
Investments and uncertainty revisited: The case of the US economy 0 0 0 23 2 3 10 63
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 1 1 2 3 4 4 7 122
Modeling CAC40 Volatility Using Ultra-high Frequency Data 0 1 1 8 4 6 15 50
Modeling Risk for Long and Short Trading Positions 0 0 0 4 3 5 9 49
Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts 0 0 1 25 4 4 14 32
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 3 15 94
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 3 3 4 13 48
Navigating crude oil volatility forecasts: assessing the contribution of geopolitical risk 0 1 1 1 3 7 15 15
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 0 36 5 5 10 132
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 1 17 2 3 13 56
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 2 61 3 4 14 140
Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? 0 0 0 19 2 7 20 50
Oil and pump prices: is there any asymmetry in the Greek oil downstream sector? 0 0 0 18 2 11 20 69
Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 7 4 27 47 100
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 2 3 5 10 34
Oil price assumptions for macroeconomic policy 0 0 0 27 6 10 20 77
Oil price shocks and stock market volatility: evidence from European data 0 2 4 229 16 24 42 640
Oil price shocks and volatility do predict stock market regimes 0 0 0 70 3 4 12 235
Oil price volatility forecasts: What do investors need to know? 0 0 1 31 4 7 29 89
Oil prices and stock markets: A review of the theory and empirical evidence 0 0 9 620 2 6 87 2,627
On the Stationarity of Futures Hedge Ratios 0 0 1 6 6 8 32 55
Predictability and Model Selection in the Context of ARCH Models 0 0 0 1 2 2 10 54
Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting 0 0 0 15 2 3 8 43
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 3 3 6 11 31
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 2 1 2 27 54
Return dispersion, stock market liquidity and aggregate economic activity 0 0 0 72 2 5 13 344
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 3 3 3 21 49
SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework 0 0 0 0 3 4 9 17
Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes 0 0 0 0 3 5 9 18
Stock market as a nowcasting indicator for real investment 0 0 1 23 2 10 22 35
Superkurtosis 0 0 0 2 1 6 14 25
Superkurtosis 0 0 0 32 0 2 11 61
Superkurtosis 0 0 0 26 1 2 10 79
The D-model for GDP nowcasting 0 0 0 4 2 5 12 27
The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets 0 0 0 25 1 2 9 46
The Use of GARCH Models in VaR Estimation 0 0 2 36 1 4 39 167
The Use of GARCH Models in VaR Estimation 0 0 2 366 1 3 15 812
The effects of oil price shocks on stock market volatility: Evidence from European data 0 0 1 4 7 10 39 79
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 1 43 2 6 13 74
Time-varying Business Cycles Synchronisation in Europe 0 0 2 52 3 3 16 111
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 35 2 8 21 101
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 22 5 6 18 75
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 8 9 16 25
Trading VIX on volatility forecasts: another volatility puzzle? 0 0 2 2 4 7 24 24
US stock market regimes and oil price shocks 0 0 0 11 4 8 15 99
VIX Index in Interday and Intraday Volatility Models 0 0 0 5 4 6 13 58
Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 0 3 1 1 10 32
Volatility forecasting: Intra-day versus inter-day models 0 0 0 2 2 3 4 18
Volatility forecasting: intra-day vs. inter-day models 0 0 0 5 3 3 8 44
What should be taken into consideration when forecasting oil implied volatility index? 0 0 0 16 5 7 18 52
Total Working Papers 3 12 54 3,924 289 547 1,509 13,120

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 1 60 10 12 28 281
A Probit Model for the State of the Greek GDP Growth 0 0 0 7 2 2 5 66
A robust VaR model under different time periods and weighting schemes 0 1 1 181 2 4 19 673
ARFIMAX and ARFIMAX-TARCH realized volatility modeling 0 0 0 87 2 4 9 254
An alternative approach to detect earnings management to meet or beat benchmarks 0 0 0 3 1 4 7 16
Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models 0 0 0 41 6 7 17 296
Backtesting VaR models:a two-stage procedure 0 2 2 2 1 9 14 15
Business Cycle Synchronization in EU: A Time-Varying Approach 0 0 1 23 4 4 10 104
Business Cycles Synchronization: Literature Review 1 2 20 65 4 12 51 163
Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? 0 0 1 26 3 3 13 125
Determinants of regional business cycle synchronization in Greece 0 0 0 0 2 3 10 10
Disaggregating VIX 0 0 0 0 0 2 9 9
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 2 5 9 333 21 42 86 1,400
Earnings management to avoid losses and earnings declines in Croatia 0 0 0 3 1 2 3 27
Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component 0 0 0 0 2 2 3 17
Evaluating volatility forecasts in option pricing in the context of a simulated options market 0 0 0 8 4 6 15 78
Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors 0 0 0 3 2 2 8 25
Forecasting European economic policy uncertainty 0 0 0 6 3 9 21 65
Forecasting VIX: the illusion of forecast evaluation criteria 0 0 1 1 4 7 22 24
Forecasting global stock market implied volatility indices 0 0 0 32 3 4 10 135
Forecasting oil price realized volatility using information channels from other asset classes 0 0 0 29 9 10 27 170
Forecasting oil price volatility using spillover effects from uncertainty indices 0 0 0 6 2 9 19 32
Forecasting oil prices: High-frequency financial data are indeed useful 0 0 1 27 9 11 23 138
Forecasting realized volatility of agricultural commodities 0 0 0 4 5 10 29 43
Forecasting the Oil Volatility Index Using Factors of Uncertainty 0 0 0 10 5 7 11 56
Forecasting tourist arrivals using origin country macroeconomics 0 0 1 6 1 2 11 47
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence 0 0 0 48 2 6 17 281
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 4 0 1 13 48
Hedge Ratios in South African Stock Index Futures 0 0 0 3 3 3 7 41
Hedge fund returns under crisis scenarios: A holistic approach 0 1 1 4 1 4 13 68
Intra-day realized volatility for European and USA stock indices 0 0 0 7 2 4 13 69
Investments and uncertainty revisited: the case of the US economy 0 0 0 4 2 2 10 45
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 8 1 1 10 106
Modeling CAC40 volatility using ultra-high frequency data 0 0 0 35 3 5 13 156
Modeling risk for long and short trading positions 0 0 0 0 2 2 8 11
Multiple days ahead realized volatility forecasting: Single, combined and average forecasts 0 0 0 22 4 6 12 87
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 2 3 11 83
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 4 2 3 11 40
Navigating crude oil volatility forecasts: Assessing the contribution of geopolitical risk 0 0 1 1 2 6 21 21
Oil Price Volatility is Effective in Predicting Food Price Volatility. Or is it? 0 0 0 0 2 2 12 14
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 1 3 6 3 5 21 31
Oil and currency volatilities: Co‐movements and hedging opportunities 0 0 0 4 1 2 9 33
Oil and pump prices: Testing their asymmetric relationship in a robust way 0 0 0 19 2 3 17 76
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 1 68 6 9 22 267
Oil price assumptions for macroeconomic policy 0 0 0 4 3 13 20 39
Oil price shocks and uncertainty: How stable is their relationship over time? 0 0 0 71 1 4 13 185
Oil price volatility forecasts: What do investors need to know? 0 0 0 3 10 11 23 40
On the stationarity of futures hedge ratios 0 0 0 0 2 3 11 16
Option pricing using high-frequency futures prices 2 3 6 7 4 6 20 21
Predictability and model selection in the context of ARCH models 0 0 0 0 3 3 8 17
Real-time monitoring of carbon monoxide using value-at-risk measure and control charting 0 0 0 0 4 4 10 24
Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 15 3 7 14 76
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 17 1 3 6 69
SPEC model selection algorithm for ARCH models: an options pricing evaluation framework 0 0 0 0 3 4 8 9
Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes 0 0 0 0 2 2 6 7
Stock market as a nowcasting indicator for real investment 0 0 1 8 2 2 9 21
Superkurtosis 0 0 0 2 1 3 13 31
The D-model for GDP nowcasting 0 0 0 5 1 1 10 23
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 1 1 6 7 16 17
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 2 0 2 5 36
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 29 4 4 13 149
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 5 5 8 133
Trading VIX on Volatility Forecasts: Another Volatility Puzzle? 0 0 4 4 5 9 21 21
US stock market regimes and oil price shocks 0 0 0 21 3 5 18 164
Volatility forecasting: Intra-day versus inter-day models 0 0 1 100 1 2 9 371
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model 0 0 1 108 2 4 12 353
What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index? 0 0 1 3 4 4 7 12
What matters when developing oil price volatility forecasting frameworks? 0 1 1 1 4 5 9 11
Total Journal Articles 5 16 61 1,647 222 369 1,009 7,591
13 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 0 3 3 3 14 77
Total Books 0 0 0 3 3 3 14 77

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 3 4 7 12
Intraday Realized Volatility Measures 0 0 0 1 3 5 7 20
Introduction to High Frequency Financial Modelling 0 0 0 0 1 1 3 20
Methods of Volatility Estimation and Forecasting 0 0 0 0 4 5 10 28
Multiple Model Comparison and Hypothesis Framework Construction 0 0 0 0 1 1 2 5
Realized Volatility Forecasting: Applications 0 0 0 1 2 2 6 15
Recent Methods: A Review 0 0 0 0 1 1 4 8
Total Chapters 0 0 0 2 15 19 39 108

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