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 2 7 17 261
A Probit Model for the State of the Greek GDP Growth 0 0 0 1 1 2 3 24
A Robust VaR Model under Different Time Periods and Weighting Schemes 0 0 0 3 2 7 12 56
ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling 0 0 0 11 0 2 9 101
Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models 0 0 0 1 2 3 6 24
Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review 0 0 0 19 6 29 45 174
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 0 0 14 20 36
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 15 2 13 16 84
Backtesting VaR Models: An Expected Shortfall Approach 0 0 0 1,154 2 12 21 3,059
Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer? 0 0 0 18 0 2 4 72
Business Cycle Synchronisation in EU: A time-varying approach 0 0 0 6 1 5 11 40
Can spillover effects provide forecasting gains? The case of oil price volatility 0 0 0 17 0 5 7 35
Determinants of regional business cycle synchronization in Greece 0 0 2 2 2 5 14 18
Disaggregated inflation rates: Some preliminary economic analysis for Greece 0 7 7 7 0 6 6 6
Disaggregating VIX 0 0 0 0 0 9 15 15
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 0 0 12 7 18 30 106
Earnings Management to Avoid Losses and Earnings Declines in Croatia 0 1 1 25 0 4 13 98
Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component 0 0 0 5 1 3 7 33
Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence 0 0 1 6 3 7 17 42
Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market 0 0 0 1 1 3 6 21
Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors 0 0 0 4 1 5 6 37
Forecasting European Economic Policy Uncertainty 0 0 0 32 1 8 10 42
Forecasting European Economic Policy Uncertainty 0 0 0 79 1 5 7 127
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 1 9 30
Forecasting Realized Volatility of Agricultural Commodities 0 0 1 26 0 6 14 42
Forecasting Tourist Arrivals Using Origin Country Macroeconomics 0 0 0 42 0 2 6 75
Forecasting VIX: The illusion of forecast evaluation criteria 0 0 0 7 1 6 10 42
Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence 0 0 0 11 1 9 15 59
Forecasting Vix 1 1 1 11 1 8 14 86
Forecasting household-level inflation in Greece 1 2 2 2 0 6 6 6
Forecasting implied volatility indices worldwide: A new approach 1 1 2 50 3 12 20 61
Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions? 0 0 1 17 0 2 6 22
Forecasting oil price realized volatility using information channels from other asset classes 0 0 0 6 0 13 20 43
Forecasting oil price realized volatility: A new approach 0 0 0 63 1 5 16 198
Forecasting oil prices 0 0 0 101 0 4 6 181
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 27 0 6 10 34
Hedge Fund Returns under Crisis Scenarios: A Holistic Approach 0 0 0 20 2 4 10 83
Hedge Ratios in South African Stock Index Futures 0 0 0 1 0 2 6 19
Intra-Day Realized Volatility for European and USA Stock Indices 0 0 0 12 0 8 17 67
Investments and uncertainty revisited: The case of the US economy 0 0 0 23 0 3 8 61
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 2 0 0 3 118
Modeling CAC40 Volatility Using Ultra-high Frequency Data 0 1 1 8 1 5 12 46
Modeling Risk for Long and Short Trading Positions 0 0 0 4 0 6 6 46
Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts 0 1 1 25 0 6 10 28
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 8 15 94
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 3 0 6 11 45
Navigating crude oil volatility forecasts: assessing the contribution of geopolitical risk 0 1 1 1 1 7 12 12
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 1 17 0 3 11 54
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 0 36 0 2 5 127
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 2 61 1 4 11 137
Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? 0 0 0 19 0 9 19 48
Oil and pump prices: is there any asymmetry in the Greek oil downstream sector? 0 0 0 18 6 14 19 67
Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 7 10 38 43 96
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 2 2 2 7 31
Oil price assumptions for macroeconomic policy 0 0 0 27 2 9 14 71
Oil price shocks and stock market volatility: evidence from European data 1 2 4 229 6 14 30 624
Oil price shocks and volatility do predict stock market regimes 0 0 0 70 0 3 9 232
Oil price volatility forecasts: What do investors need to know? 0 0 1 31 1 11 25 85
Oil prices and stock markets: A review of the theory and empirical evidence 0 0 11 620 2 23 90 2,625
On the Stationarity of Futures Hedge Ratios 0 0 1 6 0 20 27 49
Predictability and Model Selection in the Context of ARCH Models 0 0 0 1 0 8 9 52
Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting 0 0 0 15 1 5 6 41
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 2 0 8 27 53
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 3 0 6 8 28
Return dispersion, stock market liquidity and aggregate economic activity 0 0 0 72 3 6 11 342
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 3 0 11 19 46
SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework 0 0 0 0 0 4 6 14
Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes 0 0 0 0 2 4 6 15
Stock market as a nowcasting indicator for real investment 0 0 1 23 3 13 20 33
Superkurtosis 0 0 0 26 0 4 10 78
Superkurtosis 0 0 0 32 0 4 11 61
Superkurtosis 0 0 0 2 2 9 13 24
The D-model for GDP nowcasting 0 0 0 4 1 3 11 25
The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets 0 0 0 25 1 2 8 45
The Use of GARCH Models in VaR Estimation 0 1 3 36 1 11 39 166
The Use of GARCH Models in VaR Estimation 0 1 2 366 1 7 16 811
The effects of oil price shocks on stock market volatility: Evidence from European data 0 0 1 4 1 15 32 72
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 1 43 2 8 12 72
Time-varying Business Cycles Synchronisation in Europe 0 0 2 52 0 2 13 108
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 22 1 6 14 70
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 35 0 15 20 99
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 3 8 17
Trading VIX on volatility forecasts: another volatility puzzle? 0 0 2 2 0 11 20 20
US stock market regimes and oil price shocks 0 0 0 11 2 7 11 95
VIX Index in Interday and Intraday Volatility Models 0 0 0 5 2 5 9 54
Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 0 3 0 3 9 31
Volatility forecasting: Intra-day versus inter-day models 0 0 0 2 1 2 2 16
Volatility forecasting: intra-day vs. inter-day models 0 0 0 5 0 3 5 41
What should be taken into consideration when forecasting oil implied volatility index? 0 0 0 16 0 6 14 47
Total Working Papers 4 19 55 3,921 101 652 1,263 12,831

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 1 13 18 271
A Probit Model for the State of the Greek GDP Growth 0 0 0 7 0 3 3 64
A robust VaR model under different time periods and weighting schemes 1 1 1 181 1 5 17 671
ARFIMAX and ARFIMAX-TARCH realized volatility modeling 0 0 0 87 2 5 7 252
An alternative approach to detect earnings management to meet or beat benchmarks 0 0 0 3 2 4 6 15
Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models 0 0 0 41 1 6 11 290
Backtesting VaR models:a two-stage procedure 1 2 2 2 2 10 14 14
Business Cycle Synchronization in EU: A Time-Varying Approach 0 0 1 23 0 1 7 100
Business Cycles Synchronization: Literature Review 0 1 20 64 3 11 50 159
Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? 0 0 1 26 0 3 12 122
Determinants of regional business cycle synchronization in Greece 0 0 0 0 1 3 8 8
Disaggregating VIX 0 0 0 0 0 5 9 9
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 2 4 7 331 14 28 65 1,379
Earnings management to avoid losses and earnings declines in Croatia 0 0 0 3 0 2 2 26
Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component 0 0 0 0 0 0 1 15
Evaluating volatility forecasts in option pricing in the context of a simulated options market 0 0 0 8 0 5 11 74
Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors 0 0 0 3 0 3 6 23
Forecasting European economic policy uncertainty 0 0 0 6 3 12 18 62
Forecasting VIX: the illusion of forecast evaluation criteria 0 0 1 1 1 9 18 20
Forecasting global stock market implied volatility indices 0 0 1 32 0 3 8 132
Forecasting oil price realized volatility using information channels from other asset classes 0 0 1 29 0 7 19 161
Forecasting oil price volatility using spillover effects from uncertainty indices 0 0 0 6 2 14 17 30
Forecasting oil prices: High-frequency financial data are indeed useful 0 0 1 27 0 6 15 129
Forecasting realized volatility of agricultural commodities 0 0 0 4 4 10 24 38
Forecasting the Oil Volatility Index Using Factors of Uncertainty 0 0 0 10 1 2 6 51
Forecasting tourist arrivals using origin country macroeconomics 0 0 2 6 0 2 12 46
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence 0 0 0 48 1 11 15 279
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 4 1 7 13 48
Hedge Ratios in South African Stock Index Futures 0 0 0 3 0 2 4 38
Hedge fund returns under crisis scenarios: A holistic approach 0 1 1 4 2 6 12 67
Intra-day realized volatility for European and USA stock indices 0 0 0 7 2 6 11 67
Investments and uncertainty revisited: the case of the US economy 0 0 0 4 0 2 8 43
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 0 3 9 105
Modeling CAC40 volatility using ultra-high frequency data 0 0 0 35 2 9 10 153
Modeling risk for long and short trading positions 0 0 0 0 0 2 6 9
Multiple days ahead realized volatility forecasting: Single, combined and average forecasts 0 0 0 22 0 5 8 83
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 5 9 81
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 4 0 4 9 38
Navigating crude oil volatility forecasts: Assessing the contribution of geopolitical risk 0 1 1 1 3 11 19 19
Oil Price Volatility is Effective in Predicting Food Price Volatility. Or is it? 0 0 0 0 0 5 10 12
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 1 1 4 6 2 5 19 28
Oil and currency volatilities: Co‐movements and hedging opportunities 0 0 0 4 1 6 8 32
Oil and pump prices: Testing their asymmetric relationship in a robust way 0 0 0 19 0 7 15 74
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 1 1 68 3 4 16 261
Oil price assumptions for macroeconomic policy 0 0 0 4 4 16 18 36
Oil price shocks and uncertainty: How stable is their relationship over time? 0 0 0 71 2 6 14 184
Oil price volatility forecasts: What do investors need to know? 0 0 0 3 0 6 13 30
On the stationarity of futures hedge ratios 0 0 0 0 0 3 9 14
Option pricing using high-frequency futures prices 1 2 4 5 2 6 16 17
Predictability and model selection in the context of ARCH models 0 0 0 0 0 2 5 14
Real-time monitoring of carbon monoxide using value-at-risk measure and control charting 0 0 0 0 0 3 6 20
Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 15 3 9 11 73
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 17 2 3 5 68
SPEC model selection algorithm for ARCH models: an options pricing evaluation framework 0 0 0 0 1 2 5 6
Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes 0 0 0 0 0 3 4 5
Stock market as a nowcasting indicator for real investment 0 0 1 8 0 3 7 19
Superkurtosis 0 0 0 2 1 6 12 30
The D-model for GDP nowcasting 0 0 0 5 0 1 9 22
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 1 1 0 4 10 11
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 0 2 10 145
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 3 3 128
Trading VIX on Volatility Forecasts: Another Volatility Puzzle? 0 0 4 4 4 9 16 16
US stock market regimes and oil price shocks 0 0 0 21 1 6 15 161
Volatility forecasting: Intra-day versus inter-day models 0 0 1 100 0 5 8 370
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model 0 0 1 108 0 5 10 351
What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index? 0 0 1 3 0 1 3 8
What matters when developing oil price volatility forecasting frameworks? 0 1 1 1 0 4 5 7
Total Journal Articles 6 15 61 1,642 76 382 804 7,369
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 0 2 13 74
Total Books 0 0 0 3 0 2 13 74

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 1 4 9
Intraday Realized Volatility Measures 0 0 0 1 2 4 5 17
Introduction to High Frequency Financial Modelling 0 0 0 0 0 1 2 19
Methods of Volatility Estimation and Forecasting 0 0 0 0 1 5 6 24
Multiple Model Comparison and Hypothesis Framework Construction 0 0 0 0 0 0 1 4
Realized Volatility Forecasting: Applications 0 0 0 1 0 3 4 13
Recent Methods: A Review 0 0 0 0 0 1 3 7
Total Chapters 0 0 0 2 4 15 25 93

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