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 0 2 24 272
A Probit Model for the State of the Greek GDP Growth 0 0 0 1 1 1 6 28
A Robust VaR Model under Different Time Periods and Weighting Schemes 0 0 0 3 0 1 14 60
ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling 0 0 0 11 1 3 12 108
Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models 0 0 0 1 0 1 6 26
Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review 0 0 0 19 0 2 47 182
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 0 0 1 25 45
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 15 0 0 20 89
Backtesting VaR Models: An Expected Shortfall Approach 0 0 0 1,154 2 3 27 3,067
Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer? 0 0 0 18 0 0 4 73
Business Cycle Synchronisation in EU: A time-varying approach 0 0 0 6 0 0 15 44
Can spillover effects provide forecasting gains? The case of oil price volatility 0 0 1 18 0 0 8 36
Cryptokurtosis: frequent trading fuels higher losses 0 1 1 1 1 4 7 7
Determinants of regional business cycle synchronization in Greece 0 0 1 3 0 1 18 26
Disaggregated inflation rates: Some preliminary economic analysis for Greece 1 1 8 8 1 1 8 8
Disaggregating VIX 0 0 1 1 0 0 17 17
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 0 0 12 0 2 37 118
Earnings Management to Avoid Losses and Earnings Declines in Croatia 0 0 1 25 0 0 9 98
Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component 0 0 0 5 0 1 9 37
Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence 0 0 0 6 1 1 23 49
Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market 0 0 0 1 0 0 10 25
Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors 0 0 0 4 0 1 10 41
Forecasting European Economic Policy Uncertainty 0 0 0 32 0 2 16 48
Forecasting European Economic Policy Uncertainty 0 0 1 80 0 0 10 131
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 9 31
Forecasting Realized Volatility of Agricultural Commodities 0 0 0 26 0 16 47 78
Forecasting Tourist Arrivals Using Origin Country Macroeconomics 0 0 0 42 1 1 8 78
Forecasting VIX: The illusion of forecast evaluation criteria 0 0 1 8 0 0 16 50
Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence 0 0 0 11 0 2 18 67
Forecasting Vix 0 1 3 13 1 8 27 101
Forecasting household-level inflation in Greece 0 0 3 3 0 1 11 11
Forecasting implied volatility indices worldwide: A new approach 0 0 1 50 0 2 20 67
Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions? 0 1 2 18 0 2 10 27
Forecasting oil price realized volatility using information channels from other asset classes 0 0 0 6 0 1 25 50
Forecasting oil price realized volatility: A new approach 0 0 0 63 1 2 20 207
Forecasting oil prices 0 0 0 101 0 1 11 187
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 27 0 3 15 40
Hedge Fund Returns under Crisis Scenarios: A Holistic Approach 0 0 0 20 1 2 13 89
Hedge Ratios in South African Stock Index Futures 0 0 0 1 0 0 6 20
Intra-Day Realized Volatility for European and USA Stock Indices 0 0 0 12 0 0 21 73
Investments and uncertainty revisited: The case of the US economy 0 0 0 23 0 0 10 64
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 2 3 1 1 7 123
Modeling CAC40 Volatility Using Ultra-high Frequency Data 0 0 1 8 0 0 15 50
Modeling Risk for Long and Short Trading Positions 0 0 0 4 0 1 10 50
Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts 0 0 1 25 0 4 18 38
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 13 97
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 3 0 0 14 49
Navigating crude oil volatility forecasts: assessing the contribution of geopolitical risk 0 0 1 1 0 2 17 17
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 0 36 0 0 13 135
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 1 17 1 2 12 59
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 2 61 1 3 17 145
Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? 0 0 0 19 0 1 23 53
Oil and pump prices: is there any asymmetry in the Greek oil downstream sector? 1 1 1 19 3 3 22 72
Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 7 0 0 47 101
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 2 1 2 12 37
Oil price assumptions for macroeconomic policy 1 1 1 28 3 4 19 81
Oil price shocks and stock market volatility: evidence from European data 0 0 4 230 1 2 47 653
Oil price shocks and volatility do predict stock market regimes 0 0 0 70 0 0 9 235
Oil price volatility forecasts: What do investors need to know? 0 0 1 31 1 1 27 92
Oil prices and stock markets: A review of the theory and empirical evidence 0 1 5 621 0 5 66 2,635
On the Stationarity of Futures Hedge Ratios 0 0 0 6 2 4 41 66
Predictability and Model Selection in the Context of ARCH Models 0 0 0 1 0 1 13 57
Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting 0 0 0 15 0 0 7 43
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 2 0 0 26 54
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 3 1 1 12 32
Return dispersion, stock market liquidity and aggregate economic activity 0 0 0 72 1 2 13 347
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 3 0 0 20 51
SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework 0 0 0 0 0 1 10 18
Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes 0 0 0 0 0 0 8 18
Stock market as a nowcasting indicator for real investment 1 1 1 24 1 1 20 37
Superkurtosis 0 0 0 32 1 1 28 81
Superkurtosis 0 0 0 2 0 1 15 27
Superkurtosis 0 0 0 26 0 0 11 81
The D-model for GDP nowcasting 0 0 0 4 0 0 12 27
The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets 0 0 0 25 0 0 9 48
The Use of GARCH Models in VaR Estimation 0 0 1 366 1 4 15 816
The Use of GARCH Models in VaR Estimation 1 1 2 37 4 5 40 176
The effects of oil price shocks on stock market volatility: Evidence from European data 0 0 0 4 0 1 39 82
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 1 43 1 1 15 77
Time-varying Business Cycles Synchronisation in Europe 0 0 1 52 0 0 11 113
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 35 1 2 24 105
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 22 2 3 17 78
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 13 25
Trading VIX on volatility forecasts: another volatility puzzle? 0 0 2 2 0 1 22 25
US stock market regimes and oil price shocks 0 1 1 12 0 2 20 104
VIX Index in Interday and Intraday Volatility Models 0 0 0 5 1 1 14 60
Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 0 3 0 1 11 35
Volatility forecasting: Intra-day versus inter-day models 0 0 0 2 1 2 6 20
Volatility forecasting: intra-day vs. inter-day models 0 0 0 5 1 1 9 45
What should be taken into consideration when forecasting oil implied volatility index? 0 1 1 17 0 2 19 55
Total Working Papers 5 11 55 3,941 41 140 1,597 13,400

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 2 3 33 288
A Probit Model for the State of the Greek GDP Growth 0 0 0 7 1 1 7 68
A robust VaR model under different time periods and weighting schemes 0 0 1 181 1 4 22 681
ARFIMAX and ARFIMAX-TARCH realized volatility modeling 0 0 0 87 0 1 10 256
An alternative approach to detect earnings management to meet or beat benchmarks 0 0 0 3 0 0 6 17
Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models 0 0 0 41 0 1 16 297
Backtesting VaR models:a two-stage procedure 0 0 2 2 0 1 17 19
Business Cycle Synchronization in EU: A Time-Varying Approach 0 0 1 23 2 3 11 107
Business Cycles Synchronization: Literature Review 0 1 11 66 1 2 33 166
Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? 0 0 0 26 0 0 11 125
Cryptokurtosis: Frequent trading fuels higher losses 0 0 0 0 2 4 4 4
Determinants of regional business cycle synchronization in Greece 0 0 0 0 0 2 9 12
Disaggregating VIX 0 0 0 0 1 4 14 14
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 1 11 338 5 8 98 1,434
Earnings management to avoid losses and earnings declines in Croatia 0 0 0 3 0 0 4 28
Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component 0 0 0 0 0 1 3 18
Evaluating volatility forecasts in option pricing in the context of a simulated options market 0 0 0 8 0 0 14 79
Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors 0 0 0 3 0 2 10 27
Forecasting European economic policy uncertainty 0 0 0 6 0 1 16 66
Forecasting VIX: the illusion of forecast evaluation criteria 0 0 0 1 0 1 21 25
Forecasting global stock market implied volatility indices 0 0 0 32 0 0 10 136
Forecasting oil price realized volatility using information channels from other asset classes 0 0 0 29 1 4 27 176
Forecasting oil price volatility using spillover effects from uncertainty indices 0 0 0 6 1 1 19 33
Forecasting oil prices: High-frequency financial data are indeed useful 0 1 2 28 3 21 65 185
Forecasting realized volatility of agricultural commodities 0 1 2 6 2 6 34 50
Forecasting the Oil Volatility Index Using Factors of Uncertainty 0 0 0 10 0 2 14 59
Forecasting tourist arrivals using origin country macroeconomics 0 0 0 6 1 4 12 51
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence 0 0 0 48 0 1 17 283
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 4 0 2 15 52
Hedge Ratios in South African Stock Index Futures 0 0 0 3 0 0 7 41
Hedge fund returns under crisis scenarios: A holistic approach 0 0 1 4 1 1 14 70
Intra-day realized volatility for European and USA stock indices 0 0 0 7 0 2 15 72
Investments and uncertainty revisited: the case of the US economy 0 0 0 4 0 2 9 49
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 2 12 109
Modeling CAC40 volatility using ultra-high frequency data 0 0 0 35 0 0 13 156
Modeling risk for long and short trading positions 0 0 0 0 0 2 10 15
Multiple days ahead realized volatility forecasting: Single, combined and average forecasts 0 1 1 23 1 3 14 90
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 2 13 86
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 4 0 0 9 40
Navigating crude oil volatility forecasts: Assessing the contribution of geopolitical risk 0 0 2 2 1 3 26 27
Oil Price Volatility is Effective in Predicting Food Price Volatility. Or is it? 0 0 0 0 1 1 14 17
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 3 6 1 2 21 35
Oil and currency volatilities: Co‐movements and hedging opportunities 0 0 0 4 0 0 12 36
Oil and pump prices: Testing their asymmetric relationship in a robust way 1 1 1 20 1 3 22 81
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 2 69 2 3 28 274
Oil price assumptions for macroeconomic policy 0 0 0 4 0 1 22 42
Oil price shocks and uncertainty: How stable is their relationship over time? 0 0 0 71 0 0 12 186
Oil price volatility forecasts: What do investors need to know? 0 1 1 4 0 4 25 44
On the stationarity of futures hedge ratios 0 0 0 0 0 0 12 17
Option pricing using high-frequency futures prices 0 0 5 7 0 0 18 23
Predictability and model selection in the context of ARCH models 0 0 0 0 0 2 9 19
Real-time monitoring of carbon monoxide using value-at-risk measure and control charting 0 0 0 0 0 1 12 26
Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 15 1 2 16 78
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 17 0 1 6 70
SPEC model selection algorithm for ARCH models: an options pricing evaluation framework 0 0 0 0 0 1 9 11
Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes 0 0 0 0 0 1 7 8
Stock market as a nowcasting indicator for real investment 0 0 1 8 0 0 9 22
Superkurtosis 0 0 0 2 0 1 15 35
The D-model for GDP nowcasting 0 0 1 6 0 1 11 26
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 0 1 0 1 14 18
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 2 0 0 5 36
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 1 1 30 0 1 15 151
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 8 133
Trading VIX on Volatility Forecasts: Another Volatility Puzzle? 0 1 5 6 0 1 23 24
US stock market regimes and oil price shocks 0 0 0 21 1 1 16 168
Volatility forecasting: Intra-day versus inter-day models 0 0 1 100 0 0 8 371
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model 0 0 1 108 0 1 12 355
What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index? 0 0 0 3 0 1 7 14
What matters when developing oil price volatility forecasting frameworks? 0 0 1 1 0 0 9 11
Total Journal Articles 1 9 59 1,665 33 127 1,111 7,842
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 1 1 16 79
Total Books 0 0 0 3 1 1 16 79

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 5 12
Intraday Realized Volatility Measures 0 0 0 1 0 1 11 24
Introduction to High Frequency Financial Modelling 0 0 0 0 0 0 4 21
Methods of Volatility Estimation and Forecasting 0 0 0 0 2 2 11 30
Multiple Model Comparison and Hypothesis Framework Construction 0 0 0 0 0 0 2 5
Realized Volatility Forecasting: Applications 0 0 0 1 0 0 5 15
Recent Methods: A Review 0 0 0 0 0 0 3 8
Total Chapters 0 0 0 2 2 3 41 115

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