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 0 41 0 1 8 247
A Probit Model for the State of the Greek GDP Growth 0 0 0 1 0 0 3 22
A Robust VaR Model under Different Time Periods and Weighting Schemes 0 0 0 3 0 0 3 45
ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling 0 0 0 11 2 2 9 95
Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models 0 0 1 1 1 2 6 20
Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review 0 0 0 19 1 4 12 134
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 0 1 4 6 20
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 1 15 0 1 5 69
Backtesting VaR Models: An Expected Shortfall Approach 0 0 2 1,154 2 2 5 3,040
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 0 0 1 29
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 1 2 2 2 1 3 7 8
Disaggregating VIX 0 0 0 0 0 0 0 0
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 0 2 12 2 3 11 80
Earnings Management to Avoid Losses and Earnings Declines in Croatia 0 0 1 24 1 1 7 89
Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component 0 0 0 5 0 1 2 27
Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence 0 0 1 6 0 0 1 26
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 0 4 0 0 0 31
Forecasting European Economic Policy Uncertainty 0 0 0 79 0 0 2 121
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 2 22
Forecasting Realized Volatility of Agricultural Commodities 0 0 0 25 1 1 1 29
Forecasting Tourist Arrivals Using Origin Country Macroeconomics 0 0 0 42 0 0 0 69
Forecasting VIX: The illusion of forecast evaluation criteria 0 0 0 7 0 1 5 34
Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence 0 0 0 11 2 2 7 49
Forecasting Vix 0 0 0 10 0 0 11 74
Forecasting implied volatility indices worldwide: A new approach 0 0 1 49 2 4 8 46
Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions? 0 0 2 16 1 1 4 17
Forecasting oil price realized volatility using information channels from other asset classes 0 0 1 6 0 1 4 25
Forecasting oil price realized volatility: A new approach 0 0 0 63 2 2 3 185
Forecasting oil prices 0 0 0 101 0 0 7 176
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 27 1 1 2 25
Hedge Fund Returns under Crisis Scenarios: A Holistic Approach 0 0 0 20 2 2 3 76
Hedge Ratios in South African Stock Index Futures 0 0 0 1 0 1 3 14
Intra-Day Realized Volatility for European and USA Stock Indices 0 0 0 12 0 1 3 52
Investments and uncertainty revisited: The case of the US economy 0 0 1 23 0 0 2 54
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 0 1 2 116
Modeling CAC40 Volatility Using Ultra-high Frequency Data 0 0 0 7 0 0 2 35
Modeling Risk for Long and Short Trading Positions 0 0 0 4 0 0 4 40
Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts 0 0 0 24 1 2 3 20
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 1 3 81
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 3 0 0 2 35
Navigating crude oil volatility forecasts: assessing the contribution of geopolitical risk 0 0 0 0 0 0 0 0
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 0 36 0 0 3 122
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 0 16 1 4 4 47
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 0 59 0 1 4 127
Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? 0 0 0 19 0 0 2 30
Oil and pump prices: is there any asymmetry in the Greek oil downstream sector? 0 0 1 18 1 1 5 50
Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 7 0 0 2 53
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 2 0 0 2 25
Oil price assumptions for macroeconomic policy 0 0 0 27 1 5 7 62
Oil price shocks and stock market volatility: evidence from European data 0 0 2 226 5 6 15 606
Oil price shocks and volatility do predict stock market regimes 0 0 1 70 2 3 8 226
Oil price volatility forecasts: What do investors need to know? 0 0 1 30 3 3 7 64
Oil prices and stock markets: A review of the theory and empirical evidence 1 5 15 616 5 21 58 2,567
On the Stationarity of Futures Hedge Ratios 0 1 1 6 0 1 6 24
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 0 1 35
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 3 0 0 2 20
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 2 0 0 3 27
Return dispersion, stock market liquidity and aggregate economic activity 0 0 1 72 0 3 6 334
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 1 3 1 1 3 29
SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework 0 0 0 0 0 0 0 8
Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes 0 0 0 0 0 0 1 9
Stock market as a nowcasting indicator for real investment 0 1 1 23 2 3 5 16
Superkurtosis 0 0 0 32 3 3 3 53
Superkurtosis 0 0 0 2 1 1 3 12
Superkurtosis 0 0 0 26 1 1 5 70
The D-model for GDP nowcasting 0 0 0 4 0 0 3 15
The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets 0 0 0 25 0 0 6 39
The Use of GARCH Models in VaR Estimation 0 0 3 365 0 1 14 799
The Use of GARCH Models in VaR Estimation 0 0 7 35 1 2 24 133
The effects of oil price shocks on stock market volatility: Evidence from European data 0 0 1 4 1 2 4 43
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 42 0 0 5 62
Time-varying Business Cycles Synchronisation in Europe 0 1 1 51 1 3 3 98
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 35 0 1 3 81
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 1 22 1 1 10 60
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 4 12
Trading VIX on volatility forecasts: another volatility puzzle? 0 0 0 0 1 1 1 1
US stock market regimes and oil price shocks 0 0 0 11 0 0 2 84
VIX Index in Interday and Intraday Volatility Models 0 0 1 5 0 1 8 46
Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 1 3 1 2 4 24
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 0 0 1 36
What should be taken into consideration when forecasting oil implied volatility index? 0 0 0 16 0 1 3 35
Total Working Papers 2 10 54 3,885 55 117 425 11,763

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 2 2 255
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 0 1 2 655
ARFIMAX and ARFIMAX-TARCH realized volatility modeling 0 0 1 87 0 1 7 246
An alternative approach to detect earnings management to meet or beat benchmarks 0 0 0 3 1 1 3 11
Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models 0 0 0 41 2 2 3 281
Backtesting VaR models:a two-stage procedure 0 0 0 0 0 0 2 2
Business Cycle Synchronization in EU: A Time-Varying Approach 0 0 0 22 0 2 6 96
Business Cycles Synchronization: Literature Review 4 5 21 52 6 10 54 127
Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? 0 0 0 25 0 0 4 113
Determinants of regional business cycle synchronization in Greece 0 0 0 0 1 2 3 3
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 2 7 327 3 9 36 1,332
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 1 1 4 15
Evaluating volatility forecasts in option pricing in the context of a simulated options market 0 0 0 8 1 2 2 65
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 6 2 4 11 50
Forecasting VIX: the illusion of forecast evaluation criteria 0 0 1 1 1 1 2 4
Forecasting global stock market implied volatility indices 0 0 1 32 0 1 4 126
Forecasting oil price realized volatility using information channels from other asset classes 0 0 2 29 2 3 17 148
Forecasting oil price volatility using spillover effects from uncertainty indices 0 0 2 6 0 1 6 14
Forecasting oil prices: High-frequency financial data are indeed useful 0 0 1 26 1 2 9 120
Forecasting realized volatility of agricultural commodities 0 0 0 4 2 2 2 16
Forecasting the Oil Volatility Index Using Factors of Uncertainty 0 0 0 10 0 0 4 45
Forecasting tourist arrivals using origin country macroeconomics 0 0 2 6 1 2 6 39
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence 0 0 0 48 1 1 2 265
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 4 0 1 2 36
Hedge Ratios in South African Stock Index Futures 0 0 0 3 0 0 1 34
Hedge fund returns under crisis scenarios: A holistic approach 0 0 0 3 0 0 1 55
Intra-day realized volatility for European and USA stock indices 0 0 1 7 1 1 5 57
Investments and uncertainty revisited: the case of the US economy 0 0 1 4 2 4 5 39
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 1 2 97
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 1 1 2 4
Multiple days ahead realized volatility forecasting: Single, combined and average forecasts 0 0 1 22 0 0 1 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 0 16 0 1 2 73
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 4 1 1 3 31
Oil Price Volatility is Effective in Predicting Food Price Volatility. Or is it? 0 0 0 0 0 0 0 2
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 3 3 1 3 10 14
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 1 2 105 2 4 13 411
Oil and currency volatilities: Co‐movements and hedging opportunities 0 0 0 4 0 0 2 24
Oil and pump prices: Testing their asymmetric relationship in a robust way 0 0 0 19 0 0 1 59
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 67 1 1 1 246
Oil price assumptions for macroeconomic policy 0 0 0 4 0 0 4 20
Oil price shocks and uncertainty: How stable is their relationship over time? 0 0 1 71 1 1 8 174
Oil price volatility forecasts: What do investors need to know? 0 0 0 3 0 1 4 19
Oil price volatility is effective in predicting food price volatility. Or is it? 0 0 0 5 1 3 6 16
On the stationarity of futures hedge ratios 0 0 0 0 0 0 0 5
Option pricing using high-frequency futures prices 0 0 1 1 1 1 2 2
Predictability and model selection in the context of ARCH models 0 0 0 0 1 1 1 10
Real-time monitoring of carbon monoxide using value-at-risk measure and control charting 0 0 0 0 0 0 2 14
Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 15 0 0 2 62
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 17 1 1 1 64
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 0 7 1 1 1 13
Superkurtosis 0 0 0 2 1 1 4 19
The D-model for GDP nowcasting 0 0 0 5 0 0 5 14
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 1 1 1 68 3 5 10 226
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 1 1 1 0 1 3 4
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 2 0 0 0 31
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 29 0 0 5 136
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 0 0 0 0 0 0 0
US stock market regimes and oil price shocks 0 0 2 21 1 2 13 151
Volatility forecasting: Intra-day versus inter-day models 0 0 0 99 0 0 2 363
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model 0 0 0 107 1 2 4 343
What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index? 0 0 2 2 0 0 4 6
What matters when developing oil price volatility forecasting frameworks? 0 0 0 0 0 0 1 2
Total Journal Articles 5 10 56 1,777 46 88 326 7,351
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 0 0 18 63
Total Books 0 0 1 3 0 0 18 63

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 1 2 6
Intraday Realized Volatility Measures 0 0 1 1 0 0 3 13
Introduction to High Frequency Financial Modelling 0 0 0 0 0 0 6 17
Methods of Volatility Estimation and Forecasting 0 0 0 0 0 1 8 19
Multiple Model Comparison and Hypothesis Framework Construction 0 0 0 0 0 0 1 3
Realized Volatility Forecasting: Applications 0 0 0 1 0 1 3 10
Recent Methods: A Review 0 0 0 0 0 0 1 4
Total Chapters 0 0 1 2 0 3 24 72

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-09-05