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 2 3 5 1 8 20 30
A Robust VaR Model under Different Time Periods and Weighting Schemes 0 0 0 1 1 3 7 12
ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling 0 0 5 7 3 4 24 33
Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review 0 0 1 4 1 2 6 16
Backtesting VaR Models: A Τwo-Stage Procedure 0 1 4 11 0 2 8 17
Backtesting VaR Models: An Expected Shortfall Approach 0 2 6 1,145 1 9 26 2,983
Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer? 0 0 0 15 1 1 8 48
Business Cycle Synchronisation in EU: A time-varying approach 0 0 2 2 5 5 8 10
Earnings Management to Avoid Losses and Earnings Declines in Croatia 0 0 4 14 0 0 12 35
Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component 0 1 1 1 0 1 2 2
Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence 0 0 2 3 0 0 6 13
Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market 0 0 0 0 0 0 1 6
Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors 0 0 1 2 0 0 2 22
Forecasting European Economic Policy Uncertainty 0 2 12 69 1 4 32 76
Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 1 1 0 0 4 6
Forecasting Tourist Arrivals Using Origin Country Macroeconomics 0 0 1 39 0 2 7 50
Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence 0 0 3 4 0 0 12 19
Forecasting implied volatility indices worldwide: A new approach 0 0 3 48 1 2 8 29
Forecasting oil price realized volatility: A new approach 0 0 2 59 3 5 16 126
Forecasting oil prices 0 1 9 88 0 5 22 117
Hedge Fund Returns under Crisis Scenarios: A Holistic Approach 0 1 3 10 1 3 11 18
Intra-Day Realized Volatility for European and USA Stock Indices 0 0 1 11 0 1 4 36
Investments and uncertainty revisited: The case of the US economy 0 0 0 19 0 1 4 35
Modeling CAC40 Volatility Using Ultra-high Frequency Data 0 0 1 2 0 2 6 9
Modeling Risk for Long and Short Trading Positions 0 0 0 1 1 3 5 10
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 5 43 0 1 9 45
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 1 0 0 3 10
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 2 12 28 2 7 42 70
Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? 2 2 2 2 4 4 4 4
Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment 0 0 1 6 2 2 6 18
Oil price shocks and stock market volatility: evidence from European data 0 1 4 220 1 7 33 568
Oil price shocks and volatility do predict stock market regimes 0 1 6 62 0 3 18 169
Oil price volatility forecasts: What do investors need to know? 1 15 15 15 3 16 16 16
Oil prices and stock markets: A review of the theory and empirical evidence 5 18 115 165 32 110 427 464
Predictability and Model Selection in the Context of ARCH Models 0 0 1 1 0 0 5 5
Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting 0 0 0 15 0 0 5 19
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 0 0 0 6 7
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 3 0 0 5 9
Return dispersion, stock market liquidity and aggregate economic activity 1 1 2 64 1 2 13 174
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 2 2 0 0 7 12
Superkurtosis 0 18 18 18 1 13 13 13
The Use of GARCH Models in VaR Estimation 1 5 16 341 2 9 36 701
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 3 39 2 3 12 30
Time-varying Business Cycles Synchronisation in Europe 0 0 0 49 1 1 2 70
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 1 1 33 2 3 9 53
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 1 18 0 2 6 23
US stock market regimes and oil price shocks 0 0 2 4 2 3 16 27
Volatility forecasting: intra-day vs. inter-day models 0 0 1 3 1 4 10 17
Total Working Papers 10 74 272 2,693 76 253 964 6,282


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 58 0 1 3 241
A Probit Model for the State of the Greek GDP Growth 0 0 2 5 0 1 7 39
A robust VaR model under different time periods and weighting schemes 0 0 1 174 0 2 9 624
ARFIMAX and ARFIMAX-TARCH realized volatility modeling 0 0 0 85 2 3 10 222
Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models 0 0 0 41 1 1 2 271
Business Cycle Synchronization in EU: A Time-Varying Approach 0 0 1 14 1 4 11 51
Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? 0 0 2 18 0 2 10 64
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 1 2 15 246 6 21 90 1,001
Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component 0 0 0 0 1 1 1 1
Evaluating value-at-risk models before and after the financial crisis of 2008: International evidence 0 0 2 4 0 0 7 15
Evaluating volatility forecasts in option pricing in the context of a simulated options market 0 0 0 7 0 0 0 52
Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors 0 0 0 3 0 1 3 13
Forecasting European economic policy uncertainty 0 0 3 3 0 0 5 5
Forecasting global stock market implied volatility indices 0 2 12 17 0 5 34 51
Forecasting oil price realized volatility using information channels from other asset classes 1 2 5 5 4 10 23 23
Forecasting oil prices: High-frequency financial data are indeed useful 0 2 7 7 1 7 24 24
Forecasting one-day-ahead VaR and intra-day realized volatility in the Athens Stock Exchange Market 0 0 1 2 0 1 4 22
Forecasting tourist arrivals using origin country macroeconomics 0 0 0 2 0 0 6 20
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence 1 1 5 45 1 3 11 239
Hedge Ratios in South African Stock Index Futures 0 0 0 2 0 0 2 18
Hedge fund returns under crisis scenarios: A holistic approach 0 0 2 2 4 6 11 19
Intra-day realized volatility for European and USA stock indices 0 0 1 4 1 2 9 34
Investments and uncertainty revisited: the case of the US economy 0 1 1 2 0 2 5 18
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 0 4 79
Modeling CAC40 volatility using ultra-high frequency data 0 0 0 32 0 1 4 132
Multiple days ahead realized volatility forecasting: Single, combined and average forecasts 2 4 9 10 6 9 21 25
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 2 8 0 2 15 37
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 1 0 0 1 12
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 3 18 18 3 15 71 71
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 7 49 2 6 21 170
Oil price shocks and uncertainty: How stable is their relationship over time? 2 5 12 13 2 7 28 40
Predictability and model selection in the context of ARCH models 0 0 0 0 0 0 2 2
Real-time monitoring of carbon monoxide using value-at-risk measure and control charting 0 0 0 0 0 0 1 2
Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 13 0 1 3 49
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 16 0 0 5 53
SPEC model selection algorithm for ARCH models: an options pricing evaluation framework 0 0 0 16 0 0 1 75
Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes 0 0 0 12 0 0 1 85
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 3 17 55 4 9 44 146
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 1 1 0 1 3 10
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 5 14 0 4 17 51
Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets 2 2 2 30 3 3 4 118
US stock market regimes and oil price shocks 1 1 2 10 4 7 12 76
Volatility forecasting: Intra-day versus inter-day models 0 0 0 93 1 2 3 334
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model 0 0 0 105 0 1 3 320
Total Journal Articles 10 28 135 1,249 47 141 551 4,954


Statistics updated 2019-09-09