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 42 0 1 22 272
A Probit Model for the State of the Greek GDP Growth 0 0 0 1 1 2 7 29
A Robust VaR Model under Different Time Periods and Weighting Schemes 0 0 0 3 2 2 15 62
ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling 0 0 0 11 0 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 3 5 47 185
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 0 1 2 25 46
Backtesting VaR Models: A Τwo-Stage Procedure 0 0 0 15 1 1 21 90
Backtesting VaR Models: An Expected Shortfall Approach 0 0 0 1,154 2 4 25 3,069
Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer? 0 0 0 18 4 4 8 77
Business Cycle Synchronisation in EU: A time-varying approach 0 0 0 6 1 1 15 45
Can spillover effects provide forecasting gains? The case of oil price volatility 0 0 1 18 1 1 9 37
Cryptokurtosis: frequent trading fuels higher losses 0 1 1 1 1 3 8 8
Determinants of regional business cycle synchronization in Greece 0 0 1 3 3 4 21 29
Disaggregated inflation rates: Some preliminary economic analysis for Greece 0 1 8 8 4 5 12 12
Disaggregating VIX 0 0 1 1 3 3 18 20
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 0 0 0 12 3 4 40 121
Earnings Management to Avoid Losses and Earnings Declines in Croatia 0 0 1 25 2 2 9 100
Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component 0 0 0 5 2 3 11 39
Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence 0 0 0 6 0 1 20 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 1 1 2 81 3 3 13 134
Forecasting European Economic Policy Uncertainty 0 0 0 32 0 1 15 48
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 1 5 32
Forecasting Realized Volatility of Agricultural Commodities 0 0 0 26 2 18 48 80
Forecasting Tourist Arrivals Using Origin Country Macroeconomics 0 0 0 42 2 3 9 80
Forecasting VIX: The illusion of forecast evaluation criteria 0 0 1 8 5 5 21 55
Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence 0 0 0 11 2 3 20 69
Forecasting Vix 0 0 3 13 3 8 30 104
Forecasting household-level inflation in Greece 0 0 3 3 2 3 13 13
Forecasting implied volatility indices worldwide: A new approach 1 1 2 51 4 4 24 71
Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions? 0 1 2 18 1 2 11 28
Forecasting oil price realized volatility using information channels from other asset classes 0 0 0 6 1 2 24 51
Forecasting oil price realized volatility: A new approach 0 0 0 63 1 3 19 208
Forecasting oil prices 1 1 1 102 1 2 12 188
Futures-based forecasts: How useful are they for oil price volatility forecasting? 1 1 1 28 6 8 20 46
Hedge Fund Returns under Crisis Scenarios: A Holistic Approach 0 0 0 20 1 2 14 90
Hedge Ratios in South African Stock Index Futures 0 0 0 1 1 1 7 21
Intra-Day Realized Volatility for European and USA Stock Indices 0 0 0 12 3 3 22 76
Investments and uncertainty revisited: The case of the US economy 0 0 0 23 2 2 12 66
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 3 1 2 7 124
Modeling CAC40 Volatility Using Ultra-high Frequency Data 0 0 1 8 1 1 16 51
Modeling Risk for Long and Short Trading Positions 0 0 0 4 4 5 14 54
Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts 0 0 1 25 3 5 21 41
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 3 14 98
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 3 2 2 13 51
Navigating crude oil volatility forecasts: assessing the contribution of geopolitical risk 0 0 1 1 2 4 17 19
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 0 36 2 2 14 137
Oil Price Shocks and Uncertainty: How stable is their relationship over time? 0 0 1 17 2 3 14 61
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 0 0 1 61 3 6 18 148
Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? 0 0 0 19 1 1 21 54
Oil and pump prices: is there any asymmetry in the Greek oil downstream sector? 0 1 1 19 2 5 23 74
Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 7 1 1 48 102
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 0 2 2 3 14 39
Oil price assumptions for macroeconomic policy 0 1 1 28 2 6 21 83
Oil price shocks and stock market volatility: evidence from European data 0 0 4 230 5 7 51 658
Oil price shocks and volatility do predict stock market regimes 0 0 0 70 2 2 10 237
Oil price volatility forecasts: What do investors need to know? 0 0 0 31 2 3 25 94
Oil prices and stock markets: A review of the theory and empirical evidence 2 3 6 623 3 4 68 2,638
On the Stationarity of Futures Hedge Ratios 0 0 0 6 7 10 47 73
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 1 1 8 44
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 3 2 3 14 34
Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 2 2 2 28 56
Return dispersion, stock market liquidity and aggregate economic activity 0 0 0 72 0 2 13 347
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 3 2 2 22 53
SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework 0 0 0 0 2 3 12 20
Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes 0 0 0 0 4 4 11 22
Stock market as a nowcasting indicator for real investment 0 1 1 24 3 4 23 40
Superkurtosis 0 0 0 32 2 3 29 83
Superkurtosis 0 0 0 2 2 3 17 29
Superkurtosis 0 0 0 26 1 1 12 82
The D-model for GDP nowcasting 0 0 0 4 3 3 13 30
The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets 0 0 0 25 2 2 10 50
The Use of GARCH Models in VaR Estimation 0 1 2 37 1 5 34 177
The Use of GARCH Models in VaR Estimation 1 1 2 367 2 5 16 818
The effects of oil price shocks on stock market volatility: Evidence from European data 0 0 0 4 4 5 42 86
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 1 43 3 4 17 80
Time-varying Business Cycles Synchronisation in Europe 0 0 1 52 1 1 10 114
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 22 2 5 19 80
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 0 0 35 1 2 25 106
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 1 1 13 26
Trading VIX on volatility forecasts: another volatility puzzle? 1 1 2 3 3 3 24 28
US stock market regimes and oil price shocks 0 1 1 12 1 3 20 105
VIX Index in Interday and Intraday Volatility Models 0 0 0 5 1 2 15 61
Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model 0 0 0 3 1 2 10 36
Volatility forecasting: Intra-day versus inter-day models 0 0 0 2 2 4 8 22
Volatility forecasting: intra-day vs. inter-day models 0 0 0 5 1 2 9 46
What should be taken into consideration when forecasting oil implied volatility index? 0 1 1 17 3 5 22 58
Total Working Papers 8 18 57 3,949 176 285 1,695 13,576

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 1 1 1 61 3 6 33 291
A Probit Model for the State of the Greek GDP Growth 0 0 0 7 1 2 8 69
A robust VaR model under different time periods and weighting schemes 0 0 1 181 2 5 22 683
ARFIMAX and ARFIMAX-TARCH realized volatility modeling 0 0 0 87 1 2 10 257
An alternative approach to detect earnings management to meet or beat benchmarks 0 0 0 3 3 3 9 20
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 0 17 19
Business Cycle Synchronization in EU: A Time-Varying Approach 0 0 1 23 5 8 15 112
Business Cycles Synchronization: Literature Review 0 0 8 66 2 3 30 168
Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? 0 0 0 26 1 1 11 126
Cryptokurtosis: Frequent trading fuels higher losses 0 0 0 0 5 9 9 9
Determinants of regional business cycle synchronization in Greece 0 0 0 0 1 3 10 13
Disaggregating VIX 0 0 0 0 1 4 14 15
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries 2 3 13 340 5 12 100 1,439
Earnings management to avoid losses and earnings declines in Croatia 0 0 0 3 1 1 5 29
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 1 1 13 80
Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors 0 0 0 3 1 3 11 28
Forecasting European economic policy uncertainty 0 0 0 6 3 4 19 69
Forecasting VIX: the illusion of forecast evaluation criteria 0 0 0 1 2 2 22 27
Forecasting global stock market implied volatility indices 0 0 0 32 2 2 10 138
Forecasting oil price realized volatility using information channels from other asset classes 0 0 0 29 2 5 29 178
Forecasting oil price volatility using spillover effects from uncertainty indices 0 0 0 6 1 2 20 34
Forecasting oil prices: High-frequency financial data are indeed useful 0 1 2 28 3 17 68 188
Forecasting realized volatility of agricultural commodities 0 0 2 6 2 6 34 52
Forecasting the Oil Volatility Index Using Factors of Uncertainty 0 0 0 10 1 2 14 60
Forecasting tourist arrivals using origin country macroeconomics 0 0 0 6 2 4 12 53
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence 0 0 0 48 2 2 18 285
Futures-based forecasts: How useful are they for oil price volatility forecasting? 0 0 0 4 2 2 15 54
Hedge Ratios in South African Stock Index Futures 0 0 0 3 2 2 8 43
Hedge fund returns under crisis scenarios: A holistic approach 0 0 1 4 1 2 15 71
Intra-day realized volatility for European and USA stock indices 0 0 0 7 3 5 16 75
Investments and uncertainty revisited: the case of the US economy 0 0 0 4 1 2 10 50
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 8 4 4 13 113
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 1 2 11 16
Multiple days ahead realized volatility forecasting: Single, combined and average forecasts 0 0 1 23 1 2 15 91
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 2 14 88
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices 0 0 0 4 4 4 13 44
Navigating crude oil volatility forecasts: Assessing the contribution of geopolitical risk 1 1 3 3 6 9 32 33
Oil Price Volatility is Effective in Predicting Food Price Volatility. Or is it? 0 0 0 0 0 1 14 17
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence 1 1 3 7 3 5 20 38
Oil and currency volatilities: Co‐movements and hedging opportunities 0 0 0 4 1 1 13 37
Oil and pump prices: Testing their asymmetric relationship in a robust way 0 1 1 20 3 5 21 84
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment 0 0 2 69 3 6 29 277
Oil price assumptions for macroeconomic policy 0 0 0 4 3 4 25 45
Oil price shocks and uncertainty: How stable is their relationship over time? 0 0 0 71 1 1 12 187
Oil price volatility forecasts: What do investors need to know? 1 2 2 5 2 5 26 46
On the stationarity of futures hedge ratios 0 0 0 0 3 3 14 20
Option pricing using high-frequency futures prices 0 0 4 7 0 0 16 23
Predictability and model selection in the context of ARCH models 0 0 0 0 3 4 12 22
Real-time monitoring of carbon monoxide using value-at-risk measure and control charting 0 0 0 0 0 1 10 26
Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process 0 0 0 15 1 3 15 79
Rolling-sampled parameters of ARCH and Levy-stable models 0 0 0 17 1 2 7 71
SPEC model selection algorithm for ARCH models: an options pricing evaluation framework 0 0 0 0 1 2 9 12
Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes 0 0 0 0 2 3 8 10
Stock market as a nowcasting indicator for real investment 0 0 1 8 1 1 10 23
Superkurtosis 0 0 0 2 0 0 15 35
The D-model for GDP nowcasting 0 0 1 6 0 0 11 26
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data 0 0 0 1 0 0 14 18
The one-trading-day-ahead forecast errors of intra-day realized volatility 0 0 0 2 1 1 6 37
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries 0 1 1 30 2 3 15 153
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 2 2 10 135
Trading VIX on Volatility Forecasts: Another Volatility Puzzle? 0 0 2 6 2 2 22 26
US stock market regimes and oil price shocks 0 0 0 21 1 2 17 169
Volatility forecasting: Intra-day versus inter-day models 0 0 1 100 2 2 10 373
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model 0 0 0 108 2 3 13 357
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? 1 1 2 2 3 3 12 14
Total Journal Articles 7 12 55 1,672 123 213 1,170 7,965
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 2 3 15 81
Total Books 0 0 0 3 2 3 15 81

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 5 13
Intraday Realized Volatility Measures 0 0 0 1 4 4 15 28
Introduction to High Frequency Financial Modelling 0 0 0 0 2 2 5 23
Methods of Volatility Estimation and Forecasting 0 0 0 0 1 3 12 31
Multiple Model Comparison and Hypothesis Framework Construction 0 0 0 0 2 2 4 7
Realized Volatility Forecasting: Applications 0 0 0 1 1 1 6 16
Recent Methods: A Review 0 0 0 0 2 2 5 10
Total Chapters 0 0 0 2 13 15 52 128

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