Stavros Degiannakis
Names
| first: |
Stavros |
| middle: |
Antonios |
| last: |
Degiannakis |
Identifer
Contact
Affiliations
-
Bank of Greece (weight: 99%)
-
Panteion University of Social and Political Sciences
/ Department of Economic and Regional Development (weight: 1%)
Research profile
author of:
- The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data (RePEc:aen:journl:ej35-1-03)
by Stavros Degiannakis, George Filis, and Renatas Kizys - Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (RePEc:aen:journl:ej39-5-filis)
by Stavros Degiannakis, George Filis, and Vipin Arora - Oil price volatility is effective in predicting food price volatility. Or is it? (RePEc:aen:journl:ej42-6-filis)
by Ioannis Chatziantoniou, Stavros Degiannakis, George Filis, and Tim Lloyd - Forecasting the Oil Volatility Index Using Factors of Uncertainty (RePEc:aoj:ajeaer:v:9:y:2022:i:1:p:13-20:id:3666)
by Panagiotis Delis & Stavros Degiannakis & Konstantinos Giannopoulos - Oil Price Shocks and Uncertainty: How stable is their relationship over time? (RePEc:bam:wpaper:bafes13)
by Stavros Degiannakis & George Filis & Sofia Panagiotakopoulou - Forecasting European Economic Policy Uncertainty (RePEc:bam:wpaper:bafes15)
by Stavros Degiannakis & George Filis - Oil prices and stock markets: A review of the theory and empirical evidence (RePEc:bam:wpaper:bafes22)
by Stavros Degiannakis & George Filis & Vipin Arora - Business Cycles Synchronization: Literature Review (RePEc:bba:j00001:v:3:y:2024:i:4:p:222-249:d:306)
by Chrysostomos Stoforos & Stavros Degiannakis & Panagiotis Delis & George Filis & Theodosios Palaskas - A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification (RePEc:bla:manchs:v:82:y:2014:i:1:p:71-102)
by Stavros Degiannakis & Pamela Dent & Christos Floros - Business Cycle Synchronization in EU: A Time-Varying Approach (RePEc:bla:scotjp:v:61:y:2014:i:4:p:348-370)
by Stavros Degiannakis & David Duffy & George Filis - Forecasting European economic policy uncertainty (RePEc:bla:scotjp:v:66:y:2019:i:1:p:94-114)
by Stavros Degiannakis & George Filis - Oil price shocks and stock market volatility: evidence from European data (RePEc:bog:wpaper:161)
by Stavros Degiannakis & George Filis & Renatas Kizys - Return dispersion, stock market liquidity and aggregate economic activity (RePEc:bog:wpaper:166)
by Stavros Degiannakis & Andreas Andrikopoulos & Timotheos Angelidis & Christos Floros - Oil price shocks and volatility do predict stock market regimes (RePEc:bog:wpaper:170)
by Stavros Degiannakis & Timotheos Angelidis & George Filis - Oil and pump prices: is there any asymmetry in the Greek oil downstream sector? (RePEc:bog:wpaper:268)
by Zacharias Bragoudakis & Stavros Degiannakis & George Filis - Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions? (RePEc:bog:wpaper:296)
by George Filis & Stavros Degiannakis & Zacharias Bragoudakis - The D-model for GDP nowcasting (RePEc:bog:wpaper:317)
by Stavros Degiannakis - Superkurtosis (RePEc:bog:wpaper:318)
by Stavros Degiannakis & George Filis & Grigorios Siourounis & Lorenzo Trapani - Forecasting VIX: The illusion of forecast evaluation criteria (RePEc:bog:wpaper:322)
by Stavros Degiannakis & Eleftheria Kafousaki - Determinants of regional business cycle synchronization in Greece (RePEc:bog:wpaper:329)
by Panagiotis Delis & Stavros Degiannakis & George Filis & Theodosios Palaskas & Chrysostomos Stoforos - Backtesting VaR Models: An Expected Shortfall Approach (RePEc:crt:wpaper:0701)
by Timotheos Angelidis & Stavros Degiannakis - Evaluating volatility forecasts in option pricing in the context of a simulated options market (RePEc:eee:csdana:v:49:y:2005:i:2:p:611-629)
by Xekalaki, Evdokia & Degiannakis, Stavros - Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process (RePEc:eee:ecmode:v:30:y:2013:i:c:p:212-216)
by Degiannakis, Stavros & Livada, Alexandra - Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? (RePEc:eee:ecmode:v:52:y:2016:i:pb:p:551-563)
by Degiannakis, Stavros & Duffy, David & Filis, George & Livada, Alexandra - Oil price shocks and uncertainty: How stable is their relationship over time? (RePEc:eee:ecmode:v:72:y:2018:i:c:p:42-53)
by Degiannakis, Stavros & Filis, George & Panagiotakopoulou, Sofia - Forecasting global stock market implied volatility indices (RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129)
by Degiannakis, Stavros & Filis, George & Hassani, Hossein - Oil price assumptions for macroeconomic policy (RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005540)
by Degiannakis, Stavros & Filis, George - Forecasting oil prices: High-frequency financial data are indeed useful (RePEc:eee:eneeco:v:76:y:2018:i:c:p:388-402)
by Degiannakis, Stavros & Filis, George - Futures-based forecasts: How useful are they for oil price volatility forecasting? (RePEc:eee:eneeco:v:81:y:2019:i:c:p:639-649)
by Chatziantoniou, Ioannis & Degiannakis, Stavros & Filis, George - Oil and pump prices: Testing their asymmetric relationship in a robust way (RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300943)
by Bragoudakis, Zacharias & Degiannakis, Stavros & Filis, George - Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (RePEc:eee:finana:v:20:y:2011:i:3:p:152-164)
by Filis, George & Degiannakis, Stavros & Floros, Christos - Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence (RePEc:eee:finana:v:27:y:2013:i:c:p:21-33)
by Degiannakis, Stavros & Floros, Christos & Dent, Pamela - Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries (RePEc:eee:finana:v:48:y:2016:i:c:p:209-220)
by Boldanov, Rustam & Degiannakis, Stavros & Filis, George - Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data (RePEc:eee:finana:v:49:y:2017:i:c:p:176-190)
by Degiannakis, Stavros & Potamia, Artemis - Forecasting oil price volatility using spillover effects from uncertainty indices (RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320316998)
by Chatziantoniou, Ioannis & Degiannakis, Stavros & Delis, Panagiotis & Filis, George - US stock market regimes and oil price shocks (RePEc:eee:glofin:v:28:y:2015:i:c:p:132-146)
by Angelidis, Timotheos & Degiannakis, Stavros & Filis, George - Intra-day realized volatility for European and USA stock indices (RePEc:eee:glofin:v:29:y:2016:i:c:p:24-41)
by Degiannakis, Stavros & Floros, Christos - Multiple days ahead realized volatility forecasting: Single, combined and average forecasts (RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61)
by Degiannakis, Stavros - Volatility forecasting: Intra-day versus inter-day models (RePEc:eee:intfin:v:18:y:2008:i:5:p:449-465)
by Angelidis, Timotheos & Degiannakis, Stavros - Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment (RePEc:eee:intfin:v:26:y:2013:i:c:p:175-191)
by Degiannakis, Stavros & Filis, George & Floros, Christos - Forecasting realized volatility of agricultural commodities (RePEc:eee:intfor:v:38:y:2022:i:1:p:74-96)
by Degiannakis, Stavros & Filis, George & Klein, Tony & Walther, Thomas - Oil price volatility forecasts: What do investors need to know? (RePEc:eee:jimfin:v:123:y:2022:i:c:s026156062100245x)
by Degiannakis, Stavros & Filis, George - Forecasting oil price realized volatility using information channels from other asset classes (RePEc:eee:jimfin:v:76:y:2017:i:c:p:28-49)
by Degiannakis, Stavros & Filis, George - Modeling CAC40 volatility using ultra-high frequency data (RePEc:eee:riibaf:v:28:y:2013:i:c:p:68-81)
by Degiannakis, Stavros & Floros, Christos - Hedge fund returns under crisis scenarios: A holistic approach (RePEc:eee:riibaf:v:42:y:2017:i:c:p:1196-1207)
by Stoforos, Chrysostomos E. & Degiannakis, Stavros & Palaskas, Theodosios B. - The one-trading-day-ahead forecast errors of intra-day realized volatility (RePEc:eee:riibaf:v:42:y:2017:i:c:p:1298-1314)
by Degiannakis, Stavros - Unknown item repec:eme:jal000:jal-02-2022-0027
- An alternative approach to detect earnings management to meet or beat benchmarks (RePEc:eme:jalpps:jal-02-2022-0027)
by Stavros Degiannakis & George Giannopoulos & Salma Ibrahim & Bjørn N. Jørgensen - Unknown item RePEc:eme:jes000:jes-06-2012-0082 (article)
- Unknown item RePEc:eme:jespps:jes-06-2012-0082 (article)
- Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices (RePEc:eme:jespps:v:41:y:2014:i:2:p:216-232)
by Stavros Degiannakis & Apostolos Kiohos - Unknown item RePEc:eme:jrf000:15265940510599838 (article)
- Modeling risk for long and short trading positions (RePEc:eme:jrfpps:15265940510599838)
by Timotheos Angelidis & Stavros Degiannakis - Unknown item RePEc:eme:mf0000:03074350810874442 (article)
- Unknown item RePEc:eme:mf0000:03074351211207563 (article)
- Unknown item RePEc:eme:mfipps:v:34:y:2008:i:7:p:489-497 (article)
- Unknown item RePEc:eme:mfipps:v:38:y:2012:i:4:p:436-452 (article)
- A Probit Model for the State of the Greek GDP Growth (RePEc:gam:jijfss:v:3:y:2015:i:3:p:381-392:d:54168)
by Stavros Degiannakis - 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 (RePEc:ids:ijcome:v:1:y:2009:i:1:p:89-110)
by Stavros Degiannakis & George Giannopoulos - Earnings management to avoid losses and earnings declines in Croatia (RePEc:ids:ijcome:v:9:y:2019:i:3:p:219-238)
by Stavros Degiannakis & George Giannopoulos & Salma Ibrahim & Ivana Rozic - Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets (RePEc:ids:ijfmkd:v:1:y:2009:i:1:p:96-123)
by Emilios Avgouleas & Stavros Degiannakis - A robust VaR model under different time periods and weighting schemes (RePEc:kap:rqfnac:v:28:y:2007:i:2:p:187-201)
by Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis - Forecasting VIX: the illusion of forecast evaluation criteria (RePEc:ove:journl:aid:18848)
by Eleftheria Kafousaki & Stavros Degiannakis - Modelling and Forecasting High Frequency Financial Data (RePEc:pal:palbok:978-1-137-39649-5)
by Stavros Degiannakis & Christos Floros - Introduction to High Frequency Financial Modelling (RePEc:pal:palchp:978-1-137-39649-5_1)
by Stavros Degiannakis & Christos Floros - Intraday Realized Volatility Measures (RePEc:pal:palchp:978-1-137-39649-5_2)
by Stavros Degiannakis & Christos Floros - Methods of Volatility Estimation and Forecasting (RePEc:pal:palchp:978-1-137-39649-5_3)
by Stavros Degiannakis & Christos Floros - Multiple Model Comparison and Hypothesis Framework Construction (RePEc:pal:palchp:978-1-137-39649-5_4)
by Stavros Degiannakis & Christos Floros - Realized Volatility Forecasting: Applications (RePEc:pal:palchp:978-1-137-39649-5_5)
by Stavros Degiannakis & Christos Floros - Recent Methods: A Review (RePEc:pal:palchp:978-1-137-39649-5_6)
by Stavros Degiannakis & Christos Floros - Intraday Hedge Ratios and Option Pricing (RePEc:pal:palchp:978-1-137-39649-5_7)
by Stavros Degiannakis & Christos Floros - Oil price assumptions for macroeconomic policy (RePEc:pra:mprapa:100705)
by Degiannakis, Stavros & Filis, George - On the Stationarity of Futures Hedge Ratios (RePEc:pra:mprapa:102907)
by Degiannakis, Stavros & Floros, Christos & Salvador, Enrique & Vougas, Dimitrios - What should be taken into consideration when forecasting oil implied volatility index? (RePEc:pra:mprapa:110831)
by Delis, Panagiotis & Degiannakis, Stavros & Giannopoulos, Kostantinos - Stock market as a nowcasting indicator for real investment (RePEc:pra:mprapa:110914)
by Degiannakis, Stavros - Time-varying Business Cycles Synchronisation in Europe (RePEc:pra:mprapa:52925)
by Degiannakis, Stavros & Duffy, David & Filis, George - Intra-Day Realized Volatility for European and USA Stock Indices (RePEc:pra:mprapa:64940)
by Degiannakis, Stavros & Floros, Christos - Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting (RePEc:pra:mprapa:65865)
by Bersimis, Sotirios & Degiannakis, Stavros & Georgakellos, Dimitrios - Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer? (RePEc:pra:mprapa:67892)
by Degiannakis, Stavros & Duffy, David & Filis, George & Livada, Alexandra - Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors (RePEc:pra:mprapa:67968)
by Degiannakis, Stavros & Livada, Alexandra - Forecasting Tourist Arrivals Using Origin Country Macroeconomics (RePEc:pra:mprapa:68062)
by Chatziantoniou, Ioannis & Degiannakis, Stavros & Eeckels, Bruno & Filis, George - Forecasting oil price realized volatility: A new approach (RePEc:pra:mprapa:69105)
by Degiannakis, Stavros & Filis, George - Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries (RePEc:pra:mprapa:72082)
by Boldanov, Rustam & Degiannakis, Stavros & Filis, George - Investments and uncertainty revisited: The case of the US economy (RePEc:pra:mprapa:72083)
by Degiannakis, Stavros & Filis, George & Palaiodimos, George - Forecasting implied volatility indices worldwide: A new approach (RePEc:pra:mprapa:72084)
by Degiannakis, Stavros & Filis, George & Hassani, Hossein - Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data (RePEc:pra:mprapa:74670)
by Degiannakis, Stavros & Potamia, Artemis - Forecasting oil prices (RePEc:pra:mprapa:77531)
by Degiannakis, Stavros & Filis, George - Hedge Fund Returns under Crisis Scenarios: A Holistic Approach (RePEc:pra:mprapa:80161)
by Stoforos, Chrysostomos & Degiannakis, Stavros & Palaskas, Theodosios - The one-trading-day-ahead forecast errors of intra-day realized volatility (RePEc:pra:mprapa:80163)
by Degiannakis, Stavros - Earnings Management to Avoid Losses and Earnings Declines in Croatia (RePEc:pra:mprapa:80164)
by Degiannakis, Stavros & Giannopoulos, George & Ibrahim, Salma & Rozic, Ivana - Backtesting VaR Models: A Τwo-Stage Procedure (RePEc:pra:mprapa:80418)
by Angelidis, Timotheos & Degiannakis, Stavros - A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification (RePEc:pra:mprapa:80431)
by Degiannakis, Stavros & Dent, Pamela & Floros, Christos - Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence (RePEc:pra:mprapa:80433)
by Degiannakis, Stavros & Floros, Christos & Dent, Pamela - Volatility forecasting: intra-day vs. inter-day models (RePEc:pra:mprapa:80434)
by Angelidis, Timotheos & Degiannakis, Stavros - Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries (RePEc:pra:mprapa:80435)
by Boldanov, Rustam & Degiannakis, Stavros & Filis, George - US stock market regimes and oil price shocks (RePEc:pra:mprapa:80436)
by Angelidis, Timotheos & Degiannakis, Stavros & Filis, George - Business Cycle Synchronisation in EU: A time-varying approach (RePEc:pra:mprapa:80437)
by Degiannakis, Stavros & Duffy, David & Filis, George - Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices (RePEc:pra:mprapa:80438)
by Degiannakis, Stavros & Kiohos, Apostolos - Modeling CAC40 Volatility Using Ultra-high Frequency Data (RePEc:pra:mprapa:80445)
by Degiannakis, Stavros & Floros, Christos - Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process (RePEc:pra:mprapa:80449)
by Degiannakis, Stavros & Livada, Alexandra - Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence (RePEc:pra:mprapa:80463)
by Degiannakis, Stavros & Floros, Christos & Livada, Alexandra - Rolling-sampled parameters of ARCH and Levy-stable models (RePEc:pra:mprapa:80464)
by Degiannakis, Stavros & Livada, Alexandra & Panas, Epaminondas - ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling (RePEc:pra:mprapa:80465)
by Degiannakis, Stavros - A Robust VaR Model under Different Time Periods and Weighting Schemes (RePEc:pra:mprapa:80466)
by Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros - Modeling Risk for Long and Short Trading Positions (RePEc:pra:mprapa:80467)
by Angelidis, Timotheos & Degiannakis, Stavros - Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market (RePEc:pra:mprapa:80468)
by Xekalaki, Evdokia & Degiannakis, Stavros - Predictability and Model Selection in the Context of ARCH Models (RePEc:pra:mprapa:80486)
by Degiannakis, Stavros & Xekalaki, Evdokia - Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review (RePEc:pra:mprapa:80487)
by Degiannakis, Stavros & Xekalaki, Evdokia - Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model (RePEc:pra:mprapa:80488)
by Degiannakis, Stavros - Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process (RePEc:pra:mprapa:80489)
by Degiannakis, Stavros & Livada, Alexandra - Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment (RePEc:pra:mprapa:80495)
by Degiannakis, Stavros & Filis, George & Floros, Christos - Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component (RePEc:pra:mprapa:94176)
by Degiannakis, Stavros & Filis, George & Tsemperlidis, Stefanos - Oil price volatility forecasts: What do investors need to know? (RePEc:pra:mprapa:94445)
by Degiannakis, Stavros & Filis, George - Superkurtosis (RePEc:pra:mprapa:94473)
by Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo - Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? (RePEc:pra:mprapa:95407)
by Bragoudakis, Zacharias & Degiannakis, Stavros & Filis, George - Can spillover effects provide forecasting gains? The case of oil price volatility (RePEc:pra:mprapa:96266)
by Chatziantoniou, Ioannis & Degiannakis, Stavros & Delis, Panagiotis & Filis, George - Forecasting Realized Volatility of Agricultural Commodities (RePEc:pra:mprapa:96267)
by Degiannakis, Stavros & Filis, George & Klein, Tony & Walther, Thomas - Forecasting European Economic Policy Uncertainty (RePEc:pra:mprapa:96268)
by Degiannakis, Stavros & Filis, George - The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets (RePEc:pra:mprapa:96269)
by Giannopoulos, George & Degiannakis, Stavros & Holt, Andrew & Pongpoonsuksri, Teerapon - Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (RePEc:pra:mprapa:96270)
by Degiannakis, Stavros & Filis, George & Arora, Vipin - Oil Price Shocks and Uncertainty: How stable is their relationship over time? (RePEc:pra:mprapa:96271)
by Degiannakis, Stavros & Filis, George & Panagiotakopoulou, Sofia - Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts (RePEc:pra:mprapa:96272)
by Degiannakis, Stavros - Forecasting oil price realized volatility using information channels from other asset classes (RePEc:pra:mprapa:96276)
by Degiannakis, Stavros & Filis, George - A Probit Model for the State of the Greek GDP Growth (RePEc:pra:mprapa:96280)
by Degiannakis, Stavros - The effects of oil price shocks on stock market volatility: Evidence from European data (RePEc:pra:mprapa:96296)
by Degiannakis, Stavros & Filis, George & Kizys, Renatas - Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment (RePEc:pra:mprapa:96298)
by Degiannakis, Stavros & Filis, George & Floros, Christos - Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (RePEc:pra:mprapa:96299)
by Filis, George & Degiannakis, Stavros & Floros, Christos - Hedge Ratios in South African Stock Index Futures (RePEc:pra:mprapa:96301)
by Degiannakis, Stavros & Floros, Christos - VIX Index in Interday and Intraday Volatility Models (RePEc:pra:mprapa:96304)
by Degiannakis, Stavros & Floros, Christos - 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 (RePEc:pra:mprapa:96305)
by Degiannakis, Stavros & Giannopoulos, George - Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets (RePEc:pra:mprapa:96306)
by Avgouleas, Emilios & Degiannakis, Stavros - Forecasting Vix (RePEc:pra:mprapa:96307)
by Degiannakis, Stavros - SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework (RePEc:pra:mprapa:96321)
by Degiannakis, Stavros & Xekalaki, Evdokia - Volatility forecasting: Intra-day versus inter-day models (RePEc:pra:mprapa:96322)
by Angelidis, Timotheos & Degiannakis, Stavros - Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models (RePEc:pra:mprapa:96324)
by Degiannakis, Stavros & Xekalaki, Evdokia - Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes (RePEc:pra:mprapa:96326)
by Degiannakis, Stavros & Xekalaki, Evdokia - Backtesting VaR Models: A Τwo-Stage Procedure (RePEc:pra:mprapa:96327)
by Angelidis, Timotheos & Degiannakis, Stavros - Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model (RePEc:pra:mprapa:96330)
by Degiannakis, Stavros - The Use of GARCH Models in VaR Estimation (RePEc:pra:mprapa:96332)
by Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros - Futures-based forecasts: How useful are they for oil price volatility forecasting? (RePEc:pra:mprapa:96446)
by Chatziantoniou, Ioannis & Degiannakis, Stavros & Filis, George - Superkurtosis (RePEc:pra:mprapa:96563)
by Degiannakis, Stavros & Filis, George & Siourounis, Grigorios & Trapani, Lorenzo - Hedge Ratios in South African Stock Index Futures (RePEc:sae:emffin:v:9:y:2010:i:3:p:285-304)
by Stavros Degiannakis & Christos Floros - The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data (RePEc:sae:enejou:v:35:y:2014:i:1:p:35-56)
by Stavros Degiannakis & George Filis & Renatas Kizys - Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (RePEc:sae:enejou:v:39:y:2018:i:5:p:85-130)
by Stavros Degiannakis & George Filis & Vipin Arora - Oil Price Volatility is Effective in Predicting Food Price Volatility. Or is it? (RePEc:sae:enejou:v:42:y:2021:i:6:p:25-48)
by Ioannis Chatziantoniou & Stavros Degiannakis & George Filis & Tim Lloyd - What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index? (RePEc:sae:enejou:v:44:y:2023:i:5:p:231-250)
by Panagiotis Delis & Stavros Degiannakis & Konstantinos Giannopoulos - On the stationarity of futures hedge ratios (RePEc:spr:operea:v:22:y:2022:i:3:d:10.1007_s12351-020-00607-0)
by Stavros Degiannakis & Christos Floros & Enrique Salvador & Dimitrios Vougas - The D-model for GDP nowcasting (RePEc:spr:sjecst:v:159:y:2023:i:1:d:10.1186_s41937-023-00109-8)
by Stavros Degiannakis - Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component (RePEc:taf:apeclt:v:26:y:2019:i:15:p:1269-1273)
by Stavros Degiannakis & George Filis & Stefanos Tsemperlidis - Unknown item RePEc:taf:apfelt:v:3:y:2007:i:1:p:31-37 (article)
- Unknown item RePEc:taf:apfelt:v:4:y:2008:i:6:p:419-423 (article)
- Unknown item RePEc:taf:apfiec:v:14:y:2004:i:18:p:1333-1342 (article)
- Unknown item RePEc:taf:apfiec:v:17:y:2007:i:2:p:149-171 (article)
- Rolling-sampled parameters of ARCH and Levy-stable models (RePEc:taf:applec:v:40:y:2008:i:23:p:3051-3067)
by Stavros Degiannakis & Alexandra Livada & Epaminondas Panas - Forecasting tourist arrivals using origin country macroeconomics (RePEc:taf:applec:v:48:y:2016:i:27:p:2571-2585)
by Ioannis Chatziantoniou & Stavros Degiannakis & Bruno Eeckels & George Filis - Investments and uncertainty revisited: the case of the US economy (RePEc:taf:applec:v:49:y:2017:i:45:p:4521-4529)
by Stavros Degiannakis & George Filis & George Palaiodimos - ARFIMAX and ARFIMAX-TARCH realized volatility modeling (RePEc:taf:japsta:v:35:y:2008:i:10:p:1169-1180)
by Stavros Degiannakis - Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors (RePEc:taf:japsta:v:43:y:2016:i:5:p:871-892)
by Stavros Degiannakis & Alexandra Livada - Real-time monitoring of carbon monoxide using value-at-risk measure and control charting (RePEc:taf:japsta:v:44:y:2017:i:1:p:89-108)
by Sotirios Bersimis & Stavros Degiannakis & Dimitrios Georgakellos - Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes (RePEc:taf:raflxx:v:3:y:2007:i:1:p:31-37)
by Stavros Degiannakis & Evdokia Xekalaki - SPEC model selection algorithm for ARCH models: an options pricing evaluation framework (RePEc:taf:raflxx:v:4:y:2008:i:6:p:419-423)
by Stavros Degiannakis & Evdokia Xekalaki - The Use of GARCH Models in VaR Estimation (RePEc:uop:wpaper:0048)
by Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis - Predictability and model selection in the context of ARCH models (RePEc:wly:apsmbi:v:21:y:2005:i:1:p:55-82)
by Stavros Degiannakis & Evdokia Xekalaki - Oil and currency volatilities: Co‐movements and hedging opportunities (RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2351-2374)
by Aleksander Olstad & George Filis & Stavros Degiannakis - What matters when developing oil price volatility forecasting frameworks? (RePEc:wly:jforec:v:41:y:2022:i:2:p:361-382)
by Panagiotis Delis & Stavros Degiannakis & George Filis - Stock market as a nowcasting indicator for real investment (RePEc:wly:jforec:v:41:y:2022:i:5:p:911-919)
by Stavros Degiannakis - Superkurtosis (RePEc:wly:jmoncb:v:55:y:2023:i:8:p:2061-2091)
by Stavros Degiannakis & George Filis & Grigorios Siourounis & Lorenzo Trapani