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Number of items: 17.

A

Angelidis, Timotheos and Benos, Alexandros and Degiannakis, Stavros (2007): A Robust VaR Model under Different Time Periods and Weighting Schemes. Published in: Review of Quantitative Finance and Accounting , Vol. 2, No. 28 (2007): pp. 187-201.

Angelidis, Timotheos and Benos, Alexandros and Degiannakis, Stavros (2004): The Use of GARCH Models in VaR Estimation. Published in: Statistical Methodology , Vol. 2, No. 1 (2004): pp. 105-128.

Angelidis, Timotheos and Degiannakis, Stavros (2007): Backtesting VaR Models: A Τwo-Stage Procedure. Published in: Journal of Risk Model Validation , Vol. 1, No. 2 (June 2007): pp. 27-48.

Angelidis, Timotheos and Degiannakis, Stavros (2008): Volatility forecasting: intra-day vs. inter-day models. Published in: Journal of International Financial Markets Institutions and Money No. 18 (2008): pp. 449-465.

Angelidis, Timotheos and Degiannakis, Stavros (2007): Backtesting VaR Models: A Τwo-Stage Procedure. Published in: Journal of Risk Model Validation , Vol. 2, No. 1 (2007): pp. 27-48.

Angelidis, Timotheos and Degiannakis, Stavros (2005): Modeling Risk for Long and Short Trading Positions. Published in: Journal of Risk Finance , Vol. 3, No. 6 (2005): pp. 226-238.

D

Degiannakis, Stavros (2008): ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling. Published in: Journal of Applied Statistics , Vol. 10, No. 35 (2008): pp. 1169-1180.

Degiannakis, Stavros (2004): Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model. Published in: Applied Financial Economics No. 14 (2004): pp. 1333-1342.

Degiannakis, Stavros (2008): Forecasting Vix. Published in: Journal of Money, Investment and Banking No. 4 (2008): pp. 5-19.

Degiannakis, Stavros and Duffy, David and Filis, George (2014): Business Cycle Synchronisation in EU: A time-varying approach. Published in: Scottish Journal of Political Economy , Vol. 4, No. 61 (2014): pp. 348-370.

Degiannakis, Stavros and Floros, Christos and Livada, Alexandra (2012): Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence. Published in: Managerial Finance , Vol. 4, No. 38 (2012): pp. 436-452.

Degiannakis, Stavros and Livada, Alexandra (2013): Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process. Published in: Economic Modelling No. 30 (2013): pp. 212-216.

Degiannakis, Stavros and Livada, Alexandra (2013): Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process. Published in: Economic Modelling No. 30 (2013): pp. 212-216.

Degiannakis, Stavros and Livada, Alexandra and Panas, Epaminondas (2008): Rolling-sampled parameters of ARCH and Levy-stable models. Published in: Applied Economics , Vol. 23, No. 40 (2008): pp. 3051-3067.

Degiannakis, Stavros and Xekalaki, Evdokia (2005): Predictability and Model Selection in the Context of ARCH Models. Published in: Journal of Applied Stochastic Models in Business and Industry No. 21 (2005): pp. 55-82.

Degiannakis, Stavros and Xekalaki, Evdokia (2004): Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review. Published in: Quality Technology and Quantitative Management , Vol. 1, No. 2 (2004): pp. 271-324.

X

Xekalaki, Evdokia and Degiannakis, Stavros (2005): Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market. Published in: Computational Statistics and Data Analysis , Vol. 2, No. 49 (2005): pp. 611-629.

This list was generated on Fri Jan 22 18:16:20 2021 CET.
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