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Number of items: 40.

2004

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.

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.

2005

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.

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.

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.

2007

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 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.

2008

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 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.

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.

2012

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.

2013

Degiannakis, Stavros and Floros, Christos and Dent, Pamela (2013): Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence. Published in: International Review of Financial Analysis No. 27 (2013): pp. 21-33.

Degiannakis, Stavros and Floros, Christos (2013): Modeling CAC40 Volatility Using Ultra-high Frequency Data. Published in: Research in International Business and Finance No. 28 (2013): pp. 68-81.

Degiannakis, Stavros and Filis, George and Floros, Christos (2013): Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment. Published in: Journal of International Financial Markets, Institutions & Money , Vol. 1, No. 26 (2013): pp. 175-191.

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.

15 October 2013

Degiannakis, Stavros and Duffy, David and Filis, George (2013): Time-varying Business Cycles Synchronisation in Europe. Forthcoming in: Scottish Journal of Political Economy , Vol. N/A, No. not known yet

November 2013

Degiannakis, Stavros and Livada, Alexandra (2013): Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors. Forthcoming in: Journal of Applied Statistics (2015)

2014

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 Dent, Pamela and Floros, Christos (2014): A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification. Published in: The Manchester School , Vol. 1, No. 82 (2014): pp. 71-102.

Degiannakis, Stavros and Kiohos, Apostolos (2014): Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices. Published in: Journal of Economic Studies , Vol. 2, No. 41 (2014): pp. 216-232.

April 2014

Degiannakis, Stavros and Floros, Christos (2014): Intra-Day Realized Volatility for European and USA Stock Indices. Forthcoming in: Global Finance Journal

September 2014

Degiannakis, Stavros and Duffy, David and Filis, George and Livada, Alexandra (2014): Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer? Forthcoming in: Economic Modelling

2015

Angelidis, Timotheos and Degiannakis, Stavros and Filis, George (2015): US stock market regimes and oil price shocks. Published in: Global Finance Journal No. 28 (2015): pp. 132-146.

1 January 2015

Bersimis, Sotirios and Degiannakis, Stavros and Georgakellos, Dimitrios (2015): Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting.

1 July 2015

Degiannakis, Stavros and Filis, George and Palaiodimos, George (2015): Investments and uncertainty revisited: The case of the US economy.

1 September 2015

Degiannakis, Stavros and Filis, George and Hassani, Hossein (2015): Forecasting implied volatility indices worldwide: A new approach.

1 October 2015

Boldanov, Rustam and Degiannakis, Stavros and Filis, George (2015): Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries.

15 November 2015

Chatziantoniou, Ioannis and Degiannakis, Stavros and Eeckels, Bruno and Filis, George (2015): Forecasting Tourist Arrivals Using Origin Country Macroeconomics. Forthcoming in: Applied Economics

January 2016

Degiannakis, Stavros (2016): The one-trading-day-ahead forecast errors of intra-day realized volatility. Forthcoming in: Research in international business and finance

1 January 2016

Degiannakis, Stavros and Potamia, Artemis (2016): Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data. Forthcoming in: International Review of Financial Analysis

29 January 2016

Degiannakis, Stavros and Filis, George (2016): Forecasting oil price realized volatility: A new approach.

October 2016

Stoforos, Chrysostomos and Degiannakis, Stavros and Palaskas, Theodosios (2016): Hedge Fund Returns under Crisis Scenarios: A Holistic Approach. Forthcoming in: Research in international business and finance

2017

Degiannakis, Stavros and Giannopoulos, George and Ibrahim, Salma and Rozic, Ivana (2017): Earnings Management to Avoid Losses and Earnings Declines in Croatia.

Boldanov, Rustam and Degiannakis, Stavros and Filis, George (2017): Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries. Published in: International Review of Financial Analysis No. 48 (2017): pp. 209-220.

14 March 2018

Degiannakis, Stavros and Filis, George (2018): Forecasting oil prices.

14 November 2018

Degiannakis, Stavros and Filis, George and Tsemperlidis, Stefanos (2018): Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component. Published in: Applied Economics Letters

14 January 2019

Degiannakis, Stavros and Filis, George and Siourounis, Grigorios and Trapani, Lorenzo (2019): Superkurtosis.

6 May 2019

Bragoudakis, Zacharias and Degiannakis, Stavros and Filis, George (2019): Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector?

11 June 2019

Degiannakis, Stavros and Filis, George (2019): Oil price volatility forecasts: What do investors need to know?

This list was generated on Sat Aug 17 20:11:44 2019 CEST.
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