Details about Stavros Degiannakis

Access statistics for papers by Stavros Degiannakis.

Last updated 2024-08-13. Update your information in the RePEc Author Service.

Short-id: pde735

Working Papers

2024

1. Determinants of regional business cycle synchronization in Greece
   Working Papers, Bank of Greece

2023

2. Forecasting VIX: The illusion of forecast evaluation criteria
   Working Papers, Bank of Greece View citations (1)
   See also Journal Article Forecasting VIX: the illusion of forecast evaluation criteria, Economics and Business Letters, Oviedo University Press (2023) (2023)
3. Superkurtosis
   Working Papers, Bank of Greece
   Also in MPRA Paper, University Library of Munich, Germany (2019)
   MPRA Paper, University Library of Munich, Germany (2019)
   See also Journal Article Superkurtosis, Journal of Money, Credit and Banking, Blackwell Publishing (2023) (2023)
4. The D-model for GDP nowcasting
   Working Papers, Bank of Greece View citations (1)
   See also Journal Article The D-model for GDP nowcasting, Swiss Journal of Economics and Statistics, Springer (2023) View citations (1) (2023)

2022

5. Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions?
   Working Papers, Bank of Greece

2021

6. Stock market as a nowcasting indicator for real investment
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Stock market as a nowcasting indicator for real investment, Journal of Forecasting, John Wiley & Sons, Ltd. (2022) (2022)
7. What should be taken into consideration when forecasting oil implied volatility index?
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index?, The Energy Journal (2023) (2023)

2020

8. Oil price assumptions for macroeconomic policy
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article Oil price assumptions for macroeconomic policy, Energy Economics, Elsevier (2023) View citations (1) (2023)
9. On the Stationarity of Futures Hedge Ratios
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article On the stationarity of futures hedge ratios, Operational Research, Springer (2022) (2022)

2019

10. Can spillover effects provide forecasting gains? The case of oil price volatility
    MPRA Paper, University Library of Munich, Germany
11. Forecasting European Economic Policy Uncertainty
    MPRA Paper, University Library of Munich, Germany View citations (14)
    Also in BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University (2018)
    See also Journal Article Forecasting European economic policy uncertainty, Scottish Journal of Political Economy, Scottish Economic Society (2019) View citations (14) (2019)
12. Forecasting Realized Volatility of Agricultural Commodities
    MPRA Paper, University Library of Munich, Germany View citations (3)
    See also Journal Article Forecasting realized volatility of agricultural commodities, International Journal of Forecasting, Elsevier (2022) View citations (17) (2022)
13. Futures-based forecasts: How useful are they for oil price volatility forecasting?
    MPRA Paper, University Library of Munich, Germany View citations (13)
    See also Journal Article Futures-based forecasts: How useful are they for oil price volatility forecasting?, Energy Economics, Elsevier (2019) View citations (11) (2019)
14. Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector?
    MPRA Paper, University Library of Munich, Germany View citations (2)
    Also in Working Papers, Bank of Greece (2019)
15. Oil price volatility forecasts: What do investors need to know?
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Oil price volatility forecasts: What do investors need to know?, Journal of International Money and Finance, Elsevier (2022) View citations (9) (2022)

2018

16. Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component
    MPRA Paper, University Library of Munich, Germany
17. Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts
    MPRA Paper, University Library of Munich, Germany View citations (7)
    See also Journal Article Multiple days ahead realized volatility forecasting: Single, combined and average forecasts, Global Finance Journal, Elsevier (2018) View citations (6) (2018)
18. Oil Price Shocks and Uncertainty: How stable is their relationship over time?
    MPRA Paper, University Library of Munich, Germany View citations (79)
    Also in BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University (2018) View citations (79)
    See also Journal Article Oil price shocks and uncertainty: How stable is their relationship over time?, Economic Modelling, Elsevier (2018) View citations (79) (2018)
19. Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence
    MPRA Paper, University Library of Munich, Germany View citations (125)
    Also in BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University (2018) View citations (127)
    See also Journal Article Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence, The Energy Journal, International Association for Energy Economics (2018) View citations (128) (2018)
20. The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets
    MPRA Paper, University Library of Munich, Germany

2017

21. Earnings Management to Avoid Losses and Earnings Declines in Croatia
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Earnings management to avoid losses and earnings declines in Croatia, International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd (2019) View citations (1) (2019)
22. Forecasting oil price realized volatility using information channels from other asset classes
    MPRA Paper, University Library of Munich, Germany View citations (189)
    See also Journal Article Forecasting oil price realized volatility using information channels from other asset classes, Journal of International Money and Finance, Elsevier (2017) View citations (190) (2017)
23. Forecasting oil prices
    MPRA Paper, University Library of Munich, Germany View citations (4)
24. Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries
    MPRA Paper, University Library of Munich, Germany
    Also in MPRA Paper, University Library of Munich, Germany (2015)
    See also Journal Article Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries, International Review of Financial Analysis, Elsevier (2016) View citations (94) (2016)

2016

25. Forecasting oil price realized volatility: A new approach
    MPRA Paper, University Library of Munich, Germany View citations (1)
26. Hedge Fund Returns under Crisis Scenarios: A Holistic Approach
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Hedge fund returns under crisis scenarios: A holistic approach, Research in International Business and Finance, Elsevier (2017) View citations (2) (2017)
27. Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data, International Review of Financial Analysis, Elsevier (2017) View citations (10) (2017)
28. The one-trading-day-ahead forecast errors of intra-day realized volatility
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article The one-trading-day-ahead forecast errors of intra-day realized volatility, Research in International Business and Finance, Elsevier (2017) View citations (1) (2017)

2015

29. A Probit Model for the State of the Greek GDP Growth
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article A Probit Model for the State of the Greek GDP Growth, IJFS, MDPI (2015) (2015)
30. Forecasting Tourist Arrivals Using Origin Country Macroeconomics
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Forecasting tourist arrivals using origin country macroeconomics, Applied Economics, Taylor & Francis Journals (2016) View citations (16) (2016)
31. Forecasting implied volatility indices worldwide: A new approach
    MPRA Paper, University Library of Munich, Germany View citations (1)
32. Intra-Day Realized Volatility for European and USA Stock Indices
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Intra-day realized volatility for European and USA stock indices, Global Finance Journal, Elsevier (2016) View citations (12) (2016)
33. Investments and uncertainty revisited: The case of the US economy
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article Investments and uncertainty revisited: the case of the US economy, Applied Economics, Taylor & Francis Journals (2017) View citations (2) (2017)
34. Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Real-time monitoring of carbon monoxide using value-at-risk measure and control charting, Journal of Applied Statistics, Taylor & Francis Journals (2017) View citations (1) (2017)
35. US stock market regimes and oil price shocks
    MPRA Paper, University Library of Munich, Germany View citations (38)
    See also Journal Article US stock market regimes and oil price shocks, Global Finance Journal, Elsevier (2015) View citations (37) (2015)

2014

36. A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification
    MPRA Paper, University Library of Munich, Germany View citations (9)
    See also Journal Article A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification, Manchester School, University of Manchester (2014) View citations (8) (2014)
37. Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer?
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer?, Economic Modelling, Elsevier (2016) View citations (15) (2016)
38. Business Cycle Synchronisation in EU: A time-varying approach
    MPRA Paper, University Library of Munich, Germany View citations (24)
    See also Journal Article Business Cycle Synchronization in EU: A Time-Varying Approach, Scottish Journal of Political Economy, Scottish Economic Society (2014) View citations (33) (2014)
39. Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices
    MPRA Paper, University Library of Munich, Germany View citations (3)
    See also Journal Article Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices, Journal of Economic Studies, Emerald Group Publishing Limited (2014) View citations (3) (2014)
40. The effects of oil price shocks on stock market volatility: Evidence from European data
    MPRA Paper, University Library of Munich, Germany View citations (134)
    See also Journal Article The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data, The Energy Journal, International Association for Energy Economics (2014) View citations (150) (2014)

2013

41. Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors, Journal of Applied Statistics, Taylor & Francis Journals (2016) View citations (4) (2016)
42. Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence
    MPRA Paper, University Library of Munich, Germany View citations (21)
    See also Journal Article Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence, International Review of Financial Analysis, Elsevier (2013) View citations (20) (2013)
43. Modeling CAC40 Volatility Using Ultra-high Frequency Data
    MPRA Paper, University Library of Munich, Germany View citations (8)
    See also Journal Article Modeling CAC40 volatility using ultra-high frequency data, Research in International Business and Finance, Elsevier (2013) View citations (9) (2013)
44. Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment
    MPRA Paper, University Library of Munich, Germany View citations (80)
45. Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment
    MPRA Paper, University Library of Munich, Germany View citations (108)
    See also Journal Article Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment, Journal of International Financial Markets, Institutions and Money, Elsevier (2013) View citations (107) (2013)
46. Oil price shocks and stock market volatility: evidence from European data
    Working Papers, Bank of Greece View citations (6)
47. Oil price shocks and volatility do predict stock market regimes
    Working Papers, Bank of Greece View citations (1)
48. Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process
    MPRA Paper, University Library of Munich, Germany View citations (12)
    Also in MPRA Paper, University Library of Munich, Germany (2013) View citations (12)
    See also Journal Article Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process, Economic Modelling, Elsevier (2013) View citations (12) (2013)
49. Return dispersion, stock market liquidity and aggregate economic activity
    Working Papers, Bank of Greece View citations (1)
50. Time-varying Business Cycles Synchronisation in Europe
    MPRA Paper, University Library of Munich, Germany View citations (3)

2012

51. Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence
    MPRA Paper, University Library of Munich, Germany View citations (15)

2011

52. Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries
    MPRA Paper, University Library of Munich, Germany View citations (463)
    See also Journal Article Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries, International Review of Financial Analysis, Elsevier (2011) View citations (431) (2011)

2010

53. Hedge Ratios in South African Stock Index Futures
    MPRA Paper, University Library of Munich, Germany View citations (7)
    See also Journal Article Hedge Ratios in South African Stock Index Futures, Journal of Emerging Market Finance, Institute for Financial Management and Research (2010) View citations (9) (2010)
54. The Use of GARCH Models in VaR Estimation
    Working Papers, University of Peloponnese, Department of Economics
    Also in MPRA Paper, University Library of Munich, Germany (2004) View citations (115)
55. VIX Index in Interday and Intraday Volatility Models
    MPRA Paper, University Library of Munich, Germany

2009

56. 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
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article 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, International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd (2009) View citations (1) (2009)
57. Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets, International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd (2009) (2009)

2008

58. ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling
    MPRA Paper, University Library of Munich, Germany View citations (22)
    See also Journal Article ARFIMAX and ARFIMAX-TARCH realized volatility modeling, Journal of Applied Statistics, Taylor & Francis Journals (2008) View citations (26) (2008)
59. Forecasting Vix
    MPRA Paper, University Library of Munich, Germany View citations (9)
60. Rolling-sampled parameters of ARCH and Levy-stable models
    MPRA Paper, University Library of Munich, Germany View citations (12)
    See also Journal Article Rolling-sampled parameters of ARCH and Levy-stable models, Applied Economics, Taylor & Francis Journals (2008) View citations (12) (2008)
61. SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article SPEC model selection algorithm for ARCH models: an options pricing evaluation framework, Applied Financial Economics Letters, Taylor & Francis Journals (2008) (2008)
62. Volatility forecasting: Intra-day versus inter-day models
    MPRA Paper, University Library of Munich, Germany View citations (30)
    See also Journal Article Volatility forecasting: Intra-day versus inter-day models, Journal of International Financial Markets, Institutions and Money, Elsevier (2008) View citations (34) (2008)
63. Volatility forecasting: intra-day vs. inter-day models
    MPRA Paper, University Library of Munich, Germany View citations (5)

2007

64. A Robust VaR Model under Different Time Periods and Weighting Schemes
    MPRA Paper, University Library of Munich, Germany View citations (29)
    See also Journal Article A robust VaR model under different time periods and weighting schemes, Review of Quantitative Finance and Accounting, Springer (2007) View citations (31) (2007)
65. Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models
    MPRA Paper, University Library of Munich, Germany View citations (7)
    See also Journal Article Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models, Applied Financial Economics, Taylor & Francis Journals (2007) View citations (13) (2007)
66. Backtesting VaR Models: A Τwo-Stage Procedure
    MPRA Paper, University Library of Munich, Germany
    Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (11)
67. Backtesting VaR Models: An Expected Shortfall Approach
    Working Papers, University of Crete, Department of Economics View citations (14)
68. Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes, Applied Financial Economics Letters, Taylor & Francis Journals (2007) (2007)

2005

69. Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market
    MPRA Paper, University Library of Munich, Germany View citations (19)
    See also Journal Article Evaluating volatility forecasts in option pricing in the context of a simulated options market, Computational Statistics & Data Analysis, Elsevier (2005) View citations (19) (2005)
70. Modeling Risk for Long and Short Trading Positions
    MPRA Paper, University Library of Munich, Germany View citations (10)
    See also Journal Article Modeling risk for long and short trading positions, Journal of Risk Finance, Emerald Group Publishing Limited (2005) (2005)
71. Predictability and Model Selection in the Context of ARCH Models
    MPRA Paper, University Library of Munich, Germany View citations (10)
    See also Journal Article Predictability and model selection in the context of ARCH models, Applied Stochastic Models in Business and Industry, John Wiley & Sons (2005) View citations (8) (2005)

2004

72. Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review
    MPRA Paper, University Library of Munich, Germany View citations (28)
73. Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model
    MPRA Paper, University Library of Munich, Germany
74. Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model
    MPRA Paper, University Library of Munich, Germany View citations (59)
    See also Journal Article Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model, Applied Financial Economics, Taylor & Francis Journals (2004) View citations (61) (2004)

Journal Articles

2024

1. Business Cycles Synchronization: Literature Review
   Journal of Economic Analysis, 2024, 3, (4), 222-249

2023

2. Forecasting VIX: the illusion of forecast evaluation criteria
   Economics and Business Letters, 2023, 12, (3), 231-240
   See also Working Paper Forecasting VIX: The illusion of forecast evaluation criteria, Working Papers (2023) View citations (1) (2023)
3. Oil price assumptions for macroeconomic policy
   Energy Economics, 2023, 117, (C) View citations (1)
   See also Working Paper Oil price assumptions for macroeconomic policy, MPRA Paper (2020) View citations (1) (2020)
4. Superkurtosis
   Journal of Money, Credit and Banking, 2023, 55, (8), 2061-2091
   See also Working Paper Superkurtosis, Working Papers (2023) (2023)
5. The D-model for GDP nowcasting
   Swiss Journal of Economics and Statistics, 2023, 159, (1), 1-33 View citations (1)
   See also Working Paper The D-model for GDP nowcasting, Working Papers (2023) View citations (1) (2023)
6. What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index?
   The Energy Journal, 2023, 44, (5), 231-250
   See also Working Paper What should be taken into consideration when forecasting oil implied volatility index?, MPRA Paper (2021) (2021)

2022

7. An alternative approach to detect earnings management to meet or beat benchmarks
   Journal of Accounting Literature, 2022, 45, (1), 64-99
8. Forecasting realized volatility of agricultural commodities
   International Journal of Forecasting, 2022, 38, (1), 74-96 View citations (17)
   See also Working Paper Forecasting Realized Volatility of Agricultural Commodities, MPRA Paper (2019) View citations (3) (2019)
9. Forecasting the Oil Volatility Index Using Factors of Uncertainty
   Asian Journal of Economics and Empirical Research, 2022, 9, (1), 13-20
10. Oil price volatility forecasts: What do investors need to know?
    Journal of International Money and Finance, 2022, 123, (C) View citations (9)
    See also Working Paper Oil price volatility forecasts: What do investors need to know?, MPRA Paper (2019) (2019)
11. On the stationarity of futures hedge ratios
    Operational Research, 2022, 22, (3), 2281-2303
    See also Working Paper On the Stationarity of Futures Hedge Ratios, MPRA Paper (2020) (2020)
12. Stock market as a nowcasting indicator for real investment
    Journal of Forecasting, 2022, 41, (5), 911-919
    See also Working Paper Stock market as a nowcasting indicator for real investment, MPRA Paper (2021) (2021)
13. What matters when developing oil price volatility forecasting frameworks?
    Journal of Forecasting, 2022, 41, (2), 361-382 View citations (1)

2021

14. Forecasting oil price volatility using spillover effects from uncertainty indices
    Finance Research Letters, 2021, 42, (C) View citations (13)
15. Oil Price Volatility is Effective in Predicting Food Price Volatility. Or is it?
    The Energy Journal, 2021, 42, (6), 25-48
    Also in The Energy Journal, 2021, Volume 42, (Number 6) (2021) View citations (6)
16. Oil and currency volatilities: Co‐movements and hedging opportunities
    International Journal of Finance & Economics, 2021, 26, (2), 2351-2374 View citations (1)

2020

17. Oil and pump prices: Testing their asymmetric relationship in a robust way
    Energy Economics, 2020, 88, (C) View citations (8)

2019

18. Earnings management to avoid losses and earnings declines in Croatia
    International Journal of Computational Economics and Econometrics, 2019, 9, (3), 219-238 View citations (1)
    See also Working Paper Earnings Management to Avoid Losses and Earnings Declines in Croatia, MPRA Paper (2017) View citations (1) (2017)
19. Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component
    Applied Economics Letters, 2019, 26, (15), 1269-1273 View citations (1)
20. Forecasting European economic policy uncertainty
    Scottish Journal of Political Economy, 2019, 66, (1), 94-114 View citations (14)
    See also Working Paper Forecasting European Economic Policy Uncertainty, MPRA Paper (2019) View citations (14) (2019)
21. Futures-based forecasts: How useful are they for oil price volatility forecasting?
    Energy Economics, 2019, 81, (C), 639-649 View citations (11)
    See also Working Paper Futures-based forecasts: How useful are they for oil price volatility forecasting?, MPRA Paper (2019) View citations (13) (2019)

2018

22. Forecasting global stock market implied volatility indices
    Journal of Empirical Finance, 2018, 46, (C), 111-129 View citations (24)
23. Forecasting oil prices: High-frequency financial data are indeed useful
    Energy Economics, 2018, 76, (C), 388-402 View citations (36)
24. Multiple days ahead realized volatility forecasting: Single, combined and average forecasts
    Global Finance Journal, 2018, 36, (C), 41-61 View citations (6)
    See also Working Paper Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts, MPRA Paper (2018) View citations (7) (2018)
25. Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence
    The Energy Journal, 2018, Volume 39, (Number 5) View citations (128)
    Also in The Energy Journal, 2018, 39, (5), 85-130 (2018) View citations (2)
    See also Working Paper Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence, MPRA Paper (2018) View citations (125) (2018)
26. Oil price shocks and uncertainty: How stable is their relationship over time?
    Economic Modelling, 2018, 72, (C), 42-53 View citations (79)
    See also Working Paper Oil Price Shocks and Uncertainty: How stable is their relationship over time?, MPRA Paper (2018) View citations (79) (2018)

2017

27. Forecasting oil price realized volatility using information channels from other asset classes
    Journal of International Money and Finance, 2017, 76, (C), 28-49 View citations (190)
    See also Working Paper Forecasting oil price realized volatility using information channels from other asset classes, MPRA Paper (2017) View citations (189) (2017)
28. Hedge fund returns under crisis scenarios: A holistic approach
    Research in International Business and Finance, 2017, 42, (C), 1196-1207 View citations (2)
    See also Working Paper Hedge Fund Returns under Crisis Scenarios: A Holistic Approach, MPRA Paper (2016) View citations (1) (2016)
29. Investments and uncertainty revisited: the case of the US economy
    Applied Economics, 2017, 49, (45), 4521-4529 View citations (2)
    See also Working Paper Investments and uncertainty revisited: The case of the US economy, MPRA Paper (2015) View citations (2) (2015)
30. Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data
    International Review of Financial Analysis, 2017, 49, (C), 176-190 View citations (10)
    See also Working Paper Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data, MPRA Paper (2016) View citations (1) (2016)
31. Real-time monitoring of carbon monoxide using value-at-risk measure and control charting
    Journal of Applied Statistics, 2017, 44, (1), 89-108 View citations (1)
    See also Working Paper Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting, MPRA Paper (2015) (2015)
32. The one-trading-day-ahead forecast errors of intra-day realized volatility
    Research in International Business and Finance, 2017, 42, (C), 1298-1314 View citations (1)
    See also Working Paper The one-trading-day-ahead forecast errors of intra-day realized volatility, MPRA Paper (2016) (2016)

2016

33. Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer?
    Economic Modelling, 2016, 52, (PB), 551-563 View citations (15)
    See also Working Paper Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer?, MPRA Paper (2014) View citations (1) (2014)
34. Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors
    Journal of Applied Statistics, 2016, 43, (5), 871-892 View citations (4)
    See also Working Paper Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors, MPRA Paper (2013) (2013)
35. Forecasting tourist arrivals using origin country macroeconomics
    Applied Economics, 2016, 48, (27), 2571-2585 View citations (16)
    See also Working Paper Forecasting Tourist Arrivals Using Origin Country Macroeconomics, MPRA Paper (2015) (2015)
36. Intra-day realized volatility for European and USA stock indices
    Global Finance Journal, 2016, 29, (C), 24-41 View citations (12)
    See also Working Paper Intra-Day Realized Volatility for European and USA Stock Indices, MPRA Paper (2015) (2015)
37. Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries
    International Review of Financial Analysis, 2016, 48, (C), 209-220 View citations (94)
    See also Working Paper Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries, MPRA Paper (2017) (2017)

2015

38. A Probit Model for the State of the Greek GDP Growth
    IJFS, 2015, 3, (3), 1-12
    See also Working Paper A Probit Model for the State of the Greek GDP Growth, MPRA Paper (2015) (2015)
39. US stock market regimes and oil price shocks
    Global Finance Journal, 2015, 28, (C), 132-146 View citations (37)
    See also Working Paper US stock market regimes and oil price shocks, MPRA Paper (2015) View citations (38) (2015)

2014

40. A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification
    Manchester School, 2014, 82, (1), 71-102 View citations (8)
    See also Working Paper A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification, MPRA Paper (2014) View citations (9) (2014)
41. Business Cycle Synchronization in EU: A Time-Varying Approach
    Scottish Journal of Political Economy, 2014, 61, (4), 348-370 View citations (33)
    See also Working Paper Business Cycle Synchronisation in EU: A time-varying approach, MPRA Paper (2014) View citations (24) (2014)
42. Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices
    Journal of Economic Studies, 2014, 41, (2), 216-232 View citations (3)
    See also Working Paper Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices, MPRA Paper (2014) View citations (3) (2014)
43. The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data
    The Energy Journal, 2014, Volume 35, (Number 1) View citations (150)
    Also in The Energy Journal, 2014, 35, (1), 35-56 (2014) View citations (2)
    See also Working Paper The effects of oil price shocks on stock market volatility: Evidence from European data, MPRA Paper (2014) View citations (134) (2014)

2013

44. Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence
    International Review of Financial Analysis, 2013, 27, (C), 21-33 View citations (20)
    See also Working Paper Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence, MPRA Paper (2013) View citations (21) (2013)
45. Modeling CAC40 volatility using ultra-high frequency data
    Research in International Business and Finance, 2013, 28, (C), 68-81 View citations (9)
    See also Working Paper Modeling CAC40 Volatility Using Ultra-high Frequency Data, MPRA Paper (2013) View citations (8) (2013)
46. Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment
    Journal of International Financial Markets, Institutions and Money, 2013, 26, (C), 175-191 View citations (107)
    See also Working Paper Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment, MPRA Paper (2013) View citations (108) (2013)
47. Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process
    Economic Modelling, 2013, 30, (C), 212-216 View citations (12)
    See also Working Paper Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process, MPRA Paper (2013) View citations (12) (2013)

2011

48. Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries
    International Review of Financial Analysis, 2011, 20, (3), 152-164 View citations (431)
    See also Working Paper Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries, MPRA Paper (2011) View citations (463) (2011)

2010

49. Hedge Ratios in South African Stock Index Futures
    Journal of Emerging Market Finance, 2010, 9, (3), 285-304 View citations (9)
    See also Working Paper Hedge Ratios in South African Stock Index Futures, MPRA Paper (2010) View citations (7) (2010)

2009

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
    International Journal of Computational Economics and Econometrics, 2009, 1, (1), 89-110 View citations (1)
    See also Working Paper 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, MPRA Paper (2009) View citations (1) (2009)
51. Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets
    International Journal of Financial Markets and Derivatives, 2009, 1, (1), 96-123
    See also Working Paper Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets, MPRA Paper (2009) (2009)

2008

52. ARFIMAX and ARFIMAX-TARCH realized volatility modeling
    Journal of Applied Statistics, 2008, 35, (10), 1169-1180 View citations (26)
    See also Working Paper ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling, MPRA Paper (2008) View citations (22) (2008)
53. Rolling-sampled parameters of ARCH and Levy-stable models
    Applied Economics, 2008, 40, (23), 3051-3067 View citations (12)
    See also Working Paper Rolling-sampled parameters of ARCH and Levy-stable models, MPRA Paper (2008) View citations (12) (2008)
54. SPEC model selection algorithm for ARCH models: an options pricing evaluation framework
    Applied Financial Economics Letters, 2008, 4, (6), 419-423
    See also Working Paper SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework, MPRA Paper (2008) (2008)
55. Volatility forecasting: Intra-day versus inter-day models
    Journal of International Financial Markets, Institutions and Money, 2008, 18, (5), 449-465 View citations (34)
    See also Working Paper Volatility forecasting: Intra-day versus inter-day models, MPRA Paper (2008) View citations (30) (2008)

2007

56. A robust VaR model under different time periods and weighting schemes
    Review of Quantitative Finance and Accounting, 2007, 28, (2), 187-201 View citations (31)
    See also Working Paper A Robust VaR Model under Different Time Periods and Weighting Schemes, MPRA Paper (2007) View citations (29) (2007)
57. Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models
    Applied Financial Economics, 2007, 17, (2), 149-171 View citations (13)
    See also Working Paper Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models, MPRA Paper (2007) View citations (7) (2007)
58. Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes
    Applied Financial Economics Letters, 2007, 3, (1), 31-37
    See also Working Paper Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes, MPRA Paper (2007) (2007)

2005

59. Evaluating volatility forecasts in option pricing in the context of a simulated options market
    Computational Statistics & Data Analysis, 2005, 49, (2), 611-629 View citations (19)
    See also Working Paper Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market, MPRA Paper (2005) View citations (19) (2005)
60. Modeling risk for long and short trading positions
    Journal of Risk Finance, 2005, 6, (3), 226-238
    See also Working Paper Modeling Risk for Long and Short Trading Positions, MPRA Paper (2005) View citations (10) (2005)
61. Predictability and model selection in the context of ARCH models
    Applied Stochastic Models in Business and Industry, 2005, 21, (1), 55-82 View citations (8)
    See also Working Paper Predictability and Model Selection in the Context of ARCH Models, MPRA Paper (2005) View citations (10) (2005)

2004

62. Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model
    Applied Financial Economics, 2004, 14, (18), 1333-1342 View citations (61)
    See also Working Paper Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model, MPRA Paper (2004) View citations (59) (2004)

Books

2015

1. Modelling and Forecasting High Frequency Financial Data
   Palgrave Macmillan Books, Palgrave Macmillan View citations (11)

Chapters

2015

1. Intraday Hedge Ratios and Option Pricing
   Palgrave Macmillan
2. Intraday Realized Volatility Measures
   Palgrave Macmillan
3. Introduction to High Frequency Financial Modelling
   Palgrave Macmillan
4. Methods of Volatility Estimation and Forecasting
   Palgrave Macmillan View citations (1)
5. Multiple Model Comparison and Hypothesis Framework Construction
   Palgrave Macmillan
6. Realized Volatility Forecasting: Applications
   Palgrave Macmillan
7. Recent Methods: A Review
   Palgrave Macmillan