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Details about Stavros Degiannakis

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Homepage:https://scholar.google.com/citations?user=aEnFrQwAAAAJ&hl=da
Workplace:Department of Economic and Regional Development, Panteion University of Social and Political Sciences, (more information at EDIRC)

Access statistics for papers by Stavros Degiannakis.

Last updated 2019-04-05. Update your information in the RePEc Author Service.

Short-id: pde735


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Working Papers

2018

  1. Forecasting European Economic Policy Uncertainty
    BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University Downloads
    See also Journal Article in Scottish Journal of Political Economy (2019)
  2. Oil Price Shocks and Uncertainty: How stable is their relationship over time?
    BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University Downloads
    See also Journal Article in Economic Modelling (2018)
  3. Oil prices and stock markets: A review of the theory and empirical evidence
    BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University Downloads View citations (1)
    See also Journal Article in The Energy Journal (2018)

2017

  1. Earnings Management to Avoid Losses and Earnings Declines in Croatia
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Forecasting oil prices
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  3. Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2015) Downloads

    See also Journal Article in International Review of Financial Analysis (2016)

2016

  1. Forecasting oil price realized volatility: A new approach
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. Hedge Fund Returns under Crisis Scenarios: A Holistic Approach
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Research in International Business and Finance (2017)
  3. 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 Downloads View citations (1)
    See also Journal Article in International Review of Financial Analysis (2017)
  4. The one-trading-day-ahead forecast errors of intra-day realized volatility
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Research in International Business and Finance (2017)

2015

  1. Forecasting Tourist Arrivals Using Origin Country Macroeconomics
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Applied Economics (2016)
  2. Forecasting implied volatility indices worldwide: A new approach
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Intra-Day Realized Volatility for European and USA Stock Indices
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Global Finance Journal (2016)
  4. Investments and uncertainty revisited: The case of the US economy
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Applied Economics (2017)
  5. Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Applied Statistics (2017)
  6. US stock market regimes and oil price shocks
    MPRA Paper, University Library of Munich, Germany Downloads View citations (11)
    See also Journal Article in Global Finance Journal (2015)

2014

  1. 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 Downloads View citations (4)
    See also Journal Article in Manchester School (2014)
  2. Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer?
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Economic Modelling (2016)
  3. Business Cycle Synchronisation in EU: A time-varying approach
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
    See also Journal Article in Scottish Journal of Political Economy (2014)
  4. Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Journal of Economic Studies (2014)

2013

  1. Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Journal of Applied Statistics (2016)
  2. Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
    See also Journal Article in International Review of Financial Analysis (2013)
  3. Modeling CAC40 Volatility Using Ultra-high Frequency Data
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Research in International Business and Finance (2013)
  4. Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment
    MPRA Paper, University Library of Munich, Germany Downloads View citations (22)
  5. Oil price shocks and stock market volatility: evidence from European data
    Working Papers, Bank of Greece Downloads View citations (1)
  6. Oil price shocks and volatility do predict stock market regimes
    Working Papers, Bank of Greece Downloads
  7. Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2013) Downloads View citations (3)

    See also Journal Article in Economic Modelling (2013)
  8. Return dispersion, stock market liquidity and aggregate economic activity
    Working Papers, Bank of Greece Downloads View citations (1)
  9. Time-varying Business Cycles Synchronisation in Europe
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2012

  1. Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article in Managerial Finance (2012)

2010

  1. The Use of GARCH Models in VaR Estimation
    Working Papers, University of Peloponnese, Department of Economics Downloads View citations (31)

2008

  1. ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling
    MPRA Paper, University Library of Munich, Germany Downloads View citations (11)
    See also Journal Article in Journal of Applied Statistics (2008)
  2. Rolling-sampled parameters of ARCH and Levy-stable models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (7)
    See also Journal Article in Applied Economics (2008)
  3. Volatility forecasting: intra-day vs. inter-day models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)

2007

  1. A Robust VaR Model under Different Time Periods and Weighting Schemes
    MPRA Paper, University Library of Munich, Germany Downloads View citations (13)
    See also Journal Article in Review of Quantitative Finance and Accounting (2007)
  2. Backtesting VaR Models: A Τwo-Stage Procedure
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  3. Backtesting VaR Models: An Expected Shortfall Approach
    Working Papers, University of Crete, Department of Economics Downloads View citations (12)

2005

  1. Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market
    MPRA Paper, University Library of Munich, Germany Downloads View citations (11)
    See also Journal Article in Computational Statistics & Data Analysis (2005)
  2. Modeling Risk for Long and Short Trading Positions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)
  3. Predictability and Model Selection in the Context of ARCH Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)
    See also Journal Article in Applied Stochastic Models in Business and Industry (2005)

2004

  1. Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review
    MPRA Paper, University Library of Munich, Germany Downloads View citations (19)
  2. 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 Downloads

Journal Articles

2019

  1. Forecasting European economic policy uncertainty
    Scottish Journal of Political Economy, 2019, 66, (1), 94-114 Downloads
    See also Working Paper (2018)

2018

  1. Forecasting global stock market implied volatility indices
    Journal of Empirical Finance, 2018, 46, (C), 111-129 Downloads View citations (1)
  2. Forecasting oil prices: High-frequency financial data are indeed useful
    Energy Economics, 2018, 76, (C), 388-402 Downloads
  3. Multiple days ahead realized volatility forecasting: Single, combined and average forecasts
    Global Finance Journal, 2018, 36, (C), 41-61 Downloads
  4. Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence
    The Energy Journal, 2018, Volume 39, (Number 5) Downloads
    See also Working Paper (2018)
  5. Oil price shocks and uncertainty: How stable is their relationship over time?
    Economic Modelling, 2018, 72, (C), 42-53 Downloads
    See also Working Paper (2018)

2017

  1. Forecasting oil price realized volatility using information channels from other asset classes
    Journal of International Money and Finance, 2017, 76, (C), 28-49 Downloads View citations (10)
  2. Hedge fund returns under crisis scenarios: A holistic approach
    Research in International Business and Finance, 2017, 42, (C), 1196-1207 Downloads
    See also Working Paper (2016)
  3. Investments and uncertainty revisited: the case of the US economy
    Applied Economics, 2017, 49, (45), 4521-4529 Downloads
    See also Working Paper (2015)
  4. 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 Downloads View citations (1)
    See also Working Paper (2016)
  5. Real-time monitoring of carbon monoxide using value-at-risk measure and control charting
    Journal of Applied Statistics, 2017, 44, (1), 89-108 Downloads
    See also Working Paper (2015)
  6. The one-trading-day-ahead forecast errors of intra-day realized volatility
    Research in International Business and Finance, 2017, 42, (C), 1298-1314 Downloads
    See also Working Paper (2016)

2016

  1. Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer?
    Economic Modelling, 2016, 52, (PB), 551-563 Downloads View citations (5)
    See also Working Paper (2014)
  2. Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors
    Journal of Applied Statistics, 2016, 43, (5), 871-892 Downloads View citations (3)
    See also Working Paper (2013)
  3. Forecasting tourist arrivals using origin country macroeconomics
    Applied Economics, 2016, 48, (27), 2571-2585 Downloads View citations (2)
    See also Working Paper (2015)
  4. Intra-day realized volatility for European and USA stock indices
    Global Finance Journal, 2016, 29, (C), 24-41 Downloads View citations (6)
    See also Working Paper (2015)
  5. 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 Downloads View citations (12)
    See also Working Paper (2017)

2015

  1. A Probit Model for the State of the Greek GDP Growth
    International Journal of Financial Studies, 2015, 3, (3), 1-12 Downloads
  2. US stock market regimes and oil price shocks
    Global Finance Journal, 2015, 28, (C), 132-146 Downloads View citations (11)
    See also Working Paper (2015)

2014

  1. 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 Downloads View citations (5)
    See also Working Paper (2014)
  2. Business Cycle Synchronization in EU: A Time-Varying Approach
    Scottish Journal of Political Economy, 2014, 61, (4), 348-370 Downloads View citations (13)
    See also Working Paper (2014)
  3. 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 Downloads
    See also Working Paper (2014)
  4. The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data
    The Energy Journal, 2014, Volume 35, (Number 1) Downloads View citations (61)

2013

  1. 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 Downloads View citations (9)
    See also Working Paper (2013)
  2. Modeling CAC40 volatility using ultra-high frequency data
    Research in International Business and Finance, 2013, 28, (C), 68-81 Downloads View citations (2)
    See also Working Paper (2013)
  3. 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 Downloads View citations (49)
  4. Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process
    Economic Modelling, 2013, 30, (C), 212-216 Downloads View citations (3)
    See also Working Paper (2013)

2012

  1. Evaluating value-at-risk models before and after the financial crisis of 2008: International evidence
    Managerial Finance, 2012, 38, (4), 436-452 Downloads View citations (2)
    See also Working Paper (2012)

2011

  1. 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 Downloads View citations (195)

2010

  1. Hedge Ratios in South African Stock Index Futures
    Journal of Emerging Market Finance, 2010, 9, (3), 285-304 Downloads View citations (3)

2009

  1. 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 Downloads
  2. 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 Downloads

2008

  1. ARFIMAX and ARFIMAX-TARCH realized volatility modeling
    Journal of Applied Statistics, 2008, 35, (10), 1169-1180 Downloads View citations (16)
    See also Working Paper (2008)
  2. Forecasting one-day-ahead VaR and intra-day realized volatility in the Athens Stock Exchange Market
    Managerial Finance, 2008, 34, (7), 489-497 Downloads View citations (5)
  3. Rolling-sampled parameters of ARCH and Levy-stable models
    Applied Economics, 2008, 40, (23), 3051-3067 Downloads View citations (7)
    See also Working Paper (2008)
  4. SPEC model selection algorithm for ARCH models: an options pricing evaluation framework
    Applied Financial Economics Letters, 2008, 4, (6), 419-423 Downloads
  5. Volatility forecasting: Intra-day versus inter-day models
    Journal of International Financial Markets, Institutions and Money, 2008, 18, (5), 449-465 Downloads View citations (22)

2007

  1. A robust VaR model under different time periods and weighting schemes
    Review of Quantitative Finance and Accounting, 2007, 28, (2), 187-201 Downloads View citations (21)
    See also Working Paper (2007)
  2. 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 Downloads View citations (10)
  3. 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 Downloads

2005

  1. Evaluating volatility forecasts in option pricing in the context of a simulated options market
    Computational Statistics & Data Analysis, 2005, 49, (2), 611-629 Downloads View citations (13)
    See also Working Paper (2005)
  2. Predictability and model selection in the context of ARCH models
    Applied Stochastic Models in Business and Industry, 2005, 21, (1), 55-82 Downloads
    See also Working Paper (2005)

2004

  1. Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model
    Applied Financial Economics, 2004, 14, (18), 1333-1342 Downloads View citations (49)
 
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