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Details about Stavros Degiannakis

E-mail:
Homepage:https://scholar.google.com/citations?user=aEnFrQwAAAAJ&hl=en
Postal address:136, Andrea Siggrou Avenue, Athens, Greece
Workplace:Department of Economic and Regional Development, Panteion University of Social and Political Sciences, (more information at EDIRC)
Bank of Greece, (more information at EDIRC)

Access statistics for papers by Stavros Degiannakis.

Last updated 2021-09-08. Update your information in the RePEc Author Service.

Short-id: pde735


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Working Papers

2020

  1. Oil price assumptions for macroeconomic policy
    MPRA Paper, University Library of Munich, Germany Downloads
  2. On the Stationarity of Futures Hedge Ratios
    MPRA Paper, University Library of Munich, Germany Downloads

2019

  1. Can spillover effects provide forecasting gains? The case of oil price volatility
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Forecasting European Economic Policy Uncertainty
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
    Also in BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University (2018) Downloads

    See also Journal Article in Scottish Journal of Political Economy (2019)
  3. Forecasting Realized Volatility of Agricultural Commodities
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  4. Futures-based forecasts: How useful are they for oil price volatility forecasting?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
    See also Journal Article in Energy Economics (2019)
  5. Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    Also in Working Papers, Bank of Greece (2019) Downloads
  6. Oil price volatility forecasts: What do investors need to know?
    MPRA Paper, University Library of Munich, Germany Downloads
  7. Superkurtosis
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2019) Downloads

2018

  1. Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
    See also Journal Article in Global Finance Journal (2018)
  3. Oil Price Shocks and Uncertainty: How stable is their relationship over time?
    BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University Downloads View citations (31)
    Also in MPRA Paper, University Library of Munich, Germany (2018) Downloads View citations (31)

    See also Journal Article in Economic Modelling (2018)
  4. Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence
    MPRA Paper, University Library of Munich, Germany Downloads View citations (36)
    Also in BAFES Working Papers, Department of Accounting, Finance & Economic, Bournemouth University (2018) Downloads View citations (37)

    See also Journal Article in The Energy Journal (2018)
  5. The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets
    MPRA Paper, University Library of Munich, Germany Downloads

2017

  1. Earnings Management to Avoid Losses and Earnings Declines in Croatia
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. Forecasting oil price realized volatility using information channels from other asset classes
    MPRA Paper, University Library of Munich, Germany Downloads View citations (68)
    See also Journal Article in Journal of International Money and Finance (2017)
  3. Forecasting oil prices
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  4. 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 View citations (1)
    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. A Probit Model for the State of the Greek GDP Growth
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in International Journal of Financial Studies (2015)
  2. Forecasting Tourist Arrivals Using Origin Country Macroeconomics
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Applied Economics (2016)
  3. Forecasting implied volatility indices worldwide: A new approach
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  4. 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)
  5. Investments and uncertainty revisited: The case of the US economy
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Applied Economics (2017)
  6. 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)
  7. US stock market regimes and oil price shocks
    MPRA Paper, University Library of Munich, Germany Downloads View citations (27)
    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 (8)
    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 View citations (1)
    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 (11)
    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)
  5. The effects of oil price shocks on stock market volatility: Evidence from European data
    MPRA Paper, University Library of Munich, Germany Downloads View citations (87)
    See also Journal Article in The Energy Journal (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 (13)
    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 View citations (1)
    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 (50)
  5. Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment
    MPRA Paper, University Library of Munich, Germany Downloads View citations (77)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2013)
  6. Oil price shocks and stock market volatility: evidence from European data
    Working Papers, Bank of Greece Downloads View citations (1)
  7. Oil price shocks and volatility do predict stock market regimes
    Working Papers, Bank of Greece Downloads
  8. 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 (6)
    Also in MPRA Paper, University Library of Munich, Germany (2013) Downloads View citations (6)

    See also Journal Article in Economic Modelling (2013)
  9. Return dispersion, stock market liquidity and aggregate economic activity
    Working Papers, Bank of Greece Downloads View citations (1)
  10. Time-varying Business Cycles Synchronisation in Europe
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)

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 (4)
    See also Journal Article in Managerial Finance (2012)

2011

  1. Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries
    MPRA Paper, University Library of Munich, Germany Downloads View citations (306)
    See also Journal Article in International Review of Financial Analysis (2011)

2010

  1. Hedge Ratios in South African Stock Index Futures
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
    See also Journal Article in Journal of Emerging Market Finance (2010)
  2. The Use of GARCH Models in VaR Estimation
    Working Papers, University of Peloponnese, Department of Economics Downloads View citations (31)
    Also in MPRA Paper, University Library of Munich, Germany (2004) Downloads View citations (93)
  3. VIX Index in Interday and Intraday Volatility Models
    MPRA Paper, University Library of Munich, Germany Downloads

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
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in International Journal of Computational Economics and Econometrics (2009)
  2. 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 Downloads
    See also Journal Article in International Journal of Financial Markets and Derivatives (2009)

2008

  1. ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling
    MPRA Paper, University Library of Munich, Germany Downloads View citations (19)
    See also Journal Article in Journal of Applied Statistics (2008)
  2. Forecasting Vix
    MPRA Paper, University Library of Munich, Germany Downloads View citations (9)
  3. Rolling-sampled parameters of ARCH and Levy-stable models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)
    See also Journal Article in Applied Economics (2008)
  4. SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Applied Financial Economics Letters (2008)
  5. Volatility forecasting: Intra-day versus inter-day models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (25)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2008)
  6. Volatility forecasting: intra-day vs. inter-day models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)

2007

  1. A Robust VaR Model under Different Time Periods and Weighting Schemes
    MPRA Paper, University Library of Munich, Germany Downloads View citations (19)
    See also Journal Article in Review of Quantitative Finance and Accounting (2007)
  2. Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (7)
    See also Journal Article in Applied Financial Economics (2007)
  3. Backtesting VaR Models: A Τwo-Stage Procedure
    MPRA Paper, University Library of Munich, Germany Downloads View citations (11)
    Also in MPRA Paper, University Library of Munich, Germany (2007) Downloads
  4. Backtesting VaR Models: An Expected Shortfall Approach
    Working Papers, University of Crete, Department of Economics Downloads View citations (14)
  5. Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Applied Financial Economics Letters (2007)

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 (18)
    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 (9)
  3. Predictability and Model Selection in the Context of ARCH Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (12)
    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 (25)
  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
  3. Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model
    MPRA Paper, University Library of Munich, Germany Downloads View citations (53)
    See also Journal Article in Applied Financial Economics (2004)

Journal Articles

2021

  1. Oil and currency volatilities: Co‐movements and hedging opportunities
    International Journal of Finance & Economics, 2021, 26, (2), 2351-2374 Downloads

2020

  1. Oil and pump prices: Testing their asymmetric relationship in a robust way
    Energy Economics, 2020, 88, (C) Downloads View citations (1)

2019

  1. Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component
    Applied Economics Letters, 2019, 26, (15), 1269-1273 Downloads
  2. Forecasting European economic policy uncertainty
    Scottish Journal of Political Economy, 2019, 66, (1), 94-114 Downloads View citations (6)
    See also Working Paper (2019)
  3. Futures-based forecasts: How useful are they for oil price volatility forecasting?
    Energy Economics, 2019, 81, (C), 639-649 Downloads View citations (6)
    See also Working Paper (2019)

2018

  1. Forecasting global stock market implied volatility indices
    Journal of Empirical Finance, 2018, 46, (C), 111-129 Downloads View citations (8)
  2. Forecasting oil prices: High-frequency financial data are indeed useful
    Energy Economics, 2018, 76, (C), 388-402 Downloads View citations (17)
  3. Multiple days ahead realized volatility forecasting: Single, combined and average forecasts
    Global Finance Journal, 2018, 36, (C), 41-61 Downloads View citations (4)
    See also Working Paper (2018)
  4. Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence
    The Energy Journal, 2018, Volume 39, (Number 5) Downloads View citations (38)
    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 View citations (31)
    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 (68)
    See also Working Paper (2017)
  2. Hedge fund returns under crisis scenarios: A holistic approach
    Research in International Business and Finance, 2017, 42, (C), 1196-1207 Downloads View citations (1)
    See also Working Paper (2016)
  3. Investments and uncertainty revisited: the case of the US economy
    Applied Economics, 2017, 49, (45), 4521-4529 Downloads View citations (1)
    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 (3)
    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 View citations (1)
    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 (12)
    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 (4)
    See also Working Paper (2013)
  3. Forecasting tourist arrivals using origin country macroeconomics
    Applied Economics, 2016, 48, (27), 2571-2585 Downloads View citations (5)
    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 (11)
    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 (50)
    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
    See also Working Paper (2015)
  2. US stock market regimes and oil price shocks
    Global Finance Journal, 2015, 28, (C), 132-146 Downloads View citations (28)
    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 (7)
    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 (19)
    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 (102)
    See also Working Paper (2014)

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 (14)
    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 (4)
    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 (77)
    See also Working Paper (2013)
  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 (6)
    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 (5)
    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 (304)
    See also Working Paper (2011)

2010

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

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
    See also Working Paper (2009)
  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
    See also Working Paper (2009)

2008

  1. ARFIMAX and ARFIMAX-TARCH realized volatility modeling
    Journal of Applied Statistics, 2008, 35, (10), 1169-1180 Downloads View citations (24)
    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 (8)
    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
    See also Working Paper (2008)
  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 (30)
    See also Working Paper (2008)

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 (26)
    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 (13)
    See also Working Paper (2007)
  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
    See also Working Paper (2007)

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 (18)
    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 View citations (3)
    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 (58)
    See also Working Paper (2004)

Books

2015

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

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
  5. Multiple Model Comparison and Hypothesis Framework Construction
    Palgrave Macmillan
  6. Realized Volatility Forecasting: Applications
    Palgrave Macmillan
  7. Recent Methods: A Review
    Palgrave Macmillan
 
Page updated 2021-09-17