Stavros Degiannakis

发表

Introduction to High Frequency Financial Modelling

Stavros Degiannakis, Christos Floros, 2015 .

Rolling-sampled parameters of ARCH and Levy-stable models

Stavros Degiannakis, E. Panas, A. Livada, 2008 .

Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models

E. Xekalaki, Stavros Degiannakis, 2007 .

Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm

E. Xekalaki, Stavros Degiannakis, 2001 .

Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review

E. Xekalaki, Stavros Degiannakis, 2004 .

The Use of GARCH Models in VaR Estimation

Stavros Degiannakis, Timotheos Angelidis, Alexandros Benos, 2004 .

Multiple-Days-Ahead Value-At-Risk and Expected Shortfall Forecasting for Stock Indices, Commodities and Exchange Rates: Inter-Day Versus Intra-Day Data

Stavros Degiannakis, Artemis Potamia, 2016 .

A robust VaR model under different time periods and weighting schemes

Stavros Degiannakis, Timotheos Angelidis, Alexandros Benos, 2007 .

Oil and Pump Prices: Is There Any Asymmetry in the Greek Oil Downstream Sector?

G. Filis, Stavros Degiannakis, Zacharias G. Bragoudakis, 2019, SSRN Electronic Journal.

Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries

G. Filis, Stavros Degiannakis, Christos Floros, 2011 .

Methods of Volatility Estimation and Forecasting

Stavros Degiannakis, Christos Floros, Stavros Degiannakis, 2015 .

Forecasting tourist arrivals using origin country macroeconomics

Stavros Degiannakis, George Filis, Ioannis Chatziantoniou, 2016 .

Forecasting oil price realized volatility: A new approach

G. Filis, Stavros Degiannakis, 2016 .

Volatility Forecasting: The Illusion of Choosing One Model in All Cases

Stavros Degiannakis, Timotheos Angelidis, 2005 .

Intraday Hedge Ratios and Option Pricing

Stavros Degiannakis, Christos Floros, 2015 .

Econometric Modeling of Value-at-Risk

Stavros Degiannakis, Timotheos Angelidis, 2009 .

The One-Trading-Day-Ahead Forecast Errors of Intra-Day Realized Volatility

Stavros Degiannakis, 2016 .

Time-Varying Correlation Between Oil and Stock Market Volatilities: Evidence From Oil-Importing and Oil-Exporting Countries

G. Filis, Stavros Degiannakis, Stavros Antonios Degiannakis, 2016 .

Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component

G. Filis, Stavros Degiannakis, Stefanos Tsemperlidis, 2018, Applied Economics Letters.

Realized Volatility or Price Range: Evidence from a Discrete Simulation of the Continuous Time Diffusion Process

Stavros Degiannakis, A. Livada, 2013 .

ARFIMAX and ARFIMAX-TARCH realized volatility modeling

Stavros Degiannakis, Stavros Degiannakis, 2008 .

Forecasting implied volatility indices worldwide: A new approach

Hossein Hassani, G. Filis, Stavros Degiannakis, 2015 .

A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification

Stavros Degiannakis, Christos Floros, Pamela Dent, 2014 .

Forecasting oil prices: High-frequency financial data are indeed useful

G. Filis, Stavros Degiannakis, 2017, Energy Economics.

Multiple days ahead realized volatility forecasting: Single, combined and average forecasts

Stavros Degiannakis, 2017 .

A Monte Carlo Simulation Approach to Forecasting Multi‐Period Value‐At‐Risk and Expected Shortfall Using the FIGARCH‐skT Specification

Stavros Degiannakis, Christos Floros, Pamela Dent, 2014 .

Oil price shocks and uncertainty: How stable is their relationship over time?

G. Filis, Stavros Degiannakis, Sofia Panagiotakopoulou, 2018, Economic Modelling.

Trade Transparency and Trading Volume: The Possible Impact of the Financial Instruments Markets Directive on the Trading Volume of EU Equity Markets

Stavros Degiannakis, E. Avgouleas, 2009 .

Backtesting VAR Models: An Expected Shortfall Approach

Stavros Degiannakis, Timotheos Angelidis, 2006 .

Forecasting oil price volatility using spillover effects from uncertainty indices

G. Filis, Stavros Degiannakis, Ioannis Chatziantoniou, 2020, Finance Research Letters.

Can spillover effects provide forecasting gains? The case of oil price volatility

G. Filis, Stavros Degiannakis, Ioannis Chatziantoniou, 2019 .

RePEc Forecasting Vix

Stavros Degiannakis, 2019 .

Forecasting Realized Volatility of Agricultural Commodities

Thomas Walther, George Filis, Tony Klein, 2019, International Journal of Forecasting.

ARCH Model Evaluation and Selection

Evdokia Xekalaki, Stavros Degiannakis, E. Xekalaki, 2010 .

What Should be Taken into Consideration when Forecasting Oil Implied Volatility Index?

Stavros Degiannakis, Panagiotis Delis, K. Giannopoulos, 2023, The Energy Journal.

Forecasting Macroeconomic Indicators for Eurozone and Greece: How Useful are the Oil Price Assumptions?

G. Filis, Stavros Degiannakis, Z. Bragoudakis, 2022, SSRN Electronic Journal.

Business Cycle Synchronization in EU: A Time‐Varying Approach

G. Filis, Stavros Degiannakis, D. Duffy, 2014 .

Time-varying Business Cycles Synchronisation in Europe

G. Filis, Stavros Degiannakis, D. Duffy, 2013 .

An alternative approach to detect earnings management to meet or beat benchmarks

Stavros Degiannakis, G. Giannopoulos, B. Jorgensen, 2022, Journal of Accounting Literature.

Superkurtosis

G. Filis, Stavros Degiannakis, Lorenzo Trapani, 2022, Journal of Money, Credit and Banking.

The Impact of the EC Financial Instruments Markets Directive on the Trading Volume of EU Equity Markets

Stavros Degiannakis, E. Avgouleas, 2005 .

Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer?

G. Filis, Stavros Degiannakis, D. Duffy, 2014 .

Forecasting oil price realized volatility using information channels from other asset classes

G. Filis, Stavros Degiannakis, 2017 .

Oil and currency volatilities: Co‐movements and hedging opportunities

G. Filis, Stavros Degiannakis, Aleksander Olstad, 2020, International Journal of Finance & Economics.

Hedge Ratios in South African Stock Index Futures

Stavros Degiannakis, Christos Floros, 2010 .

Forecasting global stock market implied volatility indices

Hossein Hassani, Stavros Degiannakis, George Filis, 2018 .

What Matters When Developing Oil Price Volatility Forecasting Frameworks?

G. Filis, Stavros Degiannakis, Panagiotis Delis, 2020 .

Forecasting Oil Price Volatility: The Role of Mixed-Frequency- Data (MIDAS) Model

Stavros Degiannakis, Mehmet Yarlik, G. Lloyd, 2018 .

US Stock Market Regimes and Oil Price Shocks

G. Filis, Stavros Degiannakis, Timotheos Angelidis, 2015 .

Oil and Stock Price Returns: Evidence from European Industrial Sector Indices in a Time-Varying Environment

G. Filis, Stavros Degiannakis, Christos Floros, 2013 .

Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes

E. Xekalaki, Stavros Degiannakis, 2007 .

On the Independence of the Standardized One-Step-Ahead Prediction Errors in Arch Models

Evdokia Xekalaki, Stavros Degiannakis, E. Xekalaki, 2008 .

OIL PRICE VOLATILITY FORECASTS : WHAT DO USERS NEED TO KNOW ?

Stavros Degiannakis, 2018 .

On the stationarity of futures hedge ratios

Dimitrios V. Vougas, Stavros Degiannakis, Christos Floros, 2020, Operational Research.

Modeling Risk for Long and Short Trading Positions

Stavros Degiannakis, Timotheos Angelidis, Stavros Degiannakis, 2005 .

Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market

Evdokia Xekalaki, Stavros Degiannakis, E. Xekalaki, 2005, Comput. Stat. Data Anal..

Forecasting Realized Intra-Day Volatility and Value at Risk: Evidence From a Fractional Integrated Asymmetric Power ARCH Skewed-T Model

Stavros Degiannakis, 2004 .

Predictability and Model Selection in the Context of Arch Models

Evdokia Xekalaki, Stavros Degiannakis, E. Xekalaki, 2005 .

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

Stavros Degiannakis, G. Giannopoulos, 2009 .

Explorer Trade Transparency and Trading Volume

Stavros Degiannakis, 2009 .

Intra-Day Realized Volatility for European and USA Stock Indices

Stavros Degiannakis, Christos Floros, Stavros Degiannakis, 2014 .

Earnings Management to Avoid Losses and Earnings Declines in Croatia

Stavros Degiannakis, G. Giannopoulos, Salma Ibrahim, 2019, International Journal of Computational Economics and Econometrics.

Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence

Vipin Arora, G. Filis, Stavros Degiannakis, 2018, The Energy Journal.

The impact of the 2007 global financial crisis on IPO performance in Asian-Pacific emerging markets

Stavros Degiannakis, G. Giannopoulos, Andrew Holt, 2018 .

The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data

G. Filis, Stavros Degiannakis, Renatas Kizys, 2014 .

Forecasting oil prices

G. Filis, Stavros Degiannakis, 2017 .

1 Forecasting oil prices

G. Filis, Stavros Degiannakis, 2017 .

Intraday Realized Volatility Measures

Stavros Degiannakis, Christos Floros, Stavros Degiannakis, 2015 .

Oil price volatility forecasts: What do investors need to know?

G. Filis, Stavros Degiannakis, 2019, Journal of International Money and Finance.

Multiple Model Comparison and Hypothesis Framework Construction

Stavros Degiannakis, Christos Floros, Stavros Degiannakis, 2015 .

Oil Price Shocks and Volatility Do Predict Stock Market Regimes

G. Filis, Stavros Degiannakis, Timotheos Angelidis, 2013, SSRN Electronic Journal.

Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence

Stavros Degiannakis, Christos Floros, A. Livada, 2012 .

Forecasting European Economic Policy Uncertainty

G. Filis, Stavros Degiannakis, 2019, Scottish Journal of Political Economy.

Oil Price Shocks and Stock Market Volatility: Evidence from European Data

G. Filis, Stavros Degiannakis, Renatas Kizys, 2013, SSRN Electronic Journal.

Forecasting VIX: the illusion of forecast evaluation criteria

Stavros Degiannakis, Eleftheria Kafousaki, 2023, Working paper.

The D-model for GDP nowcasting

Stavros Degiannakis, 2023, Swiss Journal of Economics and Statistics.

Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model

Stavros Degiannakis, Stavros Antonios Degiannakis, Stavros Degiannakis *, 2004 .

What matters when developing oil price volatility forecasting frameworks

G. Filis, Stavros Degiannakis, Panagiotis Delis, 2021 .

Modeling CAC40 Volatility Using Ultra-high Frequency Data

Christos Floros, Stavros Degiannakis, Christos Floros, 2013 .

Hedge Fund Returns under Crisis Scenarios: A Holistic Approach

Stavros Degiannakis, Chrysostomos Stoforos, Theodosios Palaskas, 2016 .

Multivariate Modelling of 10-Day-Ahead VaR and Dynamic Correlation for Worldwide Real Estate and Stock Indices

Stavros Degiannakis, Apostolos Kiohos, 2014 .

Oil Price Assumptions for Macroeconomic Policy

G. Filis, Stavros Degiannakis, 2020, SSRN Electronic Journal.

Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility: International Evidence

Stavros Degiannakis, Christos Floros, P. Dent, 2013 .

Earnings Management to Avoid Losses and Earnings Declines in Croatia

Stavros Degiannakis, G. Giannopoulos, Salma Ibrahim, 2019, International Journal of Computational Economics and Econometrics.

Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors

Stavros Degiannakis, A. Livada, 2013 .

Real-time monitoring of carbon monoxide using value-at-risk measure and control charting

Dimitrios A. Georgakellos, Sotirios Bersimis, Stavros Degiannakis, 2015 .

ARCH Models for Financial Applications

Stavros Degiannakis, Christos Floros, Stavros Degiannakis, 2010 .

Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence

Vipin Arora, G. Filis, Stavros Degiannakis, 2018, The Energy Journal.

Option Pricing using High-frequency Futures Prices

G. Filis, Stavros Degiannakis, Christos Floros, 2020 .

Volatility forecasting: intra-day versus inter-day models

Stavros Degiannakis, Timotheos Angelidis, Stavros Degiannakis, 2008 .

Backtesting VaR Models: A Τwo-Stage Procedure

Stavros Degiannakis, Timotheos Angelidis, 2007 .

Volatility forecasting : intraday vs . inter-day models

Stavros Degiannakis, Timotheos Angelidis, 2017 .

Recent Methods: A Review

Stavros Degiannakis, Christos Floros, 2015 .

On the stationarity of futures hedge ratios

Dimitrios V. Vougas, Stavros Degiannakis, Christos Floros, 2020, Oper. Res..

Persistence of Shocks and the Reallocation of Labor

Nicolas Roys, Stavros Degiannakis, Timotheos Angelidis, 2016 .

Futures-based forecasts: How useful are they for oil price volatility forecasting?

G. Filis, Stavros Degiannakis, Ioannis Chatziantoniou, 2019, Energy Economics.

Oil and pump prices: Testing their asymmetric relationship in a robust way

G. Filis, Stavros Degiannakis, Zacharias G. Bragoudakis, 2020, Energy Economics.