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person:"Algieri, Bernardina"
type_genre:"Übersichtsarbeit"
~person:"Degiannakis, Stavros"
~subject:"ARCH model"
~type_genre:"Article in journal"
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Algieri, Bernardina
Degiannakis, Stavros
Kumar, Dilip
19
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16
Ma, Feng
16
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12
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11
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International review of financial analysis
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Research in international business and finance
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ECONIS (ZBW)
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1
On the stationarity of futures hedge ratios
Degiannakis, Stavros
;
Floros, Christos
;
Salvador, Enrique
; …
- In:
Operational research : an international journal
22
(
2022
)
3
,
pp. 2281-2303
Persistent link: https://www.econbiz.de/10013443633
Saved in:
2
A tale of two tails : explaining extreme events in financialized agricultural markets
Algieri, Bernardina
;
Kalkuhl, Matthias
;
Koch, Nikolas
- In:
Food policy : economics planning and politics of food …
69
(
2017
),
pp. 256-269
Persistent link: https://www.econbiz.de/10011797967
Saved in:
3
Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rate : inter-day versus intra-day data
Degiannakis, Stavros
;
Potamia, Artemis
- In:
International review of financial analysis
49
(
2017
),
pp. 176-190
Persistent link: https://www.econbiz.de/10011741290
Saved in:
4
Conditional price volatility, speculation, and excessive speculation in commodity markets : sheep or shepherd behaviour?
Algieri, Bernardina
- In:
International review of applied economics
30
(
2016
)
2
,
pp. 210-237
Persistent link: https://www.econbiz.de/10011472467
Saved in:
5
Time-varying correlation between oil and stock market volatilities : evidence from oil-importing and oil-exporting countries
Boldanov, Rustam
;
Degiannakis, Stavros
;
Filis, George
- In:
International review of financial analysis
48
(
2016
),
pp. 209-220
Persistent link: https://www.econbiz.de/10011624489
Saved in:
6
Intra-day realized volatility for European and USA Stock indices
Degiannakis, Stavros
;
Floros, Christos
- In:
Global finance journal
29
(
2016
),
pp. 24-41
Persistent link: https://www.econbiz.de/10011714562
Saved in:
7
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility : international evidence
Degiannakis, Stavros
;
Floros, Christos
;
Dent, Pamela
- In:
International review of financial analysis
27
(
2013
),
pp. 21-33
Persistent link: https://www.econbiz.de/10009736952
Saved in:
8
Modeling CAC40 volatility using ultra-high frequency data
Degiannakis, Stavros
;
Floros, Christos
- In:
Research in international business and finance
28
(
2013
),
pp. 68-81
Persistent link: https://www.econbiz.de/10009725156
Saved in:
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