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On the Stationarity of Futures Hedge Ratios
Degiannakis, Stavros, (2020)
A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification
Degiannakis, Stavros, (2014)
Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence
Degiannakis, Stavros, (2013)