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Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment
Degiannakis, Stavros; Filis, George; Floros, Christos - In: Journal of international financial markets, … 26 (2013), pp. 175-191
Persistent link: https://www.econbiz.de/10010175255
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Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model
Degiannakis, Stavros - In: Applied financial economics 14 (2004) 18, pp. 1333-1342
Persistent link: https://www.econbiz.de/10007644387
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A robust VaR model under different time periods and weighting schemes
Angelidis, Timotheos; Benos, Alexandros; Degiannakis, … - In: Review of quantitative finance and accounting 28 (2007) 2, pp. 187-202
Persistent link: https://www.econbiz.de/10007590634
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Rolling-sampled parameters of ARCH and Levy-stable models
Degiannakis, Stavros; Livada, Alexandra; Panas, Epaminondas - In: Applied economics 40 (2008) 22-24, pp. 3051-3068
Persistent link: https://www.econbiz.de/10008210249
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Forecasting one-day-ahead VaR and intra-day realized volatility in the Athens Stock Exchange Market
Angelidis, Timotheos; Degiannakis, Stavros - In: Managerial finance 34 (2008) 7, pp. 489-497
Persistent link: https://www.econbiz.de/10008078678
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Volatility forecasting: Intra-day versus inter-day models
Angelidis, Timotheos; Degiannakis, Stavros - In: Journal of international financial markets, … 18 (2008) 5, pp. 449-465
Persistent link: https://www.econbiz.de/10008097039
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Evaluating value-at-risk models before and after the financial crisis of 2008: International evidence
Degiannakis, Stavros; Floros, Christos; Livada, Alexandra - In: Managerial finance 38 (2012) 4, pp. 436-453
Persistent link: https://www.econbiz.de/10009838526
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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/10010073917
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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/10010092464
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Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process
Degiannakis, Stavros; Livada, Alexandra - In: Economic modelling 30 (2013), pp. 212-216
Persistent link: https://www.econbiz.de/10010062257