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Oil and stock returns : evidence from European industrial sector indices in a time-varying environment

Degiannakisa, Stavros; Filis, George; Floros, Christos - In: Journal of international financial markets, … 26 (2013), pp. 175-191

Persistent link: https://www.econbiz.de/10010234924

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

A Monte Carlo simulation approach to forecasting multi-period value-at-risk and expected shortfall using the FIGARCH-SKT specification

Degiannakis, Stavros; Dent, Pamela; Floros, Christos - In: The Manchester School 82 (2014) 1, pp. 71-102

Persistent link: https://www.econbiz.de/10010419583

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. 436-452

Persistent link: https://www.econbiz.de/10009530921

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

Filis, George; Degiannakis, Stavros; Floros, Christos - In: International review of financial analysis 20 (2011) 3, pp. 152-164

Persistent link: https://www.econbiz.de/10009295790

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

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

Accounting and stock market performance in the US : evidence from joiners and leavers

Floros, Christos; Tabouratzi, Efthalia; Charamis, Dimitris - In: Theoretical economics letters 7 (2017) 4, pp. 696-708

Persistent link: https://www.econbiz.de/10011706530

Volatility, trading volume and open interest in futures markets

Floros, Christos; Salvador, Enrique - In: International journal of managerial finance : IJMF 12 (2016) 4, pp. 629-653

Persistent link: https://www.econbiz.de/10011627130

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

Degiannakis, Stavros Antonios - 2018

The present study compares the performance of the long memory FIGARCH model, with that of the short memory GARCH specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide. The dataset is comprised of daily data covering...

Persistent link: https://www.econbiz.de/10012910119