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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/10002438260

The one-trading-day-ahead forecast errors of intra-day realized volatility

Degiannakis, Stavros - In: Research in international business and finance 42 (2017), pp. 1298-1314

Persistent link: https://www.econbiz.de/10011761003

Forecasting VIX: the illusion of forecast evaluation criteria

Degiannakis, Stavros; Kafousaki, Eleftheria - 2023

Persistent link: https://www.econbiz.de/10014338590

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

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

Hedge fund returns under crisis scenarios : a holistic approach

Stophoros, Chrysostomos; Degiannakis, Stavros; … - In: Research in international business and finance 42 (2017), pp. 1196-1207

Persistent link: https://www.econbiz.de/10011760944

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

Giannopulos, Geōrgios A.; Degiannakis, Stavros; Holt, … - In: Theoretical economics letters 8 (2018) 11, pp. 2640-2672

Persistent link: https://www.econbiz.de/10011911782

Return Dispersion, Stock Market Liquidity and Aggregate Economic Activity

Degiannakis, Stavros; Andrikopulos, Andreas A.; … - 2022

This paper examines the effect of return dispersion on the dynamics of stock market liquidity, risk and return. Moreover, the importance of return dispersion in forecasting aggregate economic activity is rediscovered in the context of a regime switching model that accounts for stock market...

Persistent link: https://www.econbiz.de/10013403197

Forecasting VIX : the illusion of forecast evaluation criteria

Degiannakis, Stavros; Kafousaki, Eleftheria - In: Economics and Business Letters : EBL 12 (2023) 3, pp. 231-240

Persistent link: https://www.econbiz.de/10014448444