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Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices
Degiannakis, Stavros; Kiohos, Apostolos - In: Journal of economic studies 41 (2014) 2, pp. 216-232
Persistent link: https://www.econbiz.de/10010259271
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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/10009725156
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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
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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. 436-452
Persistent link: https://www.econbiz.de/10009530921
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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/10009736952
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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/10003775710
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Econometric modeling of value-at-risk
Angelidis, Timotheos; Degiannakis, Stavros - 2009
Persistent link: https://www.econbiz.de/10003803434
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A robust VaR model under different time periods and weighting schemes
Angelidis, Timotheos; Benos, Alexandros Vassiliou; … - In: Review of quantitative finance and accounting 28 (2007) 2, pp. 187-201
Persistent link: https://www.econbiz.de/10003492794
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Econometric modeling of value-at-risk
Angelidis, Timotheos; Degiannakis, Stavros - In: New econometric modelling research, (pp. 9-60). 2008
Persistent link: https://www.econbiz.de/10003693968
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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