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Multiple days ahead realized volatility forecasting : single, combined and average forecasts

Degiannakis, Stavros - In: Global finance journal 36 (2018), pp. 41-61

Persistent link: https://www.econbiz.de/10012125013

Forecasting VIX: the illusion of forecast evaluation criteria

Degiannakis, Stavros; Kafousaki, Eleftheria - 2023

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

What should be taken into consideration when forecasting oil implied volatility index?

Delis, Panagiotis; Degiannakis, Stavros; Giannopoulos, … - In: The energy journal 44 (2023) 5, pp. 231-249

Persistent link: https://www.econbiz.de/10014380730

Superkurtosis

Degiannakis, Stavros; Filis, George; Siourounis, Grigorios - In: Journal of money, credit and banking : JMCB 55 (2023) 8, pp. 2061-2091

Persistent link: https://www.econbiz.de/10014436136

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

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

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

Investments and uncertainty revisited : the case of the US economy

Degiannakis, Stavros; Filis, George; Palaiodimos, George - In: Applied economics 49 (2017) 45, pp. 4521-4529

Persistent link: https://www.econbiz.de/10011844229

ARCH Models for Financial Applications

Xekalaki, Evdokia - 2010 - 2nd ed

Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues...

Persistent link: https://www.econbiz.de/10012676012

Forecasting global stock market implied volatility indices

Degiannakis, Stavros; Filis, George; Hassani, Hossein - In: Journal of empirical finance 46 (2018), pp. 111-129

Persistent link: https://www.econbiz.de/10012103431