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Monetary utility functions and risk functionals

Floros, Christos; Gillas, Konstantinos Gkillas; … - In: Essays on Financial Analytics : Applications and Methods, (pp. 27-35). 2023

Persistent link: https://www.econbiz.de/10014338785

Hedging with a generalised basis risk : empirical results

Alghalith, Moawia; Lalloo, Ricardo; Franklin, Martin; … - In: International journal of financial markets and derivatives 2 (2011) 3, pp. 244-248

Persistent link: https://www.econbiz.de/10009389606

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

A note on dynamic hedging : empirical evidence from FTSE-100 and S&P 500 futures markets

Alghalith, Moawia; Floros, Christos; Lalloo, Ricardo - In: Journal of risk finance : the convergence of financial … 16 (2015) 2, pp. 190-196

Persistent link: https://www.econbiz.de/10010514019

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

Dynamic spillover effects in futures markets : UK and US evidence

Antonakakis, Nikolaos; Floros, Christos; Kizys, Renatas - In: International review of financial analysis 48 (2016), pp. 406-418

Persistent link: https://www.econbiz.de/10011624538

Asset prices regime-switching and the role of inflation targeting monetary policy

Chatziantoniou, Ioannis; Filis, George; Floros, Christos - In: Global finance journal 32 (2017), pp. 97-112

Persistent link: https://www.econbiz.de/10011802855

A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification

Degiannakis, Stavros Antonios - 2018

In financial literature, Value-at-Risk (VaR) and Expected Shortfall (ES) modelling is focused on producing 1-step ahead conditional variance forecasts. The present paper provides a methodological contribution to the multi-step VaR and ES forecasting through a new adaptation of the Monte Carlo...

Persistent link: https://www.econbiz.de/10012910116

Efficiency in banking : does the choice of inputs and outputs matter?

Floros, Christos; Zopounidis, Constantin; Tan, Yong; … - In: International journal of computational economics and … 10 (2020) 2, pp. 129-148

Persistent link: https://www.econbiz.de/10012226707

Quantile dependencies between discontinuities and time-varying rare disaster risks

Gillas, Konstantinos Gkillas; Floros, Christos; … - In: The European journal of finance 27 (2021) 10, pp. 932-962

Persistent link: https://www.econbiz.de/10012609242