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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

A probit model for the state of the Greek GDP growth

Degiannakis, Stavros - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 381-392

The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables regarding the...

Persistent link: https://www.econbiz.de/10011312197

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

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

Disaggregating VIX

Degiannakis, Stavros; Kafousaki, Eleftheria - 2025

Persistent link: https://www.econbiz.de/10015197246

Trading VIX on volatility forecasts : another volatility puzzle?

Degiannakis, Stavros; Delis, Panagiotis; Filis, George; … - 2025

Persistent link: https://www.econbiz.de/10015197247

Oil price shocks and stock market volatility : evidence from European data

Degiannakis, Stavros; Filis, George; Kizys, Renatas - 2013

Persistent link: https://www.econbiz.de/10010200832

The effects of oil price shocks on stock market volatility : evidence from European data

Degiannakis, Stavros; Filis, George; Kizys, Renatas - In: The energy journal 35 (2014) 1, pp. 35-56

Persistent link: https://www.econbiz.de/10010246079

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