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Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility : International Evidence

Degiannakis, Stavros Antonios - 2018

The present study compares the performance of the long memory FIGARCH model, with that of the short memory GARCH specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide. The dataset is comprised of daily data covering...

Persistent link: https://www.econbiz.de/10012910119

Long memory in exchange rates : international evidence

Floros, Christos - In: The international journal of business and finance … 2 (2008) 1, pp. 31-39

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Oil price assumptions for macroeconomic policy

Degiannakis, Stavros; Filis, George - In: Energy economics 117 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014436377

Forecasting oil prices : high-frequency financial data are indeed useful

Degiannakis, Stavros; Filis, George - In: Energy economics 76 (2018), pp. 388-402

Persistent link: https://www.econbiz.de/10011976685

Oil prices and stock markets : a review of the theory and empirical evidence

Degiannakis, Stavros; Filis, George; Arora, Vipin - In: The energy journal 39 (2018) 5, pp. 85-130

Persistent link: https://www.econbiz.de/10011903865

Time-varying correlation between oil and stock market volatilities : evidence from oil-importing and oil-exporting countries

Boldanov, Rustam; Degiannakis, Stavros; Filis, George - In: International review of financial analysis 48 (2016), pp. 209-220

Persistent link: https://www.econbiz.de/10011624489

Forecasting oil price realized volatility using information channels from other asset classes

Degiannakis, Stavros; Filis, George - In: Journal of international money and finance 76 (2017), pp. 28-49

Persistent link: https://www.econbiz.de/10011788055

Futures-based forecasts : how useful are they for oil price volatility forecasting?

Chatziantoniou, Ioannis; Degiannakis, Stavros; Filis, George - In: Energy economics 81 (2019), pp. 639-649

Persistent link: https://www.econbiz.de/10012172881

Oil price shocks and uncertainty : how stable is their relationship over time?

Degiannakis, Stavros; Filis, George; Panagiotakopoulou, … - In: Economic modelling 72 (2018), pp. 42-53

Persistent link: https://www.econbiz.de/10012100413

Oil and pump prices: is there any asymmetry in the Greek oil downstream sector?

Bragoudakis, Zacharias; Degiannakis, Stavros; Filis, George - 2019

Persistent link: https://www.econbiz.de/10012119406