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Dynamic correlation between stock market and oil prices : the case of oil-importing and oil-exporting countries
Filis, George; Degiannakis, Stavros; Floros, Christos - In: International review of financial analysis 20 (2011) 3, pp. 152-164
Persistent link: https://www.econbiz.de/10009295790
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Business cycle synchronization in EU : a time-varying approach
Degiannakis, Stavros; Duffy, David; Filis, George - In: Scottish journal of political economy : the journal of … 61 (2014) 4, pp. 348-370
Persistent link: https://www.econbiz.de/10010497729
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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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Rolling-sampled parameters of ARCH and Levy-stable models
Degiannakis, Stavros; Livada, Alexandra; Panas, … - In: Applied economics 40 (2008) 22/24, pp. 3051-3067
Persistent link: https://www.econbiz.de/10003803846
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SPEC model selection algorithm for ARCH models : an options pricing evaluation framework
Degiannakis, Stavros; Xekalaki, Evdokia - In: Applied financial economics letters 4 (2008) 4/6, pp. 419-423
Persistent link: https://www.econbiz.de/10003808239
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Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models
Degiannakis, Stavros; Xekalaki, Evdokia - In: Applied financial economics 17 (2007) 1/3, pp. 149-171
Persistent link: https://www.econbiz.de/10003427036
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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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Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes
Degiannakis, Stavros; Xekalaki, Evdokia - In: Applied financial economics letters 3 (2007) 1, pp. 31-37
Persistent link: https://www.econbiz.de/10003540138