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Econometric modeling of value-at-risk
Angelidis, Timotheos; Degiannakis, Stavros - In: New econometric modelling research, (pp. 9-60). 2008
Persistent link: https://www.econbiz.de/10003693968
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US stock market regimes and oil price shocks
Angelidis, Timotheos; Degiannakis, Stavros; Filis, George - In: Global finance journal 28 (2015), pp. 132-146
Persistent link: https://www.econbiz.de/10011478135
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Oil price shocks and volatility do predict stock market regimes
Degiannakis, Stavros; Angelidis, Timotheos; Filis, George - 2013
Persistent link: https://www.econbiz.de/10011280337
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Return dispersion, stock market liquidity and aggregate economic activity
Degiannakis, Stavros; Andrikopulos, Andreas A.; … - 2013
Persistent link: https://www.econbiz.de/10011280341
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Modelling and forecasting high frequency financial data
Degiannakis, Stavros; Floros, Christos - 2015
Introduction to high frequency financial modelling -- Intra-day realized volatility measures -- Methods of volatility estimation and forecasting -- Multiple model comparison and hypothesis framework construction -- Realized volatility forecasting - applications -- Recent methods: a review --...
Persistent link: https://www.econbiz.de/10011374245
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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
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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
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Intra-day realized volatility for European and USA Stock indices
Degiannakis, Stavros; Floros, Christos - In: Global finance journal 29 (2016), pp. 24-41
Persistent link: https://www.econbiz.de/10011714562
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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
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Hedge fund returns under crisis scenarios : a holistic approach
Stophoros, Chrysostomos; Degiannakis, Stavros; … - In: Research in international business and finance 42 (2017), pp. 1196-1207
Persistent link: https://www.econbiz.de/10011760944