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~person:"Degiannakis, Stavros"
~subject:"Financial crisis"
~subject:"Outliers"
~subject:"Volatilität"
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Degiannakis, Stavros
McAleer, Michael
62
Allen, David E.
27
Pérez Amaral, Teodosio
20
Chang, Chia-Lin
16
Hammoudeh, Shawkat
16
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8
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8
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8
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7
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7
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7
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7
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7
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7
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1
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
Saved in:
2
Modeling CAC40 volatility using ultra-high frequency data
Degiannakis, Stavros
;
Floros, Christos
- In:
Research in international business and finance
28
(
2013
),
pp. 68-81
Persistent link: https://www.econbiz.de/10009725156
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
Evaluating
value-at-risk
models before and after the financial crisis of 2008: International evidence
Degiannakis, Stavros
;
Floros, Christos
;
Livada, Alexandra
- In:
Managerial Finance
38
(
2012
)
March
,
pp. 436-452
Purpose – The purpose of this paper is to focus on the performance of three alternative
value-at-risk
(VaR) models to …
Persistent link: https://www.econbiz.de/10010540353
Saved in:
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