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Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange
Diamandis, Panayiotis; Kouretas, Georgios; Zarangas, … - Department of Economics, University of Crete - 2006
This paper provides Value-at-Risk estimates for daily stock returns with the application of various parametric univariate models that belong to the class of ARCH models which are based on the skewed Student distribution. We use daily data for three stock indexes of the Athens Stock Exchange...
Persistent link: https://www.econbiz.de/10004994338
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Asset allocation in the Athens Stock Exchange: A variance sensitivity analysis
Diamandis, Panayiotis; Kouretas, Georgios; Zarangas, … - Department of Economics, University of Crete - 2006
This paper provides an analysis of asset allocation using univariate portfolio GARCH models from the Athens Stock Exchange. We use daily data for the period January 1997 to February 2005. Our analysis adopts the methodology due to Manganelli (2004) and we are able to recover from the univariate...
Persistent link: https://www.econbiz.de/10004994342
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Asset allocation in the Athens stock exchange : a variance sensitivity analysis
Diamandis, Panayotis F.; Drakos, Anastassios A.; … - In: International journal of finance & economics : IJFE 17 (2012) 2, pp. 167-181
Persistent link: https://www.econbiz.de/10009615696
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Value-at-risk for long and short trading positions : evidence from developed and emerging equity markets
Diamandis, Panayotis F.; Drakos, Anastassios A.; … - In: International review of financial analysis 20 (2011) 3, pp. 165-176
Persistent link: https://www.econbiz.de/10009295738
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Expectations and the black market premium for foreign currency in Greece
Diamandis, Panayotis F.; Kouretas, Georgios P.; … - In: Applied financial economics 15 (2005) 10, pp. 667-677
Persistent link: https://www.econbiz.de/10002954866
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Black and official exchange rates in Greece : an analysis of their long-run dynamics
Kouretas, Georgios P.; Zarangas, Leonidas P. - In: Journal of multinational financial management 11 (2001) 3, pp. 295-314
Persistent link: https://www.econbiz.de/10001592720
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Long-run purchasing power parity and structural change : the official and parallel foreign exchange markets for dollars in Greece
Kouretas, Georgios P.; Zarangas, Leonidas P. - In: International economic journal 15 (2001) 3, pp. 109-128
Persistent link: https://www.econbiz.de/10001646721
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Wage setting, taxes, and demand for labor in Greece : a multivariate analysis of cointegrating relationships
Kouretas, Georgios P.; Zarangas, Leonidas P. - In: Journal of policy modeling : JPMOD ; a social science … 22 (2000) 2, pp. 171-195
Persistent link: https://www.econbiz.de/10001469653
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A cointegration analysis of the official and parallel foreign exchange markets for dollars in Greece
Kouretas, Georgios P.; Zarangas, Leonidas P. - 1995
Persistent link: https://www.econbiz.de/10000924911
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Forecasting financial volatility of the Athens stock exchange daily returns : an application of the asymmetric normal mixture GARCH model
Drakos, Anastassios A.; Kouretas, Georgios P.; … - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 331-350
Persistent link: https://www.econbiz.de/10008811307