This study examines the return (price) and volatility spillovers among the money, stock, foreign exchange and bond markets of the euro area, utilizing the forecast-error variance decomposition framework of a generalized VAR model proposed by Diebold and Yilmaz (2012) [Better to give than to...

This article assesses the ability of flexible dynamic correlation specifications to improve asset allocation decisions. To that end, we use the recently proposed Rotated Dynamic Conditional Correlation (RDCC) model that enables the estimation of models with high degree of parameterization and...

In this study, we propose the use of Heterogeneous Autoregressive (HAR) type realized volatility models in combination with the Extreme Value Theory (EVT) method for Value-at-Risk (VaR) forecasting. The proposed model accounts for the long memory property of the realized volatility and the fat...

In this article, we account for the presence of heterogeneous leverage effects and the persistence in the volatility of stock index realized volatility. The Heterogeneous Autoregressive (HAR) Realized Volatility (RV) model is extended in order to account for asymmetric responses to negative and...

The paper develops a financial systemic stress index (FSSI) for Greece. We present a methodology for constructing and evaluating a systemic stress index which: i) adopts the suggestion of Hollo et al. (2012) [Hollo, Kremer, and Duca (2012) “CISS – A ‘Composite Indicator of Systemic...