Similar Search Results

Hedge ratios in South African stock index futures

Degiannakis, Stavros; Floros, Christos - In: Journal of emerging market finance 9 (2010) 3, pp. 285-304

Persistent link: https://www.econbiz.de/10009156614

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) 4, pp. 436-452

Persistent link: https://www.econbiz.de/10009530921

Return dispersion, stock market liquidity and aggregate economic activity

Degiannakis, Stavros; Andrikopulos, Andreas A.; … - 2013

Persistent link: https://www.econbiz.de/10011280341

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

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

A Monte Carlo simulation approach to forecasting multi-period value-at-risk and expected shortfall using the FIGARCH-SKT specification

Degiannakis, Stavros; Dent, Pamela; Floros, Christos - In: The Manchester School 82 (2014) 1, pp. 71-102

Persistent link: https://www.econbiz.de/10010419583

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

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

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

Option pricing using high-frequency futures prices

Degiannakis, Stavros; Floros, Christos; Poufinas, Thomas; … - In: Journal of risk 23 (2021) 4, pp. 81-101

Persistent link: https://www.econbiz.de/10012593448