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Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
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Are regime-shift sources of risk priced in the market?
Chourdakis, Kyriakos; Dendramis, Yiannis; Tzavalis, Elias - In: Journal of empirical finance 28 (2014), pp. 151-170
Persistent link: https://www.econbiz.de/10011285074
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Level shifts in stock returns driven by large shocks
Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of empirical finance 29 (2014), pp. 41-51
Persistent link: https://www.econbiz.de/10011300506
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Predicting default risk under asymmetric binary link functions
Dendramis, Yiannis; Tzavalis, Elias; Varthalitis, Petros; … - In: International journal of forecasting 36 (2020) 3, pp. 1039-1056
Persistent link: https://www.econbiz.de/10012497704
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Shifts in volatility driven by large stock market shocks
Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of economic dynamics & control 55 (2015), pp. 130-147
Persistent link: https://www.econbiz.de/10011587216
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On the determinants of NPLs: lessons from Greece
Charalambakis, Evangelos; Dendramis, Yiannis; Tzavalis, … - 2017
Persistent link: https://www.econbiz.de/10011648048
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Credit risk modelling under recessionary and financially distressed conditions
Dendramis, Yiannis; Tzavalis, Elias; Adraktas, Georgios - In: Journal of banking & finance 91 (2018), pp. 160-175
Persistent link: https://www.econbiz.de/10011963657
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On the determinants of NPLs : lessons from Greece
Charalambakis, Evangelos; Dendramis, Yiannis; Tzavalis, … - In: Political economy perspectives on the Greek crisis : …, (pp. 289-309). 2017
Persistent link: https://www.econbiz.de/10011916951