Similar Search Results

Multiple days ahead realized volatility forecasting : single, combined and average forecasts

Degiannakis, Stavros - In: Global finance journal 36 (2018), pp. 41-61

Persistent link: https://www.econbiz.de/10012125013

A probit model for the state of the Greek GDP growth

Degiannakis, Stavros - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 381-392

The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables regarding the...

Persistent link: https://www.econbiz.de/10011312197

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

Time-varying correlation between oil and stock market volatilities : evidence from oil-importing and oil-exporting countries

Boldanov, Rustam; Degiannakis, Stavros; Filis, George - In: International review of financial analysis 48 (2016), pp. 209-220

Persistent link: https://www.econbiz.de/10011624489

Business cycle synchronisation in EMU : can fiscal policy bring member-countries closer?

Degiannakis, Stavros; Duffy, David; Filis, George; … - In: Economic modelling 52 (2016), pp. 551-563

Persistent link: https://www.econbiz.de/10011642908

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

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

Oil prices and stock markets : a review of the theory and empirical evidence

Degiannakis, Stavros; Filis, George; Arora, Vipin - In: The energy journal 39 (2018) 5, pp. 85-130

Persistent link: https://www.econbiz.de/10011903865

Is PEAD a consequence of the presence of the cognitive bias of self-attribution in investors' expectations regarding permanent earnings? : evidence from Athens stock exchange

Degiannakis, Stavros; Giannopulos, Geōrgios A. - In: International journal of computational economics and … 1 (2009) 1, pp. 89-110

Persistent link: https://www.econbiz.de/10003984933

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