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Return dispersion, stock market liquidity and aggregate economic activity

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

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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 --...

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Modeling CAC40 volatility using ultra-high frequency data

Degiannakis, Stavros; Floros, Christos - In: Research in international business and finance 28 (2013), pp. 68-81

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Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices

Degiannakis, Stavros; Kiohos, Apostolos - In: Journal of economic studies 41 (2014) 2, pp. 216-232

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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

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Realized volatility or price range : evidence from a discrete simulation of the continuous time diffusion process

Degiannakis, Stavros; Livada, Alexandra - In: Economic modelling 30 (2013), pp. 212-216

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Econometric modeling of value-at-risk

Angelidis, Timotheos; Degiannakis, Stavros - 2009

Persistent link: https://www.econbiz.de/10003803434

Rolling-sampled parameters of ARCH and Levy-stable models

Degiannakis, Stavros; Livada, Alexandra; Panas, … - In: Applied economics 40 (2008) 22/24, pp. 3051-3067

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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

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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

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