Stavros Stavroyiannis

University of the Peloponnese - Department of Accounting and Finance

Kalamata, 22100

Greece

  • University of the Peloponnese - Department of Accounting and Finance

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 38,917

SSRN RANKINGS

Top 38,917

in Total Papers Downloads

2,056

SSRN CITATIONS

6

CROSSREF CITATIONS

5

Scholarly Papers (15)

Actions:
Email selected abstracts
1.

Dynamic Properties of the Bitcoin and the US Market

Number of pages: 11 Posted: 13 May 2017
Stavros Stavroyiannis and Vassilios Babalos
University of the Peloponnese - Department of Accounting and Finance and Department of Accounting & Finance, Technological Educational Institute of Peloponnese
Downloads 736 (55,795)
Citation 14

Abstract:

Loading...

Bitcoin; Asymmetric GARCH Model; Full BEKK Model; Hedge; Safe-Haven

2.

Volatility Modeling and Risk Assessment of the Major Digital Currencies

Number of pages: 11 Posted: 22 Dec 2017
Stavros Stavroyiannis
University of the Peloponnese - Department of Accounting and Finance
Downloads 177 (269,197)

Abstract:

Loading...

Digital Currencies; GARCH model; Value-at-Risk; Expected Shortfall; Risk Assessment

3.

A Note on the Cumulative Distribution Function of the Pearson Type IV Distribution for Financial Applications

Number of pages: 12 Posted: 12 Mar 2014
Stavros Stavroyiannis
University of the Peloponnese - Department of Accounting and Finance
Downloads 172 (276,073)

Abstract:

Loading...

Gauss hypergeometric function, Pearson type IV distribution

4.

Time Varying Herding and Anti-Herding Behavior and Dynamic Conditional Correlations in European Market Indices

Number of pages: 25 Posted: 26 Jul 2013
Stavros Stavroyiannis, Vassilios Babalos and Leonidas Zarangas
University of the Peloponnese - Department of Accounting and Finance, Department of Accounting & Finance, Technological Educational Institute of Peloponnese and Higher Technological Educational Institute of Kalamata
Downloads 137 (332,879)

Abstract:

Loading...

Behavioral Finance, Herding and anti-herding behavior, Cross sectional absolute dispersion, Rolling window regression, Dynamic conditional correlations

5.

Value-at-Risk and Expected Shortfall for the Major Digital Currencies

Number of pages: 9 Posted: 30 Aug 2017 Last Revised: 09 Sep 2017
Stavros Stavroyiannis
University of the Peloponnese - Department of Accounting and Finance
Downloads 124 (361,062)
Citation 3

Abstract:

Loading...

Bitcoin, Ethereum, LiteCoin, Ripple, Value-at-Risk, Expected Shortfall

6.

Expected Shortfall via Filtered Historical Simulation for Bitcoin and Ethereum

Number of pages: 7 Posted: 01 May 2018
Stavros Stavroyiannis
University of the Peloponnese - Department of Accounting and Finance
Downloads 108 (396,388)

Abstract:

Loading...

Bitcoin, Ethereum, Filtered Historical Simulation, Expected Shortfall, Value-at-Risk

7.

On a GJR-GARCH Model with the Standardized Pearson Type IV Distribution

Number of pages: 17 Posted: 29 Oct 2013
Stavros Stavroyiannis
University of the Peloponnese - Department of Accounting and Finance
Downloads 101 (415,484)
Citation 2

Abstract:

Loading...

Financial markets, Pearson type IV distribution, GJR-GARCH, Value-at-Risk

8.

On the Time Varying Nature of Herding Behavior: Evidence from Major European Indices

Number of pages: 10 Posted: 19 Jun 2013
Stavros Stavroyiannis and Vassilios Babalos
University of the Peloponnese - Department of Accounting and Finance and Department of Accounting & Finance, Technological Educational Institute of Peloponnese
Downloads 101 (415,484)
Citation 2

Abstract:

Loading...

Financial time series, Herding behavior, Cross sectional absolute dispersion, International Financial Markets, Rolling window regression

9.

On the Generalized Pearson Distribution for Application in Financial Time Series Modeling

Global Business and Economics Review, Vol. 16, No. 1, 2014, pp. 1-14
Number of pages: 9 Posted: 10 Aug 2013 Last Revised: 20 Nov 2013
Stavros Stavroyiannis
University of the Peloponnese - Department of Accounting and Finance
Downloads 79 (484,451)

Abstract:

Loading...

Financial markets, Generalized Pearson distribution, Non-linear optimization

10.

On the Devolatized Returns and Dynamic Conditional Correlations GARCH Modeling in Selected European Indices

Number of pages: 10 Posted: 18 Jun 2013 Last Revised: 19 Jun 2013
Stavros Stavroyiannis and Leonidas Zarangas
University of the Peloponnese - Department of Accounting and Finance and Higher Technological Educational Institute of Kalamata
Downloads 78 (488,061)

Abstract:

Loading...

financial time series, devolatized returns, Dynamic Conditional Correlations, GARCH, Value-at-Risk

11.

Value-at-Risk and Backtesting with the APARCH Model and the Standardized Pearson Type IV Distribution

Number of pages: 21 Posted: 18 Feb 2016
Stavros Stavroyiannis
University of the Peloponnese - Department of Accounting and Finance
Downloads 76 (495,337)
Citation 1

Abstract:

Loading...

APARCH model; Pearson type IV distribution; Value-at-Risk; Expected shortfall; Risk management

12.

BRICH Dynamic Conditional Correlations, Contagion, and Portfolio Diversification Under the Devolatized Returns Concept

Number of pages: 42 Posted: 22 Nov 2013 Last Revised: 23 Nov 2013
Stavros Stavroyiannis, Vassilios Babalos and Leonidas Zarangas
University of the Peloponnese - Department of Accounting and Finance, Department of Accounting & Finance, Technological Educational Institute of Peloponnese and Higher Technological Educational Institute of Kalamata
Downloads 59 (565,529)

Abstract:

Loading...

Financial crises; contagion; BRICH emerging markets; t-DCC model; devolatized returns

13.

Variance Risk Measures with the Standardized Pearson Type IV Distribution

Number of pages: 10 Posted: 07 Aug 2014
Stavros Stavroyiannis
University of the Peloponnese - Department of Accounting and Finance
Downloads 40 (666,056)

Abstract:

Loading...

Tail conditional expectation, Tail conditional variance, Tail variance, Pearson IV distribution

14.

Cointegration and ARDL Specification Between the Dubai Crude Oil and the US Natural Gas Market

Number of pages: 23 Posted: 25 Aug 2020
Stavros Stavroyiannis
University of the Peloponnese - Department of Accounting and Finance
Downloads 38 (678,499)

Abstract:

Loading...

Dubai crude oil, US natural gas, cointegration, ARDL, Toda-Yamamoto causality test

15.

A Note on the Nelson Cao Inequality Constraints in the GJR-GARCH Model: Is There a Leverage Effect?

Number of pages: 17 Posted: 01 May 2017 Last Revised: 17 Apr 2018
Stavros Stavroyiannis
University of the Peloponnese - Department of Accounting and Finance
Downloads 30 (732,287)

Abstract:

Loading...

GJR-GARCH, asymmetry, leverage, Nelson Cao constraints