Alexandra Livada

Athens University of Economics and Business - Department of Statistics

Athens

Greece

SCHOLARLY PAPERS

4

DOWNLOADS

56

SSRN CITATIONS

2

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence

Number of pages: 24 Posted: 25 Oct 2018
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, Technological Educational Institute of Crete and Athens University of Economics and Business - Department of Statistics
Downloads 22 (686,029)
Citation 2

Abstract:

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ARCH, Value-at-Risk, Volatility, Forecasting, Financial Crisis

2.

Realized Volatility or Price Range: Evidence from a Discrete Simulation of the Continuous Time Diffusion Process

Number of pages: 16 Posted: 25 Oct 2018
Stavros Antonios Degiannakis and Alexandra Livada
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Athens University of Economics and Business - Department of Statistics
Downloads 16 (734,168)

Abstract:

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Integrated Volatility, Intra-day Volatility, Price range, Realized volatility, Stochastic Differential Equation

3.

Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors

Number of pages: 30 Posted: 26 Oct 2018
Stavros Antonios Degiannakis and Alexandra Livada
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Athens University of Economics and Business - Department of Statistics
Downloads 10 (789,321)

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integrated volatility, intra-day, predicted mean squared error, realized volatility, standardized prediction error criterion, simulating forecast errors, ultra-high frequency, volatility forecasting evaluation

4.

Rolling-Sampled Parameters of ARCH and Levy-Stable Models

MPRA Paper No. 80464, Applied Economics , Vol. 23, No. 40 (2008)
Number of pages: 27 Posted: 25 Oct 2018
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, Athens University of Economics and Business - Department of Statistics and Athens University of Economics and Business - Department of Economics
Downloads 8 (809,182)

Abstract:

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ARCH Model, GED Distribution, Leverage Effect, Levy-Stable Distribution, Rolling Sample, Spill Over, Value at Risk