Stavros Antonios Degiannakis

Department of Economic and Regional Development, Panteion University of Political and Social Sciences

Associate Professor

136 Sygrou

Athens

Greece

SCHOLARLY PAPERS

55

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127

Scholarly Papers (55)

Backtesting VAR Models: An Expected Shortfall Approach

Number of pages: 35 Posted: 26 Apr 2006
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 1,277 (15,060)
Citation 8

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Backtesting, Value-at-Risk, Expected Shortfall, Volatility Forecasting, Arch Models

Backtesting VaR Models: An Expected Shortfall Approach

Journal of Risk Model Validation, Vol. 1, No. 2
Posted: 30 Jan 2008 Last Revised: 08 Oct 2018
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences

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Backtesting, Value-at-Risk, Expected Shortfall, Volatility Forecasting, Arch Models

2.

The Use of GARCH Models in VAR Estimation

Statistical Methodology, Vol. 1, No. 2, pp. 105-128, 2004
Number of pages: 23 Posted: 05 Feb 2005
Timotheos Angelidis, Alexander Benos and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics, University of Piraeus - Department of Banking and Financial Management and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 942 (24,176)
Citation 1

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Value at Risk, GARCH estimation, Backtesting, Volatility forecasting, Quantile Loss Function

3.

Econometric Modeling of Value-at-Risk

New Econometric Modeling Research, 2007
Number of pages: 72 Posted: 29 Sep 2006
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 697 (36,835)

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Backtesting, Expected Shortfall, Value-at-Risk, Volatility Forecasting

Modeling Risk: VAR Methods for Long and Short Trading Positions

Number of pages: 11 Posted: 07 Feb 2005
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 657 (39,255)
Citation 1

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Asymmetric Power ARCH model, Skewed-t Distribution, Value-at-Risk, Volatility Forecasting

Modeling Risk: VAR Methods for Long and Short Trading Positions

Journal of Risk Finance, Vol. 6, No. 3, pp. 226-238, 2005
Posted: 12 Sep 2005 Last Revised: 01 Oct 2019
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences

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Asymmetric Power ARCH model, Skewed-t Distribution, Value-at-Risk, Volatility Forecasting

Modeling Risk: VaR Methods for Long and Short Trading Positions

Journal of Risk Finance, Vol. 6, No. 3, pp. 226-238, 2005
Posted: 30 Jan 2008 Last Revised: 08 Oct 2018
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences

Abstract:

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Asymmetric Power ARCH model, Skewed-t Distribution, Value-at-Risk, Volatility Forecasting

5.

The Impact of the EC Financial Instruments Markets Directive on the Trading Volume of EU Equity Markets

Athens University of Economics and Business, Statistics Technical Report No. 219
Number of pages: 43 Posted: 01 Nov 2005
Emilios Avgouleas and Stavros Antonios Degiannakis
University of Edinburgh - School of Law and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 631 (42,126)
Citation 2

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Trading Volume, London Stock Exchange, MiFID, MTFs, Pre-Trade Transparency, Post-Trade Transparency, Regulated Markets, SEAQ, SETS, Structural Time Series Analysis, Systematic Internalisers.

6.

Autoregressive Conditional Heteroscedasticity (Arch) Models: A Review

Quality Technology and Quantitative Management, Vol. 1, No. 2, pp. 271-324, 2004
Number of pages: 78 Posted: 12 Sep 2005
Stavros Antonios Degiannakis and Evdokia Xekalaki
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Athens University of Economics and Business
Downloads 497 (57,236)

Abstract:

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ARCH models, Forecast Volatility.

7.

A Robust VAR Model

Number of pages: 24 Posted: 20 Apr 2005
Timotheos Angelidis, Alexander Benos and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics, University of Piraeus - Department of Banking and Financial Management and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 395 (75,635)

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Value-at-Risk, Asymmetric Power ARCH, Filtered Historical Simulation, Extreme Value Theory, Backtesting

8.

VaR and Intra-Day Volatility Forecasting: The Case of the Athens Stock Exchange

Managerial Finance, 2006
Number of pages: 12 Posted: 01 Nov 2005
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 294 (105,486)

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Asymmetric Power ARCH model, Intra Day Realized Volatility, Skewed-t Distribution, Value-at-Risk, Volatility Forecasting

9.

Forecasting One-Day-Ahead VAR and Intra-Day Realized Volatility in the Athens Stock Exchange Market

Managerial Finance, 2005
Number of pages: 18 Posted: 12 Sep 2005
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 290 (107,072)

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Asymmetric Power ARCH model, Intra Day Realized Volatility, Skewed-t Distribution, Value-at-Risk, Volatility Forecasting

10.

Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power Arch Skewed-T Model

Applied Financial Economics, Vol. 14, pp. 1333-1342, 2004
Number of pages: 24 Posted: 12 Sep 2005
Stavros Antonios Degiannakis
Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 257 (121,593)
Citation 2

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ARCH models, Fractional Integration, Intra-Day Volatility, Long Memory, Skewed-t Distribution, Value-at-Risk, Volatility Forecasting

11.

Forecasting VIX

Journal of Money, Investment and Banking, No. 4, 2008
Number of pages: 15 Posted: 11 Apr 2011
Stavros Antonios Degiannakis
Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 205 (151,803)

Abstract:

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ARCH, ARFIMAX, Fractional Integration, Volatility Forecasting, VIX Index

12.

Volatility Forecasting: The Illusion of Choosing One Model in All Cases

Athens University Statistics Technical Report No. 218
Number of pages: 40 Posted: 29 Sep 2005
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 173 (177,110)

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ARFIMA, ARCH, FIAPARCH, fractional integration, option pricing, skewed Student-t distribution, value at risk, volatility forecasting

13.

Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market

Computational Statistics and Data Analysis, Vol. 49, No. 2, pp. 611-629, 2005
Number of pages: 17 Posted: 12 Sep 2005
Evdokia Xekalaki and Stavros Antonios Degiannakis
Athens University of Economics and Business and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 162 (187,331)

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ARCH models, Forecast Volatility, Model selection, Predictability, Standardized Prediction Error Criterion, Option Pricing

Predictability and Model Selection in the Context of Arch Models

Journal of Applied Stochastic Models in Business and Industry, Vol. 21, pp. 55-82, 2005
Number of pages: 47 Posted: 12 Sep 2005
Stavros Antonios Degiannakis and Evdokia Xekalaki
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Athens University of Economics and Business
Downloads 121 (237,792)

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ARCH models, Model selection, Predictability, Correlated Gamma Ratio distribution, Standardized Prediction Error Criterion

Predictability and Model Selection in the Context of Arch Models

Number of pages: 67 Posted: 08 Jul 2016
Stavros Antonios Degiannakis and Evdokia Xekalaki
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Athens University of Economics and Business
Downloads 5 (656,816)
Citation 1

Abstract:

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ARCH models, Model selection, Predictability, Correlated Gamma Ratio distribution, Prediction Error Criterion

15.

Trade Transparency and Trading Volume: The Possible Impact of the Financial Instruments Markets Directive on the Trading Volume of EU Equity Markets

International Journal of Financial Markets and Derivatives, Vol. 1, No. 1, pp. 96-123, 2009
Number of pages: 28 Posted: 11 Apr 2011
Stavros Antonios Degiannakis and Emilios Avgouleas
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and University of Edinburgh - School of Law
Downloads 99 (272,904)

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Trading Volume, London Stock Exchange, LSE, MiFID Multilateral Trading Facilities, MTFs, Transparency, Regulated Markets, Stock Exchange Automatic Quotation System, SEAQ, Securities Electronic Trading Service, SETS, Systematic Internalisers

On the Independence of the Standardized One-Step-Ahead Prediction Errors in Arch Models

Proceedings of the 7th Hellenic-European Conference on Computer Mathematics and its Applications HERCMA 2005
Number of pages: 9 Posted: 12 Oct 2005
Stavros Antonios Degiannakis and Evdokia Xekalaki
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Athens University of Economics and Business
Downloads 44 (426,646)
Citation 1

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ARCH models, Standardized Prediction Error Criterion, Model selection, Monte Carlo Simulation, Predictability, One-step-ahead Prediction Errors

On the Independence of the Standardized One-Step-Ahead Prediction Errors in Arch Models

Proceedings of the 7th Hellenic-European Conference on Computer Mathematics and its Applications, 2005
Number of pages: 9 Posted: 06 Feb 2008 Last Revised: 23 Jan 2009
Stavros Antonios Degiannakis and Evdokia Xekalaki
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Athens University of Economics and Business
Downloads 23 (532,455)

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ARCH models, Standardized Prediction Error Criterion, Model selection, Monte Carlo Simulation, Predictability, One-step-ahead Prediction Errors

17.

VAR and Intraday Volatility Forecasting: The Case of the Athens Stock Exchange

Number of pages: 12 Posted: 07 Feb 2005 Last Revised: 08 Oct 2018
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 57 (374,037)

Abstract:

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Asymmetric Power ARCH model, Intra Day Realized Volatility, Skewed-t Distribution, Value-at-Risk, Volatility Forecasting

18.

Backtesting VaR Models: A Τwo-Stage Procedure

Number of pages: 28 Posted: 26 Oct 2018
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 55 (380,481)
Citation 1

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Backtesting, Value-at-Risk, Expected Shortfall, Volatility Forecasting, Arch Models

19.

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

International Journal of Computational Economics and Econometrics, Vol. 1, No. 1, pp. 89-110, 2009
Number of pages: 22 Posted: 11 Apr 2011
Stavros Antonios Degiannakis and George Giannopoulos
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Kingston University
Downloads 42 (426,051)

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Post-Earnings Announcement Drift, PEAD, Self-Attribution Bias, Asymmetric Response, Private Information, Forecast Revision, Forecast Error, Athens Stock Exchange, Earnings Announcement, Computational Economics

20.

Measuring the Predictive Accuracy of the Correlated Gamma Ratio Method for Model Selection

Proceedings of the 5th Hellenic-European Conference on Computer Mathematics and its Applications, Athens, Greece, E.A. Lypitakis (ed.), pp.732-739, 2001
Number of pages: 8 Posted: 06 Feb 2008 Last Revised: 23 Jan 2009
Stavros Antonios Degiannakis and Evdokia Xekalaki
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Athens University of Economics and Business
Downloads 38 (442,244)

Abstract:

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ARCH models, forecast volatility, model selection, predictability, correlated gamma ratio distribution

21.

Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models

Applied Financial Economics, Vol. 17, pp. 149-171, 2007
Number of pages: 23 Posted: 11 Nov 2007 Last Revised: 01 Feb 2009
Stavros Antonios Degiannakis and Evdokia Xekalaki
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Athens University of Economics and Business
Downloads 34 (459,243)
Citation 1

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22.

The One-Trading-Day-Ahead Forecast Errors of Intra-Day Realized Volatility

Number of pages: 32 Posted: 26 Oct 2018
Stavros Antonios Degiannakis
Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 29 (482,903)

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ARFIMA model, HAR model, intra-day data, predictive ability, realized volatility, ultra-high frequency modelling

23.

Using a Prediction Error Criterion for Model Selection in Forecasting Option Prices

Technical Report no 131, March 2001
Number of pages: 41 Posted: 08 Jul 2016
Stavros Antonios Degiannakis and Evdokia Xekalaki
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Athens University of Economics and Business
Downloads 23 (515,796)
Citation 3

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ARCH models, Forecast Volatility, Option Pricing, Model selection, Predictability, Correlated Gamma Ratio Distribution, Prediction Error Criterion

24.

Persistence of Shocks and the Reallocation of Labor

FRB St. Louis Working Paper No. 2016-14
Number of pages: 42 Posted: 20 Jul 2016 Last Revised: 05 Jan 2019
Timotheos Angelidis, Alexander Benos and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics, University of Piraeus - Department of Banking and Financial Management and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 22 (521,748)

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Firm Dynamics, Adjustment Costs, Misallocation, Persistence of Shocks

25.

Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes

Applied Financial Economics Letters, Vol. 3, pp. 31-37, 2007
Number of pages: 7 Posted: 11 Nov 2007 Last Revised: 01 Feb 2009
Stavros Antonios Degiannakis and Evdokia Xekalaki
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Athens University of Economics and Business
Downloads 21 (527,592)

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26.

Forecasting Realized Volatility of Agricultural Commodities

International Journal of Forecasting, Forthcoming
Number of pages: 48 Posted: 07 Sep 2019 Last Revised: 27 Oct 2019
Stavros Antonios Degiannakis, George Filis, Tony Klein and Thomas Walther
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, Bournemouth University, Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 17 (557,426)

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Agricultural Commodities, Realized Volatility, Median Realized Volatility, Heterogeneous Autoregressive model, Forecasting

27.

Time-Varying Correlation Between Oil and Stock Market Volatilities: Evidence From Oil-Importing and Oil-Exporting Countries

MPRA Paper No. 80435
Number of pages: 36 Posted: 26 Oct 2018
Rustam Boldanov, Stavros Antonios Degiannakis and George N. Filis
Bournemouth University, Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Bournemouth University
Downloads 16 (557,426)
Citation 1

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Conditional Volatility, Realized Volatility, Time-Varying Correlation, Diag-BEKK, GARCH, Oil-Importing Countries, Oil-Exporting Countries

28.

Hedge Fund Returns under Crisis Scenarios: A Holistic Approach

Number of pages: 27 Posted: 26 Oct 2018
Chrysostomos Stoforos, Stavros Antonios Degiannakis and Theodosios Palaskas
Panteion University of Athens - Panteion University of Political and Social Sciences, Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Panteion University of Athens - Panteion University of Political and Social Sciences
Downloads 15 (563,565)

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Absolute Returns, Carhart’s Model, Dynamic Conditional Correlation, Financial Crisis, Hedge Funds, Structural Breaks

29.

Intra-Day Realized Volatility for European and USA Stock Indices

Global Finance Journal, Vol. 29, 2016
Number of pages: 27 Posted: 26 Oct 2018 Last Revised: 30 Sep 2019
Stavros Antonios Degiannakis and Christos Floros
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Technological Educational Institute of Crete
Downloads 14 (569,930)

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correlation of volatilities, intra-day data, model-free de-noising, realized volatility, sampling frequency, ultra-high frequency, volatility signature plot

30.

Forecasting Realized Intra-Day Volatility and Value at Risk: Evidence From a Fractional Integrated Asymmetric Power ARCH Skewed-T Model

MPRA Paper No. 80488, Applied Financial Economics No. 14 (2004)
Number of pages: 24 Posted: 25 Oct 2018
Stavros Antonios Degiannakis
Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 14 (569,930)

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ARCH Models, Fractional Integration, Intra-Day Volatility, Long Memory, Skewedt Distribution, Value-at-Risk, Volatility Forecasting

31.

Modeling Risk for Long and Short Trading Positions

MPRA Paper No. 80467, Journal of Risk Finance, Vol. 3, No. 6 (2005)
Number of pages: 20 Posted: 25 Oct 2018
Timotheos Angelidis and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 12 (582,708)

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Asymmetric Power ARCH Model, Evaluate Forecasting Ability, Skewed-T Distribution, Value-at-Risk, Volatility Forecasting

32.

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

Number of pages: 24 Posted: 25 Oct 2018
Stavros Antonios Degiannakis, Christos Floros and Alexandra Livada
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 12 (582,708)

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

33.

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 12 (582,708)

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

34.

Earnings Management to Avoid Losses and Earnings Declines in Croatia

Number of pages: 31 Posted: 26 Oct 2018
Stavros Antonios Degiannakis, George Giannopoulos, Salma Ibrahim and Ivana Rozic
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, Kingston University, Kingston Business School and Kingston Business School
Downloads 11 (589,143)

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Earnings management; Earnings Declines; Earnings Losses; Discretionary Accruals; Earnings frequency distribution

35.

Multiple-Days-Ahead Value-At-Risk and Expected Shortfall Forecasting for Stock Indices, Commodities and Exchange Rates: Inter-Day Versus Intra-Day Data

Number of pages: 34 Posted: 26 Oct 2018
Stavros Antonios Degiannakis and Artemis Potamia
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Panteion University of Athens - Department of Economic and Regional Development
Downloads 10 (595,568)

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Basel II, Basel III, Value-at-Risk, Expected Shortfall, volatility forecasting, intraday data, multi-period-ahead, forecasting accuracy, risk modelling

36.

US Stock Market Regimes and Oil Price Shocks

MPRA Paper No. 80436
Number of pages: 30 Posted: 26 Oct 2018
Timotheos Angelidis, Stavros Antonios Degiannakis and George N. Filis
University of Peloponnese - Department of Economics, Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Bournemouth University
Downloads 10 (595,568)
Citation 1

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Oil Price Shocks, Oil Price Volatility, Regime Switching, Stock Market Volatility, US Stock Market

37.

Modeling CAC40 Volatility Using Ultra-high Frequency Data

MPRA Paper No. 80445, Research in International Business and Finance No. 28 (2013)
Number of pages: 27 Posted: 25 Oct 2018
Stavros Antonios Degiannakis and Christos Floros
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Technological Educational Institute of Crete
Downloads 10 (595,568)

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Intra-Day Data, Long Memory, Predictability, Realized Volatility, Ultrahigh Frequency Modeling, Value-at-Risk

38.

ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling

MPRA Paper No. 80465, Journal of Applied Statistics , Vol. 10, No. 35 (2008)
Number of pages: 20 Posted: 25 Oct 2018
Stavros Antonios Degiannakis
Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 10 (595,568)

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ARFIMAX, Realized Volatility, TARCH, Volatility Forecasting

39.

A Comparison of the Standardized Prediction Error Criterion with Other ARCH Model Selection Criteria

Technical Report no 205, March 2004
Number of pages: 14 Posted: 08 Jul 2016
Evdokia Xekalaki and Stavros Antonios Degiannakis
Athens University of Economics and Business and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 10 (595,568)
Citation 1

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ARCH models, Forecast Volatility, Model selection, Option Pricing, Predictability, Standardized Prediction Error Criterion

40.

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 9 (602,035)

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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

41.

Oil and Stock Price Returns: Evidence from European Industrial Sector Indices in a Time-Varying Environment

Number of pages: 32 Posted: 25 Oct 2018
Stavros Antonios Degiannakis, George N. Filis and Christos Floros
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, Bournemouth University and Technological Educational Institute of Crete
Downloads 9 (602,035)
Citation 1

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Diag-VECH GARCH, Dynamic correlation, Multivariate Heteroskedastic Framework, Oil Price Returns, Oil Price Shocks, Stock Market Sectors

42.

Using the Prediction Error Criterion as a Selection Method in Forecasting Option Prices: A Simulation Approach

Technical Report no 191, October (2002)
Number of pages: 19 Posted: 08 Jul 2016
Stavros Antonios Degiannakis and Evdokia Xekalaki
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Athens University of Economics and Business
Downloads 9 (602,035)

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ARCH models, Forecast Volatility, Model selection, Predictability, Correlated Gamma Ratio Distribution, Prediction Error Criterion, Option Pricing

43.

Multivariate Modelling of 10-Day-Ahead VaR and Dynamic Correlation for Worldwide Real Estate and Stock Indices

MPRA Paper No. 80438, Journal of Economic Studies , Vol. 2, No. 41 (2014)
Number of pages: 24 Posted: 26 Oct 2018
Stavros Antonios Degiannakis and Apostolos Kiohos
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Technological Educational Institute (TEI) of Athens
Downloads 8 (608,731)

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Basel Committee Requirements, Diag-VECH, Dynamic Correlation, Local Correlation Predictive Power, Multivariate ARCH, Risk Management, Real Estate Market, Value-at-Risk, Multi-Period Volatility Forecasting

A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification

Number of pages: 41 Posted: 26 Oct 2018
Stavros Antonios Degiannakis, Pamela Dent and Christos Floros
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, University of Portsmouth and Technological Educational Institute of Crete
Downloads 8 (635,088)

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Expected Shortfall, FIGARCH, Forecasting, stock indices, skewed Student-t, Volatility, Long Memory, Value-at-Risk, VaR

A Monte Carlo Simulation Approach to Forecasting Multi‐Period Value‐At‐Risk and Expected Shortfall Using the FIGARCH‐skT Specification

The Manchester School, Vol. 82, Issue 1, pp. 71-102, 2014
Number of pages: 32 Posted: 18 Dec 2013
Stavros Antonios Degiannakis, Pamela Dent and Christos Floros
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, University of Portsmouth and Technological Educational Institute of Crete
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45.

Oil and Pump Prices: Is There Any Asymmetry in the Greek Oil Downstream Sector?

Number of pages: 27 Posted: 05 Sep 2019
Zacharias Bragoudakis, Stavros Antonios Degiannakis and George Filis
Bank of Greece, Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Bournemouth University
Downloads 7 (615,222)

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oil price shocks, fuel prices, asymmetric responses, rockets and feathers, pass-through

46.

Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility: International Evidence

MPRA Paper No. 80433, International Review of Financial Analysis No. 27 (2013)
Number of pages: 34 Posted: 27 Oct 2018
Stavros Antonios Degiannakis, Christos Floros and Pamela Dent
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, Technological Educational Institute of Crete and University of Portsmouth
Downloads 7 (615,222)

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Expected Shortfall, Long Memory, Multi-Period Forecasting, Value-at-Risk, Volatility Forecasting

47.

Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm

Technical Report no 133, March 2001
Number of pages: 36 Posted: 08 Jul 2016
Stavros Antonios Degiannakis and Evdokia Xekalaki
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Athens University of Economics and Business
Downloads 7 (615,222)
Citation 1

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ARCH models, Forecast Volatility, Model selection, Predictability, Correlated Gamma Ratio Distribution, Prediction Error Criterion

48.

Business Cycle Synchronisation in EU: A Time-Varying Approach

MPRA Paper No. 80437
Number of pages: 33 Posted: 26 Oct 2018
Stavros Antonios Degiannakis, David Duffy and George N. Filis
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, Economic & Social Research Institute (ESRI) and Bournemouth University
Downloads 6 (621,843)

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Scalar-BEKK, Multivariate Riskmetrics, Time Varying Correlation, EU Business Cycle, Business Cycle Synchronisation

49.

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
Stavros Antonios Degiannakis, Alexandra Livada and Epameinondas Panas
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 6 (621,843)

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

50.

A Robust VaR Model under Different Time Periods and Weighting Schemes

Number of pages: 25 Posted: 25 Oct 2018
Timotheos Angelidis, Alexandros Benos and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics, National Bank of Greece and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
Downloads 6 (621,843)

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Asymmetric Power ARCH, Backtesting, Extreme Value Theory, Filtered Historical Simulation, Value-at-Risk

51.

Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting

Number of pages: 25 Posted: 26 Oct 2018
Sotiris Bersimis, Stavros Antonios Degiannakis and Dimitrios Georgakellos
University of Piraeus, Department of Economic and Regional Development, Panteion University of Political and Social Sciences and University of Piraeus
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Air Quality Surveillance, Atmospheric Pollution, Autoregressive Conditional Heteroskedasticity modelling, Control Charts, Diag-aVECH, Multivariate Statistical Process Monitoring, Multivariate Time Series, Value-at-Risk

52.

Forecasting European Economic Policy Uncertainty

Scottish Journal of Political Economy, Vol. 66, Issue 1, pp. 94-114, 2019
Number of pages: 21 Posted: 07 Jan 2019
Stavros Antonios Degiannakis and George N. Filis
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Bournemouth University
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53.

SPEC Model Selection Algorithm for ARCH Models: An Options Pricing Evaluation Framework

(2008). Applied Financial Economics Letters, 4(6), 419-423
Posted: 05 Jul 2016
Stavros Antonios Degiannakis and Evdokia Xekalaki
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Athens University of Economics and Business

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54.

Business Cycle Synchronization in EU: A Time‐Varying Approach

Scottish Journal of Political Economy, Vol. 61, Issue 4, pp. 348-370, 2014
Number of pages: 23 Posted: 26 Jul 2014
Stavros Antonios Degiannakis, David Duffy and George N. Filis
Department of Economic and Regional Development, Panteion University of Political and Social Sciences, Ulster University and Portsmouth Unversity
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55.

The Use of Garch Models in Var Estimation

Minnesota Law Review, Forthcoming
Number of pages: 1
Timotheos Angelidis, Alexander Benos and Stavros Antonios Degiannakis
University of Peloponnese - Department of Economics, University of Piraeus - Department of Banking and Financial Management and Department of Economic and Regional Development, Panteion University of Political and Social Sciences
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Value at Risk, GARCH estimation, Backtesting, Volatility forecasting, Quantile Loss Function