Stavros Antonios Degiannakis

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

Associate Professor

136 Sygrou

Athens

Greece

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

SCHOLARLY PAPERS

41

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Scholarly Papers (41)

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1.

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 651 (70,956)
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.

2.

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 517 (94,558)

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ARCH models, Forecast Volatility.

3.

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 380 (136,512)

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

4.

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 270 (195,003)
Citation 3

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

5.

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 180 (285,464)

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

6.

Predictability and Model Selection in the Context of Arch Models

Downloads 168 (302,991)
Citation 4

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 139 (354,989)

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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 29 (827,432)
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ARCH models, Model selection, Predictability, Correlated Gamma Ratio distribution, Prediction Error Criterion

7.

Forecasting Realized Volatility of Agricultural Commodities

Degiannakis, Stavros; Filis, George; Klein, Tony; Walther, Thomas (2020): Forecasting Realized Volatility of Agricultural Commodities in: International Journal of Forecasting, Vol. 38, No. 1, pp. 74-96. DOI: 10.1016/j.ijforecast.2019.08.011
Number of pages: 48 Posted: 07 Sep 2019 Last Revised: 31 Jan 2022
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 121 (393,586)
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Agricultural Commodities, Realized Volatility, Median Realized Volatility, Heterogeneous Autoregressive model, Forecasting

8.

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 119 (398,368)

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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

9.

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

Downloads 110 (421,822)
Citation 1

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 75 (545,505)
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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 35 (777,878)

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

10.

What Matters When Developing Oil Price Volatility Forecasting Frameworks?

USAEE Working Paper No. 20-446
Number of pages: 46 Posted: 14 May 2020
Panagiotis Delis, Stavros Antonios Degiannakis and George Filis
Panteion University of Athens - Department of Economic and Regional Development, Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Bournemouth University
Downloads 67 (577,446)

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HAR model, realized volatility, Oil price implied volatility index, multi-step ahead forecasts, time-varying parameter model

11.

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 62 (595,981)
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12.

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 57 (621,101)

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

13.

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 56 (626,300)

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

14.

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 54 (636,975)

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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

15.

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 53 (642,474)
Citation 1

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

16.

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 52 (648,016)
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Expected Shortfall, FIGARCH, Forecasting, stock indices, skewed Student-t, Volatility, Long Memory, Value-at-Risk, VaR

17.

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 48 (670,748)
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Earnings management; Earnings Declines; Earnings Losses; Discretionary Accruals; Earnings frequency distribution

18.

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

Downloads 33 (676,768)
Citation 1

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 33 (793,948)
Citation 1

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

19.

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 47 (676,768)

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20.

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 46 (682,849)
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ARCH models, Forecast Volatility, Option Pricing, Model selection, Predictability, Correlated Gamma Ratio Distribution, Prediction Error Criterion

21.

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 44 (695,399)

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

22.

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 44 (695,399)

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Firm Dynamics, Adjustment Costs, Misallocation, Persistence of Shocks

23.

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 40 (721,828)
Citation 2

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

24.

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 37 (742,738)
Citation 13

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

25.

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 33 (772,199)
Citation 1

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ARFIMAX, Realized Volatility, TARCH, Volatility Forecasting

26.

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 32 (779,846)

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

27.

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 30 (795,586)
Citation 1

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

28.

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 29 (803,644)
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Integrated Volatility, Intra-day Volatility, Price range, Realized volatility, Stochastic Differential Equation

29.

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 29 (803,644)
Citation 1

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

30.

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
Downloads 27 (820,074)

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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

31.

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 27 (820,074)
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ARCH models, Forecast Volatility, Model selection, Predictability, Correlated Gamma Ratio Distribution, Prediction Error Criterion

32.

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 26 (828,643)
Citation 1

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

33.

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 26 (828,643)
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Diag-VECH GARCH, Dynamic correlation, Multivariate Heteroskedastic Framework, Oil Price Returns, Oil Price Shocks, Stock Market Sectors

34.

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 24 (845,911)
Citation 1

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

35.

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 23 (854,798)

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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

36.

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 23 (854,798)

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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

37.

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 22 (863,901)
Citation 1

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

38.

Oil Price Assumptions for Macroeconomic Policy

Number of pages: 44 Posted: 25 Mar 2022
Stavros Antonios Degiannakis and George Filis
Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Bournemouth University
Downloads 19 (892,167)

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Conditional forecasting, oil price forecasts, MIDAS, core inflation, inflation expectations.

39.

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 19 (892,167)

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

40.

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 19 (892,167)
Citation 1

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

41.

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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