Dimos S Kambouroudis

University of Stirling - Department of Accounting and Finance

Stirling, Scotland FK9 4LA

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS

1,262

SSRN CITATIONS

9

CROSSREF CITATIONS

0

Scholarly Papers (12)

1.

Volatility and Value-at-Risk Forecasting: Does Wavelet De-Noising Help?

Number of pages: 52 Posted: 27 Feb 2017
Abdel Razzaq Al Rababa'a, Dimos S Kambouroudis and David G. McMillan
University of Stirling - Department of Accounting and Finance, University of Stirling - Department of Accounting and Finance and University of Stirling
Downloads 186 (296,331)

Abstract:

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Wavelet; De-noising; Volatility; Forecasting, Value-at-Risk

2.

Lottery Stocks in the UK: Evidence, Characteristics and Cause

Number of pages: 45 Posted: 28 Apr 2021
Maher Khasawneh, David G. McMillan and Dimos S Kambouroudis
Hashemite university, University of Stirling and University of Stirling - Department of Accounting and Finance
Downloads 168 (324,059)

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Stock Returns, Lottery Effect, Idiosyncratic Volatility, Max-Effect

3.

Do Artificial Neural Networks Provide Improved Volatility Forecasts: Evidence from Asian Markets

Number of pages: 34 Posted: 20 Dec 2021
Mehmet Sahiner, David G. McMillan and Dimos S Kambouroudis
University of Stirling, University of Stirling and University of Stirling - Department of Accounting and Finance
Downloads 162 (334,391)
Citation 1

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Volatility, Forecasting, Neural Networks, Machine Learning, VaR, ES

4.

Forecasting Realised Volatility: Does the LASSO approach outperform HAR?

Number of pages: 39 Posted: 22 Mar 2021
Yi Ding, Dimos S Kambouroudis and David G. McMillan
University of Southampton - Department of Banking and Finance, University of Stirling - Department of Accounting and Finance and University of Stirling
Downloads 148 (360,376)

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Volatility Forecasting, HAR, Lasso, VaR

5.

Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements: Time-Scale Analysis and the Effects of Financial Crises

Number of pages: 66 Posted: 25 May 2018
Abdel Razzaq Al Rababa'a, Dimos S Kambouroudis and David G. McMillan
University of Stirling - Department of Accounting and Finance, University of Stirling - Department of Accounting and Finance and University of Stirling
Downloads 132 (394,339)

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Stock-bond Dynamic Correlation, Macroeconomic Surprises, Financial Crises, Wavelet

6.

Complex Network Analysis of Volatility Spillovers between Global Financial Indictors and G20 Stock Market

Number of pages: 30 Posted: 06 Feb 2022
Burak Korkusuz, David G. McMillan and Dimos S Kambouroudis
University of Stirling, University of Stirling and University of Stirling - Department of Accounting and Finance
Downloads 106 (464,607)
Citation 2

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Volatility spillover, GARCH-BEKK, Complex network theory, Global financial indicators, G20 stock markets

7.

Expected Profitability, the 52-Week High and the Idiosyncratic Volatility Puzzle

Number of pages: 43 Posted: 03 Nov 2021
Maher Khasawneh, David G. McMillan and Dimos S Kambouroudis
Hashemite university, University of Stirling and University of Stirling - Department of Accounting and Finance
Downloads 94 (503,992)

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Stock Returns, Idiosyncratic Volatility, Expected Profitability, 52-Week High

8.

Explaining Subsequent Trading Activity Using Wavelet Time-Scale Analysis: International Evidence

Number of pages: 39 Posted: 25 May 2018
Abdel Razzaq Al Rababa'a, Dimos S Kambouroudis and David G. McMillan
University of Stirling - Department of Accounting and Finance, University of Stirling - Department of Accounting and Finance and University of Stirling
Downloads 71 (595,461)

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Investor Overconfidence, Subsequent Trading, Recent Return, Subsequent Return, Wavelet

9.

Forecasting Realised Volatility Using Regime-Switching Models

Number of pages: 41 Posted: 11 Apr 2023
Yi Ding, Dimos S Kambouroudis and David G. McMillan
University of Southampton - Department of Banking and Finance, University of Stirling - Department of Accounting and Finance and University of Stirling
Downloads 70 (604,745)

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Realised volatility, Non-linearity, Regime switching, Value at risk, Expected shortfall

10.

Volatility Forecasting Across Tanker Freight Rates: The Role of Oil Price Shocks

Number of pages: 35 Posted: 27 Feb 2019
University of Stirling, University of Stirling - Department of Accounting and Finance, Swansea University and Athens University of Economics and Business
Downloads 57 (665,660)
Citation 6

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Volatility Forecasts, Tanker Freight Rates, Oil Price Shocks, GARCH-X Models

11.

Do Extreme Range Estimators Improve Realized Volatility Forecasts? Evidence from G7 Stock Markets

Number of pages: 17 Posted: 23 Feb 2023
Burak Korkusuz, Dimos S Kambouroudis and David G. McMillan
University of Stirling, University of Stirling - Department of Accounting and Finance and University of Stirling
Downloads 38 (787,800)

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volatility forecasting, realized volatility, G7 stock markets, HAR-RV-X model, rolling methods, MCS

12.

Cross-Border Exchanges and Volatility Forecasting

Forthcoming in Quantitative Finance, 2018
Number of pages: 30 Posted: 02 Aug 2018
Abhinav Goyal, Vasileios Kallinterakis, Dimos S Kambouroudis and Jason Laws
University of Birmingham, University of Liverpool - Management School (ULMS), University of Stirling - Department of Accounting and Finance and University of Liverpool - Accounting and Finance Division
Downloads 30 (851,275)

Abstract:

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volatility forecasting; exchange groups; feedback trading; global financial crisis