21 E. Venizelos Avenue
GR 102 50 Athens
Athens University of Economics and Business
Bank of Greece
in Total Papers Downloads
in Total Papers Citations
Non-perfoming loans, Greek banking system, Macroeconomic determinants, Bank specific determinants, Dynamic panel data
Financial crisis, systemic stress, stress index, multivariate GARCH
Volatility Forecasting, Long Memory Models, High Frequency Data, HAR, Leverage Effects
asset markets, spillovers, vector autoregressive, Euro area, financial crisis
High frequency intraday data, Filtered Historical Simulation, Extreme Value Theory, Value-at-Risk forecasting, Financial crisis
Realized GARCH, Value-at-Risk, multiple forecasting horizons, alternative volatility measures, microstructure noise, price jumps
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