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Stavros Antonios Degiannakis · Study
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Author
Stavros Antonios Degiannakis
32 works
· latest 2021
· 5 institutions
cluster: provisional
ORCID 0000-0003-1931-5494
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Citations
3,343
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Most cited in this library
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries
2011 · 764 citations
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence
2018 · 297 citations
The use of GARCH models in VaR estimation
2004 · 291 citations
Forecasting oil price realized volatility using information channels from other asset classes
2017 · 284 citations
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data
2013 · 186 citations
Works
32 shown
Oil price volatility forecasts: What do investors need to know?
Journal of International Money and Finance
·
2021
·
2 authors
43
citations
Forecasting realized volatility of agricultural commodities
International Journal of Forecasting
·
2020
·
4 authors
·
Open access
58
citations
Futures-based forecasts: How useful are they for oil price volatility forecasting?
Energy Economics
·
2019
·
3 authors
·
Open access
23
citations
Forecasting oil prices: High-frequency financial data are indeed useful
Energy Economics
·
2018
·
2 authors
·
Open access
71
citations
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence
The Energy Journal
·
2018
·
3 authors
297
citations
Oil price shocks and uncertainty: How stable is their relationship over time?
Economic Modelling
·
2018
·
3 authors
·
Open access
129
citations
Forecasting global stock market implied volatility indices
Journal of Empirical Finance
·
2018
·
3 authors
·
Open access
58
citations
Forecasting oil price realized volatility using information channels from other asset classes
Journal of International Money and Finance
·
2017
·
2 authors
·
Open access
284
citations
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries
International Review of Financial Analysis
·
2016
·
3 authors
157
citations
Multiple-Days-Ahead Value-At-Risk and Expected Shortfall Forecasting for Stock Indices, Commodities and Exchange Rates: Inter-Day Versus Intra-Day Data
International Review of Financial Analysis
·
2016
·
2 authors
·
Open access
32
citations
Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer?
Economic Modelling
·
2015
·
4 authors
21
citations
Modelling and Forecasting High Frequency Financial Data
Palgrave Macmillan UK eBooks
·
2015
·
2 authors
·
book
23
citations
Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting
Journal of Applied Statistics
·
2015
·
3 authors
·
Open access
9
citations
Business Cycle Synchronization in EU: A Time‐Varying Approach
Scottish Journal of Political Economy
·
2014
·
3 authors
51
citations
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data
The Energy Journal
·
2013
·
3 authors
186
citations
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment
Journal of International Financial Markets Institutions and Money
·
2013
·
3 authors
·
Open access
172
citations
Modeling CAC40 volatility using ultra-high frequency data
Research in International Business and Finance
·
2012
·
2 authors
·
Open access
25
citations
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence
International Review of Financial Analysis
·
2012
·
3 authors
·
Open access
48
citations
Evaluating value‐at‐risk models before and after the financial crisis of 2008
Managerial Finance
·
2012
·
3 authors
33
citations
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries
International Review of Financial Analysis
·
2011
·
3 authors
·
Open access
764
citations
ARCH Models for Financial Applications
Wiley eBooks
·
2010
·
2 authors
·
book
116
citations
ARFIMAX and ARFIMAX-TARCH realized volatility modeling
Journal of Applied Statistics
·
2008
·
1 author
45
citations
Rolling-sampled parameters of ARCH and Levy-stable models
Applied Economics
·
2008
·
3 authors
·
Open access
19
citations
Backtesting VaR models:a two-stage procedure
The Journal of Risk Model Validation
·
2007
·
2 authors
39
citations
Volatility forecasting: Intra-day versus inter-day models
Journal of International Financial Markets Institutions and Money
·
2007
·
2 authors
69
citations
A robust VaR model under different time periods and weighting schemes
Review of Quantitative Finance and Accounting
·
2006
·
3 authors
·
Open access
63
citations
Backtesting VAR Models: An Expected Shortfall Approach
SSRN Electronic Journal
·
2006
·
2 authors
·
preprint
·
Open access
20
citations
Modeling risk for long and short trading positions
The Journal of Risk Finance
·
2005
·
2 authors
·
Open access
40
citations
The use of GARCH models in VaR estimation
Statistical Methodology
·
2004
·
2 authors
·
Open access
291
citations
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model
Applied Financial Economics
·
2004
·
1 author
84
citations
Evaluating volatility forecasts in option pricing in the context of a simulated options market
Computational Statistics & Data Analysis
·
2004
·
2 authors
·
Open access
21
citations
Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review
Quality Technology & Quantitative Management
·
2004
·
2 authors
·
Open access
52
citations