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Stavros Degiannakis

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This is information that was supplied by Stavros Degiannakis in registering through RePEc. If you are Stavros Degiannakis , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Stavros
Middle Name:
Last Name: Degiannakis
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RePEc Short-ID: pde735

Email: [This author has chosen not to make the email address public]
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Affiliation

(50%) Bank of Greece
Location: Athens, Greece
Homepage: http://www.bankofgreece.gr/
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Handle: RePEc:edi:boggvgr (more details at EDIRC)
(50%) Athens University of Economics and Business (AUEB)
Location: Athens, Greece
Homepage: http://www.aueb.gr/
Email:
Phone: +30 1 8203250
Fax: +301 8228419
Postal: 76, Patission Street, Athens 104 34
Handle: RePEc:edi:auebugr (more details at EDIRC)

Works

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Working papers

  1. Degiannakis, Stavros & Duffy, David & Filis, George, 2013. "Time-varying Business Cycles Synchronisation in Europe," MPRA Paper 52925, University Library of Munich, Germany.
  2. Stavros Degiannakis & Andreas Andrikopoulos & Timotheos Angelidis & Christos Floros, 2013. "Return dispersion, stock market liquidity and aggregate economic activity," Working Papers 166, Bank of Greece.
  3. Stavros Degiannakis & Timotheos Angelidis & George Filis, 2013. "Oil price shocks and volatility do predict stock market regimes," Working Papers 170, Bank of Greece.
  4. Stavros Degiannakis & George Filis & Renatas Kizys, 2013. "Oil price shocks and stock market volatility: evidence from European data," Working Papers 161, Bank of Greece.
  5. Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2010. "The Use of GARCH Models in VaR Estimation," Working Papers 0048, University of Peloponnese, Department of Economics.
  6. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.

Articles

  1. Stavros Degiannakis & Pamela Dent & Christos Floros, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, vol. 82(1), pages 71-102, 01.
  2. Stavros Degiannakis & Apostolos Kiohos, 2014. "Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices," Journal of Economic Studies, Emerald Group Publishing, vol. 41(2), pages 216 - 232, March.
  3. Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 175-191.
  4. Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 21-33.
  5. Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process," Economic Modelling, Elsevier, vol. 30(C), pages 212-216.
  6. Degiannakis, Stavros & Floros, Christos, 2013. "Modeling CAC40 volatility using ultra-high frequency data," Research in International Business and Finance, Elsevier, vol. 28(C), pages 68-81.
  7. Stavros Degiannakis & Christos Floros & Alexandra Livada, 2012. "Evaluating value-at-risk models before and after the financial crisis of 2008: International evidence," Managerial Finance, Emerald Group Publishing, vol. 38(3), pages 436-452, March.
  8. Filis, George & Degiannakis, Stavros & Floros, Christos, 2011. "Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 152-164, June.
  9. Stavros Degiannakis & Christos Floros, 2010. "Hedge Ratios in South African Stock Index Futures," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(3), pages 285-304, December.
  10. Stavros Degiannakis & George Giannopoulos, 2009. "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, Inderscience Enterprises Ltd, vol. 1(1), pages 89-110.
  11. Emilios Avgouleas & Stavros Degiannakis, 2009. "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, Inderscience Enterprises Ltd, vol. 1(1), pages 96-123.
  12. Stavros Degiannakis & Evdokia Xekalaki, 2008. "SPEC model selection algorithm for ARCH models: an options pricing evaluation framework," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(6), pages 419-423.
  13. Angelidis, Timotheos & Degiannakis, Stavros, 2008. "Volatility forecasting: Intra-day versus inter-day models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 449-465, December.
  14. Stavros Degiannakis, 2008. "ARFIMAX and ARFIMAX-TARCH realized volatility modeling," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(10), pages 1169-1180.
  15. Stavros Degiannakis & Alexandra Livada & Epaminondas Panas, 2008. "Rolling-sampled parameters of ARCH and Levy-stable models," Applied Economics, Taylor & Francis Journals, vol. 40(23), pages 3051-3067.
  16. Timotheos Angelidis & Stavros Degiannakis, 2008. "Forecasting one-day-ahead VaR and intra-day realized volatility in the Athens Stock Exchange Market," Managerial Finance, Emerald Group Publishing, vol. 34(7), pages 489-497.
  17. Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007. "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 187-201, February.
  18. Stavros Degiannakis & Evdokia Xekalaki, 2007. "Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(1), pages 31-37, January.
  19. Stavros Degiannakis & Evdokia Xekalaki, 2007. "Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 149-171.
  20. Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 611-629, April.
  21. Timotheos Angelidis & Stavros Degiannakis, 2005. "Modeling risk for long and short trading positions," Journal of Risk Finance, Emerald Group Publishing, vol. 6(3), pages 226-238, May.
  22. Stavros Degiannakis, 2004. "Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model," Applied Financial Economics, Taylor & Francis Journals, vol. 14(18), pages 1333-1342.

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2014-01-24
  2. NEP-ECM: Econometrics (2) 2007-01-23 2010-03-28. Author is listed
  3. NEP-EEC: European Economics (1) 2014-01-24
  4. NEP-ENE: Energy Economics (2) 2013-11-16 2014-04-05. Author is listed
  5. NEP-ETS: Econometric Time Series (2) 2007-01-23 2010-03-28. Author is listed
  6. NEP-FMK: Financial Markets (2) 2013-11-16 2014-01-17. Author is listed
  7. NEP-FOR: Forecasting (3) 2007-01-23 2010-03-28 2014-04-05. Author is listed
  8. NEP-MAC: Macroeconomics (1) 2014-01-24
  9. NEP-OPM: Open Economy Macroeconomics (1) 2014-01-24
  10. NEP-RMG: Risk Management (2) 2007-01-23 2010-03-28. Author is listed

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