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  1. Forecasting European economic policy uncertainty

    Article • Scottish Journal of Political Economy, January 2019, Wiley

    Professor Stavros Degiannakis

  2. Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component

    Article • Applied Economics Letters, November 2018, Taylor & Francis

    Professor Stavros Degiannakis, Dr George Filis

  3. Forecasting oil price realized volatility using information channels from other asset classes

    Article • Journal of International Money and Finance, September 2017, Elsevier

    Professor Stavros Degiannakis

  4. Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data

    Article • International Review of Financial Analysis, January 2017, Elsevier

    Professor Stavros Degiannakis

  5. A real time monitoring scheme of air pollution variables, based on financial time series models

    Article • Journal of Applied Statistics, March 2016, Taylor & Francis

    Professor Stavros Degiannakis

  6. Intra-day realized volatility for European and USA stock indices

    Article • Global Finance Journal, February 2016, Elsevier

    Professor Stavros Degiannakis

  7. Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer?

    Article • Economic Modelling, January 2016, Elsevier

    Professor Stavros Degiannakis

  8. Forecasting tourist arrivals using origin country macroeconomics

    Article • Applied Economics, December 2015, Taylor & Francis

    Professor Stavros Degiannakis

  9. US stock market regimes and oil price shocks

    Article • Global Finance Journal, October 2015, Elsevier

    Dr George Filis, Professor Stavros Degiannakis

  10. Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors

    Article • Journal of Applied Statistics, September 2015, Taylor & Francis

    Professor Stavros Degiannakis

  11. A Probit Model for the State of the Greek GDP Growth

    Article • International Journal of Financial Studies, August 2015, MDPI AG

    Professor Stavros Degiannakis

  12. Modelling and Forecasting High Frequency Financial Data

    Article • January 2015, Nature

    Professor Stavros Degiannakis

  13. Intraday Realized Volatility Measures

    Article • January 2015, Nature

    Professor Stavros Degiannakis

  14. Methods of Volatility Estimation and Forecasting

    Article • January 2015, Nature

    Professor Stavros Degiannakis

  15. Recent Methods: A Review

    Article • January 2015, Nature

    Professor Stavros Degiannakis

  16. Realized Volatility Forecasting: Applications

    Article • January 2015, Nature

    Professor Stavros Degiannakis

  17. Multiple Model Comparison and Hypothesis Framework Construction

    Article • January 2015, Nature

    Professor Stavros Degiannakis

  18. Introduction to High Frequency Financial Modelling

    Article • January 2015, Nature

    Professor Stavros Degiannakis

  19. Intraday Hedge Ratios and Option Pricing

    Article • January 2015, Nature

    Professor Stavros Degiannakis

  20. Business Cycle Synchronization in EU: A Time-Varying Approach

    Article • Scottish Journal of Political Economy, July 2014, Wiley

    Dr George Filis, Professor Stavros Degiannakis

  21. Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices

    Article • Journal of Economic Studies, March 2014, Emerald

    Professor Stavros Degiannakis

  22. The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data

    Article • The Energy Journal, January 2014, International Association for Energy Economics (IAEE)

    Professor Stavros Degiannakis, Dr George Filis

  23. Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment

    Article • Journal of International Financial Markets Institutions and Money, October 2013, Elsevier

    Professor Stavros Degiannakis

  24. Modeling CAC40 volatility using ultra-high frequency data

    Article • Research in International Business and Finance, May 2013, Elsevier

    Professor Stavros Degiannakis

  25. VaR & ES predictions

    Article • International Review of Financial Analysis, April 2013, Elsevier

    Professor Stavros Degiannakis

  26. Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process

    Article • Economic Modelling, January 2013, Elsevier

    Professor Stavros Degiannakis

  27. A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification

    Article • Manchester School, December 2012, Wiley

    Professor Stavros Degiannakis

  28. Evaluating value‐at‐risk models before and after the financial crisis of 2008

    Article • Managerial Finance, March 2012, Emerald

    Professor Stavros Degiannakis

  29. Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries

    Article • International Review of Financial Analysis, June 2011, Elsevier

    Dr George Filis, Professor Stavros Degiannakis

  30. Hedge Ratios in South African Stock Index Futures

    Article • Journal of Emerging Market Finance, December 2010, SAGE Publications

    Professor Stavros Degiannakis

  31. ARCH Models for Financial Applications

    Article • March 2010, Wiley

    Professor Stavros Degiannakis

  32. Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets

    Article • International Journal of Financial Markets and Derivatives, January 2009, Inderscience Publishers

    Professor Stavros Degiannakis

  33. 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

    Article • International Journal of Computational Economics and Econometrics, January 2009, Inderscience Publishers

    Professor Stavros Degiannakis

  34. Rolling-sampled parameters of ARCH and Levy-stable models

    Article • Applied Economics, December 2008, Taylor & Francis

    Professor Stavros Degiannakis

  35. Volatility forecasting: Intra-day versus inter-day models

    Article • Journal of International Financial Markets Institutions and Money, December 2008, Elsevier

    Professor Stavros Degiannakis

  36. SPEC model selection algorithm for ARCH models: an options pricing evaluation framework

    Article • Applied Financial Economics Letters, October 2008, Taylor & Francis

    Professor Stavros Degiannakis

  37. ARFIMAX and ARFIMAX-TARCH realized volatility modeling

    Article • Journal of Applied Statistics, August 2008, Taylor & Francis

    Professor Stavros Degiannakis

  38. Forecasting one‐day‐ahead VaR and intra‐day realized volatility in the Athens Stock Exchange Market

    Article • Managerial Finance, June 2008, Emerald

    Professor Stavros Degiannakis

  39. Backtesting VaR models:a two-stage procedure

    Article • The Journal of Risk Model Validation, August 2007, Incisive Media

    Professor Stavros Degiannakis

  40. Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models

    Article • Applied Financial Economics, January 2007, Taylor & Francis

    Professor Stavros Degiannakis

  41. Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes

    Article • Applied Financial Economics Letters, January 2007, Taylor & Francis

    Professor Stavros Degiannakis

  42. A robust VaR model under different time periods and weighting schemes

    Article • Review of Quantitative Finance and Accounting, December 2006, Springer Science + Business Media

    Professor Stavros Degiannakis

  43. Backtesting VaR Models: An Expected Shortfall Approach

    Article • SSRN Electronic Journal, January 2006, Elsevier

    Professor Stavros Degiannakis

  44. Modeling risk for long and short trading positions

    Article • The Journal of Risk Finance, July 2005, Emerald

    Professor Stavros Degiannakis

  45. Evaluating volatility forecasts in option pricing in the context of a simulated options market

    Article • Computational Statistics & Data Analysis, April 2005, Elsevier

    Professor Stavros Degiannakis

  46. Modeling Risk: VaR Methods for Long and Short Trading Positions

    Article • SSRN Electronic Journal, January 2005, Elsevier

    Professor Stavros Degiannakis

  47. Robust VaR Model

    Article • SSRN Electronic Journal, January 2005, Elsevier

    Professor Stavros Degiannakis

  48. Volatility Forecasting: The Illusion of Choosing One Model in All Cases

    Article • SSRN Electronic Journal, January 2005, Elsevier

    Professor Stavros Degiannakis

  49. On the Independence of the Standardized One-Step-Ahead Prediction Errors in ARCH Models

    Article • SSRN Electronic Journal, January 2005, Elsevier

    Professor Stavros Degiannakis

  50. The Impact of the EC Financial Instruments Markets Directive on the Trading Volume of EU Equity Markets

    Article • SSRN Electronic Journal, January 2005, Elsevier

    Professor Stavros Degiannakis

  51. Predictability and model selection in the context of ARCH models

    Article • Applied Stochastic Models in Business and Industry, January 2005, Wiley

    Professor Stavros Degiannakis

  52. Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model

    Article • Applied Financial Economics, December 2004, Taylor & Francis

    Professor Stavros Degiannakis

  53. The use of GARCH models in VaR estimation

    Article • Statistical Methodology, December 2004, Elsevier

    Professor Stavros Degiannakis

  54. Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review

    Article • Quality Technology & Quantitative Management, January 2004, Taylor & Francis

    Professor Stavros Degiannakis