Stavros Degiannakis : Citation Profile

Are you Stavros Degiannakis?

Panteion University of Social and Political Sciences

11

H index

12

i10 index

485

Citations

RESEARCH PRODUCTION:

43

Articles

43

Papers

RESEARCH ACTIVITY:

   14 years (2004 - 2018). See details.
   Cites by year: 34
   Journals where Stavros Degiannakis has often published
   Relations with other researchers
   Recent citing documents: 93.    Total self citations: 53 (9.85 %)

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   Permalink: http://citec.repec.org/pde735
   Updated: 2019-03-23    RAS profile: 2019-03-05    
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Relations with other researchers

Works with:

Filis, George (26)

Floros, Christos (4)

Duffy, David (4)

Arora, Vipin (2)

Angelidis, Timotheos (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Stavros Degiannakis.

Is cited by:

Ratti, Ronald (23)

Filis, George (22)

Antonakakis, Nikolaos (17)

GUESMI, Khaled (12)

Yoon, Kyung Hwan (12)

Basher, Syed (10)

Aloui, Chaker (9)

Guesmi, Khaled (9)

Tiwari, Aviral (9)

Louzis, Dimitrios (9)

McAleer, Michael (8)

Cites to:

Bollerslev, Tim (148)

Kilian, Lutz (92)

Andersen, Torben (79)

Engle, Robert (78)

Diebold, Francis (66)

Hansen, Peter (56)

Filis, George (47)

Hamilton, James (45)

Laurent, Sébastien (41)

Lunde, Asger (41)

Giot, Pierre (40)

Main data

Where Stavros Degiannakis has published?

Journals with more than one article published# docs
International Review of Financial Analysis4
Global Finance Journal3
Applied Economics3
Journal of Applied Statistics3
Research in International Business and Finance3
Economic Modelling3
Applied Financial Economics Letters2
Scottish Journal of Political Economy2
Applied Financial Economics2
Managerial Finance2
The Energy Journal2
Journal of International Financial Markets, Institutions and Money2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany36
BAFES Working Papers / Department of Accounting, Finance & Economic, Bournemouth University3
Working Papers / Bank of Greece3

Recent works citing Stavros Degiannakis (2019 and 2018)

YearTitle of citing document
2018How does stock market volatility react to oil shocks?. (2018). Manera, Matteo ; Bastianin, Andrea. In: Papers. RePEc:arx:papers:1811.03820.

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2018Dynamic relations between oil and stock markets: Volatility spillovers, networks and causality. (2018). Sanin Restrepo, Sebastian ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose ; Sanin-Restrepo, Sebastian. In: Borradores de Economia. RePEc:bdr:borrec:1051.

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2018Return Volatility and Macroeconomic Factors: A Comparison of US and Pakistani Firms. (2018). Jan, Sharif Ullah ; Khan, Hashim . In: Business & Economic Review. RePEc:bec:imsber:v:10:y:2018:i:2:p:1-28.

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2018Reinvestigating the Oil Price–Stock Market Nexus: Evidence from Chinese Industry Stock Returns. (2018). Fang, Sheng ; Egan, Paul G ; Lu, Xinsheng. In: China & World Economy. RePEc:bla:chinae:v:26:y:2018:i:3:p:43-62.

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2018The Hidden Predictive Power of Cryptocurrencies: Evidence from US Stock Market. (2018). Isah, Kazeem ; Raheem, Ibrahim D. In: Working Papers. RePEc:cui:wpaper:0056.

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2018The regional pricing of risk: An empirical investigation of the MENA Region. (2018). Kablan, Akassi ; Belanes, Amel ; Khaled, Khaled. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00990.

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2018Role of Energy on Economy The Case of Micro to Macro Level Analysis. (2018). Sarwar, Suleman ; Khalid, Muqaddas ; Amir, Mehnoor ; Waheed, Rida. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-01019.

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2018Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities. (2018). Buberkoku, Onder. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-03-6.

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2018Asymmetric Responses of Stock Prices to Money Supply and Oil Prices Shocks in Turkey: New Evidence from a Nonlinear ARDL Approach. (2018). Altintas, Halil ; Yacouba, Kassouri . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-04-7.

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2018International and Macroeconomic Determinants of Oil Price: Evidence from Gulf Cooperation Council Countries. (2018). Albaity, Mohamed ; Mustafa, Hasan. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-01-9.

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2017Response pattern of stock returns to international oil price shocks: From the perspective of China’s oil industrial chain. (2017). Li, Qiming ; Cheng, KE ; Yang, Xiaoguang. In: Applied Energy. RePEc:eee:appene:v:185:y:2017:i:p2:p:1821-1831.

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2018Financial risk network architecture of energy firms. (2018). Uribe, Jorge ; Manotas, Diego ; Restrepo, Natalia . In: Applied Energy. RePEc:eee:appene:v:215:y:2018:i:c:p:630-642.

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2018Do all sectors respond to oil price shocks simultaneously?. (2018). Huang, Shupei ; Wang, Yue. In: Applied Energy. RePEc:eee:appene:v:227:y:2018:i:c:p:393-402.

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2017Is the price of gold to gold mining stocks asymmetric?. (2017). Batten, Jonathan ; Lucey, Brian M ; Kosedag, Arman ; Ciner, Cetin . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:402-407.

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2017Can investors of Chinese energy stocks benefit from diversification into commodity futures?. (2017). Nguyen, Duc Khuong ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:184-200.

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2018Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets. (2018). Tsutsui, Yoshiro ; Hirayama, Kenjiro ; Nishimura, Yusaku. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:237-248.

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2019Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables. (2019). Salisu, Afees ; Oloko, Tirimisiyu F ; Swaray, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:153-171.

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2019Oil price and automobile stock return co-movement: A wavelet coherence analysis. (2019). Pal, Debdatta ; Mitra, Subrata K. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:172-181.

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2018Oil prices, stock returns, and exchange rates: Empirical evidence from China and the United States. (2018). Bai, Shuming ; Koong, Kai S. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:12-33.

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2018The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico. (2018). Bermudez, Nancy Areli ; Saucedo, Eduardo ; Delgado, Estefania Bermudez. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:266-275.

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2018Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas. (2018). de Oliveira, Felipe A ; Da, Cassio ; de Jesus, Diego P ; Maia, Sinezio F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:83-100.

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2018Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach. (2018). Clements, Adam ; Herrera, Rodrigo ; Gonzalez, Sergio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:70-88.

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2018Oil price shocks and stock return volatility: New evidence based on volatility impulse response analysis. (2018). Eraslan, Sercan ; Ali, Faek Menla. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:59-62.

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2018Extreme dependence and risk spillovers between oil and Islamic stock markets. (2018). Shahzad, Syed Jawad Hussain ; Hussain, Syed Jawad ; Al-Yahyaee, Khamis H ; Ur, Mobeen ; Hammoudeh, Shawkat ; Mensi, Walid. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:42-63.

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2018Oil and the short-term predictability of stock return volatility. (2018). Yin, Libo ; Wang, Yudong ; Wu, Chongfeng ; Wei, YU. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:90-104.

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2018Oil volatility, oil and gas firms and portfolio diversification. (2018). Pérez de Gracia, Fernando ; Gabauer, David ; Filis, George ; Cuñado, Juncal ; Antonakakis, Nikolaos ; Cunado, Juncal. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:499-515.

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2018Impact of oil price risk on sectoral equity markets: Implications on portfolio management. (2018). Tiwari, Aviral ; Yoon, Seong-Min ; Mitra, Amarnath ; Jena, Sangram Keshari. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:120-134.

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2018Risk spillover of international crude oil to Chinas firms: Evidence from granger causality across quantile. (2018). Peng, Cheng ; Chen, Xiuyun ; Guo, Yawei ; Zhu, Huiming. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:188-199.

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2018Oil price shocks and the financial performance patterns of logistics service providers. (2018). Hofmann, Erik ; Zinn, Martin ; Toyli, Juuso ; Solakivi, Tomi. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:290-306.

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2018Forecasting the oil futures price volatility: Large jumps and small jumps. (2018). Liu, Jing ; Zhang, Yaojie ; Yang, KE ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:321-330.

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2018The prediction of oil price turning points with log-periodic power law and multi-population genetic algorithm. (2018). Cheng, Fangzheng ; Li, Shanling ; Fan, Dandan. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:341-355.

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2018The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies. (2018). Ratti, Ronald ; Kang, Wensheng ; Ewing, Bradley T. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:505-516.

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2018Automobile manufacturers, electric vehicles and the price of oil. (2018). Baur, Dirk G ; Todorova, Neda. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:252-262.

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2018The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386.

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2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

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2018Sectoral exposure of financial markets to oil risk factors in BRICS countries. (2018). Dogah, Kingsley E ; Premaratne, Gamini. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:228-256.

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2018High-frequency volatility connectedness between the US crude oil market and Chinas agricultural commodity markets. (2018). Luo, Jiawen ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:424-438.

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2018Crude oil risk forecasting: New evidence from multiscale analysis approach. (2018). He, Kaijian ; Liu, Jia ; Zou, Yingchao . In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:574-583.

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2018Uncovering long term relationships between oil prices and the economy: A time-varying cointegration analysis. (2018). Gogolin, Fabian ; Vigne, Samuel A ; Peat, Maurice ; Lucey, Brian M ; Kearney, Fearghal. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:584-593.

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2017Oil price shocks and Chinas stock market. (2017). Wei, Yanfeng ; Guo, Xiaoying. In: Energy. RePEc:eee:energy:v:140:y:2017:i:p1:p:185-197.

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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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2017Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest. (2017). Filis, George ; Antonakakis, Nikolaos ; Chatziantoniou, Ioannis. In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:1-26.

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2018What do we know about oil prices and stock returns?. (2018). Smyth, Russell ; Narayan, Paresh Kumar. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:148-156.

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2018The relationship among China’s fuel oil spot, futures and stock markets. (2018). Ping, LI ; Qingchao, Zeng ; Tianna, Yang ; Ziyi, Zhang. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:151-162.

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2018Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137.

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2018New insights into the US stock market reactions to energy price shocks. (2018). Shahbaz, Muhammad ; Miloudi, Anthony ; Lahiani, Amine ; Benkraiem, Ramzi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:169-187.

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2018Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold. (2018). Junttila, Juha ; Raatikainen, Juhani ; Pesonen, Juho. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:255-280.

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2018Backtesting an equity risk model under Solvency II. (2018). Santomil, Pablo Duran ; Merigo, Jose M ; Cunill, Onofre Martorell ; Gonzalez, Luis Otero. In: Journal of Business Research. RePEc:eee:jbrese:v:89:y:2018:i:c:p:216-222.

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2017Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations. (2017). Ratti, Ronald ; Pérez de Gracia, Fernando ; Kang, Wensheng . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:344-359.

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2017The effects of oil price shocks on U.S. stock order flow imbalances and stock returns. (2017). Tsouknidis, Dimitris ; Savva, Christos ; Lambertides, Neophytos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:137-146.

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2018The impact of oil-market shocks on stock returns in major oil-exporting countries. (2018). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:264-280.

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2018The core‒periphery pattern of European business cycles: A fuzzy clustering approach. (2018). Ahlborn, Markus ; Wortmann, Marcus. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:55:y:2018:i:c:p:12-27.

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2017Does oil predict gold? A nonparametric causality-in-quantiles approach. (2017). Shahbaz, Muhammad ; Balcilar, Mehmet ; Ozdemir, Zeynel Abidin. In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:257-265.

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2018Oil and energy sector stock markets: An analysis of implied volatility indexes. (2018). Dutta, Anupam. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:44:y:2018:i:c:p:61-68.

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2018Measuring Value-at-Risk and Expected Shortfall of crude oil portfolio using extreme value theory and vine copula. (2018). Lei, Likun ; Yu, Wenhua ; Yang, Kun ; Wei, YU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1423-1433.

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2018Do oil shocks predict economic policy uncertainty?. (2018). Ur, Mobeen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:498:y:2018:i:c:p:123-136.

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2018Volatility forecasting: Global economic policy uncertainty and regime switching. (2018). Yu, Miao ; Song, Jinguo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:511:y:2018:i:c:p:316-323.

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2019Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis. (2019). Ferreira, Paulo ; Pereira, Hernane Borges ; da Silva, Marcus Fernandes ; de Area, Eder Johson. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:86-96.

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2018On the interdependence of natural gas and stock markets under structural breaks. (2018). Ahmed, Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:149-161.

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2018A dynamic spillover analysis of crude oil effects on the sovereign credit risk of exporting countries. (2018). Pavlova, Ivelina ; Parhizgari, Ali M ; de Boyrie, Maria E. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:10-22.

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2017Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism. (2017). Lv, Xin ; Bouri, Elie ; Xin Lv, ; Lien, Donald ; Chen, Qian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:34-48.

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2018Analyzing time–frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach. (2018). Mensi, Walid ; Kang, Sang Hoon ; Al-Yahyaee, Khamis H ; Hkiri, Besma. In: International Review of Economics & Finance. RePEc:eee:reveco:v:54:y:2018:i:c:p:74-102.

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2018Panel Bayesian VAR Modeling for Policy and Forecasting when dealing with confounding and latent effects. (2018). Pacifico, Antonio. In: EERI Research Paper Series. RePEc:eei:rpaper:eeri_rp_2018_15.

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2018The Interaction between Oil Price and Financial Stress: Evidence from the U.S. Data. (2018). Polat, Onur. In: Fiscaoeconomia. RePEc:fis:journl:180302.

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2018On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2018). de Peretti, Christian ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01710398.

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2017The nature and propagation of shocks in the euro area: a comparative SVAR analysis. (2017). Silvestrini, Andrea ; Coco, Alberto. In: International Journal of Computational Economics and Econometrics. RePEc:ids:ijcome:v:7:y:2017:i:1/2:p:95-114.

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2018Oil prices and stock markets returns: a comparison among Brazil, Chile, and Mexico. (2018). Rodriguez-Nava, Abigail ; Rojas, Omar ; Coronado, Semei ; Venegas-Martinez, Francisco. In: Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional. RePEc:ipn:capitu:032.

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2018Oil price changes and stock market returns: cointegration evidence from emerging market. (2018). Elian, Mohammad I ; Kisswani, Khalid M. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:51:y:2018:i:4:d:10.1007_s10644-016-9199-5.

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2018Oil prices implied volatility or direction: Which matters more to financial markets?. (2018). Dupoyet, Brice V ; Shank, Corey A. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:32:y:2018:i:3:d:10.1007_s11408-018-0314-7.

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2017Business Cycle Synchronization in the EMU: Core vs. Periphery. (2017). Belke, Ansgar ; Gros, Daniel ; Domnick, Clemens. In: Open Economies Review. RePEc:kap:openec:v:28:y:2017:i:5:d:10.1007_s11079-017-9465-9.

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2018Symmetric and asymmetric nonlinear causalities between oil prices and the U.S. economic sectors. (2018). Wang, Jinghua ; Ngene, Geoffrey. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:51:y:2018:i:1:d:10.1007_s11156-017-0668-3.

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2017Carbon Tax Saliency: The Case of B.C. Diesel Demand. (2017). Bernard, Jean-Thomas ; Kichian, Maral. In: Working Papers. RePEc:ott:wpaper:1718e.

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2017Does Oil Predict Gold? A Nonparametric Causality-in-Quantiles Approach. (2017). Shahbaz, Muhammad ; Ozdemir, Zeynel ; Balcilar, Mehmet. In: MPRA Paper. RePEc:pra:mprapa:77324.

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2018Modeling and forecasting commodity market volatility with long-term economic and financial variables. (2018). Walther, Thomas ; Nguyen, Duc Khuong. In: MPRA Paper. RePEc:pra:mprapa:84464.

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2018New Insights into the US Stock Market Reactions to Energy Price Shocks. (2018). Shahbaz, Muhammad ; miloudi, anthony ; Lahiani, Amine ; Benkraiem, Ramzi. In: MPRA Paper. RePEc:pra:mprapa:84778.

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2018Effective energy commodities’ risk management: Econometric modeling of price volatility. (2018). HALKOS, GEORGE ; Tzirivis, Apostolos. In: MPRA Paper. RePEc:pra:mprapa:90781.

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2018Time-Varying Predictability of Oil Market Movements Over a Century of Data: The Role of US Financial Stress. (2018). Wohar, Mark ; Tiwari, Aviral ; GUPTA, RANGAN ; Kanda, Patrick. In: Working Papers. RePEc:pre:wpaper:201848.

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2018Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility. (2018). Tiwari, Aviral ; Ji, Qiang ; GUPTA, RANGAN ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:201860.

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2018Volatility of ruble exchange rate: Oil and sanctions. (2018). Peresetsky, Anatoly ; Aganin, Artem. In: Applied Econometrics. RePEc:ris:apltrx:0353.

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2018Volatility Spillovers between Crude Oil Prices and New Energy Stock Price in China. (2018). Chen, Yufeng ; Jin, XI ; Li, Wenqi. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:2:p:43-62.

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2018S&P500 volatility analysis using high-frequency multipower variation volatility proxies. (2018). chin, wencheong ; Lee, Min Cherng. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1345-z.

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2018Impact of oil prices on firm stock return: industry-wise analysis. (2018). Waheed, Rida ; Lv, Yulan ; Sarwar, Suleman ; Wei, Chen. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1296-4.

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2018Can oil prices help predict US stock market returns? Evidence using a dynamic model averaging (DMA) approach. (2018). Naser, Hanan ; Alaali, Fatema. In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:4:d:10.1007_s00181-017-1323-5.

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2018Oil and equity: too deep into each other. (2018). Delcoure, Natalya ; Singh, Harmeet . In: Journal of Economics and Finance. RePEc:spr:jecfin:v:42:y:2018:i:1:d:10.1007_s12197-017-9387-9.

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2017Research on differences of spillover effects between international crude oil price and stock markets in China and America. (2017). Liu, Zhenhua ; Lv, Tao ; Wu, Jys ; Jiang, Xin ; Ding, Zhihua . In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:88:y:2017:i:1:d:10.1007_s11069-017-2881-8.

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2019The dynamic relationship between stock index and exchange rate: Evidence for Tunis. (2019). Wajdi, Moussa. In: Journal of Finance and Investment Analysis. RePEc:spt:fininv:v:8:y:2019:i:1:f:8_1_4.

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2019Panel Bayesian VAR Modeling for Policy and Forecasting when dealing with confounding and latent effects. (2019). Pacifico, Antonio. In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:8:y:2019:i:1:f:8_1_1.

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2018Oil price shocks and stock return volatility: New evidence based on volatility impulse response analysis. (2018). Eraslan, Sercan ; Ali, Faek Menla. In: Discussion Papers. RePEc:zbw:bubdps:382018.

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2017Business Cycle Synchronization in the EMU: Core vs. Periphery. (2017). Gros, Daniel ; Domnick, Clemens ; Belke, Ansgar. In: GLO Discussion Paper Series. RePEc:zbw:glodps:38.

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Works by Stavros Degiannakis:

YearTitleTypeCited
2014The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data In: The Energy Journal.
[Full Text][Citation analysis]		article56
2018Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence In: The Energy Journal.
[Full Text][Citation analysis]		article1
2018Oil prices and stock markets: A review of the theory and empirical evidence.(2018) In: BAFES Working Papers.
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This paper has another version. Agregated cites: 1		paper
2018Oil Price Shocks and Uncertainty: How stable is their relationship over time? In: BAFES Working Papers.
[Full Text][Citation analysis]		paper0
2018Oil price shocks and uncertainty: How stable is their relationship over time?.(2018) In: Economic Modelling.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2018Forecasting European Economic Policy Uncertainty In: BAFES Working Papers.
[Full Text][Citation analysis]		paper0
2014A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification In: Manchester School.
[Full Text][Citation analysis]		article1
2014A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification.(2014) In: MPRA Paper.
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This paper has another version. Agregated cites: 1		paper
2014Business Cycle Synchronization in EU: A Time-Varying Approach In: Scottish Journal of Political Economy.
[Full Text][Citation analysis]		article9
2014Business Cycle Synchronisation in EU: A time-varying approach.(2014) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2019Forecasting European economic policy uncertainty In: Scottish Journal of Political Economy.
[Full Text][Citation analysis]		article0
2013Oil price shocks and stock market volatility: evidence from European data In: Working Papers.
[Full Text][Citation analysis]		paper1
2013Return dispersion, stock market liquidity and aggregate economic activity In: Working Papers.
[Full Text][Citation analysis]		paper1
2013Oil price shocks and volatility do predict stock market regimes In: Working Papers.
[Full Text][Citation analysis]		paper0
2007Backtesting VaR Models: An Expected Shortfall Approach In: Working Papers.
[Full Text][Citation analysis]		paper13
2005Evaluating volatility forecasts in option pricing in the context of a simulated options market In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article5
2005Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market.(2005) In: MPRA Paper.
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This paper has another version. Agregated cites: 5		paper
2013Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process In: Economic Modelling.
[Full Text][Citation analysis]		article3
2013Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2013Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process.(2013) In: MPRA Paper.
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This paper has another version. Agregated cites: 3		paper
2016Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? In: Economic Modelling.
[Full Text][Citation analysis]		article3
2014Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer?.(2014) In: MPRA Paper.
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This paper has another version. Agregated cites: 3		paper
2018Forecasting global stock market implied volatility indices In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article1
2018Forecasting oil prices: High-frequency financial data are indeed useful In: Energy Economics.
[Full Text][Citation analysis]		article0
2011Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article185
2013Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article7
2013Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence.(2013) In: MPRA Paper.
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This paper has another version. Agregated cites: 7		paper
2016Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article11
2015Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries.(2015) In: MPRA Paper.
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This paper has another version. Agregated cites: 11		paper
2017Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries.(2017) In: MPRA Paper.
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This paper has another version. Agregated cites: 11		paper
2017Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article2
2016Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data.(2016) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2015US stock market regimes and oil price shocks In: Global Finance Journal.
[Full Text][Citation analysis]		article10
2015US stock market regimes and oil price shocks.(2015) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2016Intra-day realized volatility for European and USA stock indices In: Global Finance Journal.
[Full Text][Citation analysis]		article2
2015Intra-Day Realized Volatility for European and USA Stock Indices.(2015) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts In: Global Finance Journal.
[Full Text][Citation analysis]		article0
2008Volatility forecasting: Intra-day versus inter-day models In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article15
2013Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article36
2017Forecasting oil price realized volatility using information channels from other asset classes In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article6
2013Modeling CAC40 volatility using ultra-high frequency data In: Research in International Business and Finance.
[Full Text][Citation analysis]		article0
2013Modeling CAC40 Volatility Using Ultra-high Frequency Data.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2017Hedge fund returns under crisis scenarios: A holistic approach In: Research in International Business and Finance.
[Full Text][Citation analysis]		article0
2016Hedge Fund Returns under Crisis Scenarios: A Holistic Approach.(2016) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2017The one-trading-day-ahead forecast errors of intra-day realized volatility In: Research in International Business and Finance.
[Full Text][Citation analysis]		article0
2016The one-trading-day-ahead forecast errors of intra-day realized volatility.(2016) In: MPRA Paper.
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This paper has another version. Agregated cites: 0		paper
2014Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices In: Journal of Economic Studies.
[Full Text][Citation analysis]		article1
2014Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices.(2014) In: MPRA Paper.
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This paper has another version. Agregated cites: 1		paper
2008Forecasting one-day-ahead VaR and intra-day realized volatility in the Athens Stock Exchange Market In: Managerial Finance.
[Full Text][Citation analysis]		article4
2012Evaluating value-at-risk models before and after the financial crisis of 2008: International evidence In: Managerial Finance.
[Full Text][Citation analysis]		article1
2012Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence.(2012) In: MPRA Paper.
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This paper has another version. Agregated cites: 1		paper
2015A Probit Model for the State of the Greek GDP Growth In: International Journal of Financial Studies.
[Full Text][Citation analysis]		article0
2009Is PEAD a consequence of the presence of the cognitive bias of self-attribution in investors expectations regarding permanent earnings? Evidence from Athens Stock Exchange In: International Journal of Computational Economics and Econometrics.
[Full Text][Citation analysis]		article0
2009Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets In: International Journal of Financial Markets and Derivatives.
[Full Text][Citation analysis]		article0
2007A robust VaR model under different time periods and weighting schemes In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article20
2007A Robust VaR Model under Different Time Periods and Weighting Schemes.(2007) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		paper
2013Time-varying Business Cycles Synchronisation in Europe In: MPRA Paper.
[Full Text][Citation analysis]		paper2
2015Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2017Real-time monitoring of carbon monoxide using value-at-risk measure and control charting.(2017) In: Journal of Applied Statistics.
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This paper has another version. Agregated cites: 0		article
2013Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2016Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors.(2016) In: Journal of Applied Statistics.
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This paper has another version. Agregated cites: 0		article
2015Forecasting Tourist Arrivals Using Origin Country Macroeconomics In: MPRA Paper.
[Full Text][Citation analysis]		paper2
2016Forecasting tourist arrivals using origin country macroeconomics.(2016) In: Applied Economics.
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This paper has another version. Agregated cites: 2		article
2016Forecasting oil price realized volatility: A new approach In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2015Investments and uncertainty revisited: The case of the US economy In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2017Investments and uncertainty revisited: the case of the US economy.(2017) In: Applied Economics.
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This paper has another version. Agregated cites: 0		article
2015Forecasting implied volatility indices worldwide: A new approach In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2017Forecasting oil prices In: MPRA Paper.
[Full Text][Citation analysis]		paper2
2017Earnings Management to Avoid Losses and Earnings Declines in Croatia In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2007Backtesting VaR Models: A Τwo-Stage Procedure In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2008Volatility forecasting: intra-day vs. inter-day models In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2008Rolling-sampled parameters of ARCH and Levy-stable models In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2008Rolling-sampled parameters of ARCH and Levy-stable models.(2008) In: Applied Economics.
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This paper has another version. Agregated cites: 1		article
2008ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling In: MPRA Paper.
[Full Text][Citation analysis]		paper11
2008ARFIMAX and ARFIMAX-TARCH realized volatility modeling.(2008) In: Journal of Applied Statistics.
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This paper has another version. Agregated cites: 11		article
2005Modeling Risk for Long and Short Trading Positions In: MPRA Paper.
[Full Text][Citation analysis]		paper3
2005Predictability and Model Selection in the Context of ARCH Models In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2005Predictability and model selection in the context of ARCH models.(2005) In: Applied Stochastic Models in Business and Industry.
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2004Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review In: MPRA Paper.
[Full Text][Citation analysis]		paper12
2004Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2013Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment In: MPRA Paper.
[Full Text][Citation analysis]		paper17
2010Hedge Ratios in South African Stock Index Futures In: Journal of Emerging Market Finance.
[Full Text][Citation analysis]		article3
2007Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes In: Applied Financial Economics Letters.
[Full Text][Citation analysis]		article0
2008SPEC model selection algorithm for ARCH models: an options pricing evaluation framework In: Applied Financial Economics Letters.
[Full Text][Citation analysis]		article0
2004Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model In: Applied Financial Economics.
[Full Text][Citation analysis]		article34
2007Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models In: Applied Financial Economics.
[Full Text][Citation analysis]		article2

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