Stavros Degiannakis : Citation Profile

Are you Stavros Degiannakis?

Panteion University of Social and Political Sciences

10

H index

10

i10 index

428

Citations

RESEARCH PRODUCTION:

38

Articles

43

Papers

RESEARCH ACTIVITY:

   14 years (2004 - 2018). See details.
   Cites by year: 30
   Journals where Stavros Degiannakis has often published
   Relations with other researchers
   Recent citing documents: 100.    Total self citations: 51 (10.65 %)

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   Permalink: http://citec.repec.org/pde735
   Updated: 2018-10-13    RAS profile: 2018-10-05    
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Relations with other researchers

Works with:

Filis, George (27)

Floros, Christos (11)

Duffy, David (5)

Angelidis, Timotheos (4)

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)

Louzis, Dimitrios (9)

Guesmi, Khaled (9)

Aloui, Chaker (9)

McAleer, Michael (8)

Smyth, Russell (8)

Cites to:

Bollerslev, Tim (147)

Andersen, Torben (79)

Engle, Robert (76)

Kilian, Lutz (70)

Diebold, Francis (65)

Hansen, Peter (53)

Filis, George (41)

Hamilton, James (41)

Laurent, Sébastien (41)

Giot, Pierre (40)

Lunde, Asger (39)

Main data

Where Stavros Degiannakis has published?

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

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 (2018 and 2017)

YearTitle of citing document
2017An Empirical Evaluation of Hedging Effectiveness of Crude Palm Oil Futures Market in Malaysia. (2017). Islam, Mohd Aminul . In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:303-314.

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2017Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece. (2017). Papaioannou, Panagiotis G ; Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas . In: Papers. RePEc:arx:papers:1708.07063.

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2017Volatility Modelling and Parametric Value-At-Risk Forecast Accuracy: Evidence from Metal Products. (2017). Mabrouk, Samir. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:63-80.

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2018Dynamic relations between oil and stock markets: Volatility spillovers, networks and causality. (2018). 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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2017How cultural and contextual variables affect the disclosure and transparency of pro-forma indicators. (2017). Gardini, Silvia ; Visani, Franco ; Marta, F. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps41.

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2017A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects. (2017). Salisu, Afees ; Oloko, Tirimisiyu ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0024.

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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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2017Public capital in the 21st century: As productive as ever?. (2017). Ferdinandusse, Marien ; De Jong, Jasper ; Funda, Josip . In: DNB Working Papers. RePEc:dnb:dnbwpp:542.

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2017Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Ciarreta, Aitor ; Muniainy, Peru . In: ISER Discussion Paper. RePEc:dpr:wpaper:0991.

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2017A Double-Exponential Jump model and its application to risk measure in Wheat spot market. (2017). Huang, Xiaoying. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00459.

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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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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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2017Does Oil Prices Uncertainty Affect Stock Returns in Russia: A Bivariate Generalized Autoregressive Conditional Heteroskedasticity-in-Mean Approach. (2017). Bass, Alexander. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-04-27.

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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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2017Forecasting accuracy evaluation of tourist arrivals. (2017). GUPTA, RANGAN ; Filis, George ; Antonakakis, Nikolaos ; Silva, Emmanuel Sirimal ; Hassani, Hossein. In: Annals of Tourism Research. RePEc:eee:anture:v:63:y:2017:i:c:p:112-127.

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2017Cross country relations in European tourist arrivals. (2017). Silva, Emmanuel Sirimal ; Hassani, Hossein ; Heravi, Saeed ; Ghodsi, Mansi . In: Annals of Tourism Research. RePEc:eee:anture:v:63:y:2017:i:c:p:151-168.

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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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2017A framework for evaluating global national energy security. (2017). Wang, Qiang ; Zhou, Kan . In: Applied Energy. RePEc:eee:appene:v:188:y:2017:i:c:p:19-31.

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2017The multiscale impact of exchange rates on the oil-stock nexus: Evidence from China and Russia. (2017). Huang, Shupei ; Hao, Xiaoqing ; Wen, Shaobo ; Gao, Xiangyun. In: Applied Energy. RePEc:eee:appene:v:194:y:2017:i:c:p:667-678.

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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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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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2017A conditional autoregressive range model with gamma distribution for financial volatility modelling. (2017). Xie, Haibin ; Wu, Xinyu. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:349-356.

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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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2017Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach. (2017). Salisu, Afees ; Isah, Kazeem. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:258-271.

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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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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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2017Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets. (2017). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Junior, Leonidas Sandoval . In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:3:p:945-961.

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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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2017The impact of crude oil prices on financial market indicators: copula approach. (2017). KÜÇÜKÖZMEN, CUMHUR ; Selcuk-Kestel, Sevtap A ; Kuukozmen, Cokun C ; Kayalar, Derya Ezgi . In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:162-173.

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2017Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; McIver, Ron ; Kang, Sang Hoon. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:19-32.

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2017Oil shocks and stock markets revisited: Measuring connectedness from a global perspective. (2017). Zhang, Dayong. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:323-333.

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2017A wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets. (2017). Raza, Syed ; Boubaker, Heni . In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:105-117.

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2017Dynamic relationship of oil price shocks and country risks. (2017). Lee, Chien-Chiang ; Ning, Shao-Lin. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:571-581.

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2017Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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2017Nonparametric panel data model for crude oil and stock market prices in net oil importing countries. (2017). Smyth, Russell ; Zhang, Xibin ; Silvapulle, Param ; Fenech, Jean-Pierre. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:255-267.

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2017Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries. (2017). Tziogkidis, Panagiotis ; Awartani, Basel ; Maghyereh, Aktham I. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:440-453.

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2018Oil volatility, oil and gas firms and portfolio diversification. (2018). Gabauer, David ; Filis, George ; Cuñado, Juncal ; Antonakakis, Nikolaos ; de Gracia, Fernando Perez ; 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 Kumar ; 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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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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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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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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2017The financial economics of white precious metals — A survey. (2017). Vigne, Samuel A ; Yarovaya, Larisa ; Oconnor, Fergal A ; Lucey, Brian M. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:292-308.

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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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2017Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index. (2017). Luo, Xingguo ; Qin, Shihua . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:29-34.

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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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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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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). Basher, Syed ; Sadorsky, Perry ; Haug, Alfred A. 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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2017.

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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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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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2017Volatility Spillovers from Australias major trading partners across the GFC. (2017). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:159-175.

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2017Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism. (2017). Bouri, Elie ; Lv, Xin ; 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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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2017Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?. (2017). Shahzad, Syed Jawad Hussain ; Jareño, Francisco ; Hussain, Syed Jawad ; Jareo, Francisco ; Ferrer, Roman ; Jammazi, Rania. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:453-483.

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2017Impacts of oil price shocks on Chinese stock market liquidity. (2017). Zheng, Xinwei ; Su, Dan . In: International Review of Economics & Finance. RePEc:eee:reveco:v:50:y:2017:i:c:p:136-174.

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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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2017Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data. (2017). Uctum, Remzi ; Lecarpentier-Moyal, Sylvie ; Prat, Georges ; Renou-Maissant, Patricia. In: Review of Financial Economics. RePEc:eee:revfin:v:35:y:2017:i:c:p:43-56.

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2017Time-varying impacts of demand and supply oil shocks on correlations between crude oil prices and stock markets indices. (2017). Nadal, Raquel ; Lucena, Andre ; Szklo, Alexandre. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1011-1020.

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2017On the dynamic interactions between energy and stock markets under structural shifts: Evidence from Egypt. (2017). Ahmed, Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:61-74.

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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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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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2017Do International Investors Cause Stock Market Comovements? Comparing Responses of Cross-Listed Stocks between Accessible and Inaccessible Markets. (2017). Tsutsui, Yoshiro ; Hirayama, Kenjiro ; Nishimura, Yusaku. In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:1701.

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2017The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry . In: Working Papers. RePEc:otg:wpaper:1710.

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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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2017The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry . In: MPRA Paper. RePEc:pra:mprapa:81638.

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

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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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2017The impact of oil price volatility on net-oil exporter and importer countries’ stock markets. (2017). AYDOAN, Berna ; Yelkenci, Tezer ; Tun, Goke . In: Eurasian Economic Review. RePEc:spr:eurase:v:7:y:2017:i:2:d:10.1007_s40822-017-0065-1.

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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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2017Option trading for optimizing volatility forecasting. (2017). Sogiakas, Vasilios. In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:6:y:2017:i:3:f:6_3_3.

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2017Value at risk forecasting for volatility index. (2017). Park, Seul-Ki ; Shin, Dong Wan ; Choi, Ji-Eun. In: Applied Economics Letters. RePEc:taf:apeclt:v:24:y:2017:i:21:p:1613-1620.

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2017Asymmetric effects of oil price shocks on stock returns: evidence from a two-stage Markov regime-switching approach. (2017). Zhu, Huiming ; Ren, Yinghua ; You, Wanhai ; Su, Xianfang . In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:25:p:2491-2507.

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2017Exploring the nexus between oil prices and sectoral stock prices: Nonlinear evidence from Kuwait stock exchange. (2017). Kisswani, Khalid M ; Kruse, Robinson ; Elian, Mohammad I. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1286061.

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2017Has Crude Oil Become a Financial Asset? Evidence from Ten Years of Financialization. (2017). Adams, Zeno ; Kartsakli, Maria . In: Working Papers on Finance. RePEc:usg:sfwpfi:2017:10.

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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]		article49
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
2018Oil prices and stock markets: A review of the theory and empirical evidence In: BAFES Working Papers.
[Full Text][Citation analysis]		paper1
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.
[Full Text][Citation analysis]
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
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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]		article1
2014Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer?.(2014) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2018Forecasting global stock market implied volatility indices In: Journal of Empirical Finance.
[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]		article175
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.
[Full Text][Citation analysis]
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]		article4
2015Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries.(2015) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2017Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries.(2017) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		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]		article1
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: 1		paper
2015US stock market regimes and oil price shocks In: Global Finance Journal.
[Full Text][Citation analysis]		article9
2015US stock market regimes and oil price shocks.(2015) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		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]		article30
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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]		paper1
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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]		paper1
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2008ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling In: MPRA Paper.
[Full Text][Citation analysis]		paper10
2008ARFIMAX and ARFIMAX-TARCH realized volatility modeling.(2008) In: Journal of Applied Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		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
2004Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review In: MPRA Paper.
[Full Text][Citation analysis]		paper11
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]		paper11
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]		article28
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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