Stavros Degiannakis : Citation Profile


Are you Stavros Degiannakis?

Panteion University of Social and Political Sciences (50% share)
Bank of Greece (50% share)

13

H index

16

i10 index

744

Citations

RESEARCH PRODUCTION:

45

Articles

73

Papers

RESEARCH ACTIVITY:

   15 years (2004 - 2019). See details.
   Cites by year: 49
   Journals where Stavros Degiannakis has often published
   Relations with other researchers
   Recent citing documents: 236.    Total self citations: 76 (9.27 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pde735
   Updated: 2020-05-16    RAS profile: 2020-05-05    
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Relations with other researchers


Works with:

Filis, George (41)

Chatziantoniou, Ioannis (5)

Floros, Christos (4)

Duffy, David (4)

Arora, Vipin (3)

STOFOROS, CHRYSOSTOMOS (2)

Angelidis, Timotheos (2)

Bragoudakis, Zacharias (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 (28)

GUPTA, RANGAN (27)

Filis, George (23)

Tiwari, Aviral (20)

Antonakakis, Nikolaos (18)

Basher, Syed (15)

Chatziantoniou, Ioannis (14)

Yoon, Kyung Hwan (13)

Demirer, Riza (13)

GUESMI, Khaled (12)

McAleer, Michael (11)

Cites to:

Bollerslev, Tim (199)

Kilian, Lutz (116)

Andersen, Torben (116)

Filis, George (114)

Diebold, Francis (94)

Engle, Robert (87)

Hansen, Peter (67)

Laurent, Sébastien (59)

Nguyen, Duc Khuong (56)

Floros, Christos (56)

Hamilton, James (50)

Main data


Where Stavros Degiannakis has published?


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

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany66
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
2019GARCH based VaR estimation: An empirical evidence from BRICS stock markets. (2019). Rao, Prabhakar ; Guptha, Siva Kiran. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:201-218.

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2019GARCH based VaR estimation: An empirical evidence from BRICS stock markets. (2019). Rao, Prabhakar ; Guptha, Siva Kiran. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:201-218.

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2018The Bayesian MS-GARCH model and Value-at-Risk in South African agricultural commodity price markets. (2018). Shiferaw, Y. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275991.

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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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2019A Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index. (2019). Volchenkov, Dimitri ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1911.01826.

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2019Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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2019Sanction or Financial Crisis? An Artificial Neural Network-Based Approach to model the impact of oil price volatility on Stock and industry indices. (2019). Yaghoubi, Nourmohammad ; Tehrani, Reza ; Ezazi, Mohammadesmaeil ; Kokabisaghi, Somayeh. In: Papers. RePEc:arx:papers:1912.04015.

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2020Gaussian process imputation of multiple financial series. (2020). Tobar, Felipe ; Cuevas, Alejandro ; de Wolff, Taco. In: Papers. RePEc:arx:papers:2002.05789.

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2020Coronavirus and oil price crash. (2020). Albulescu, Claudiu. In: Papers. RePEc:arx:papers:2003.06184.

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2019The Effect of Oil Price on Stock Market Returns with Moderating Effect of Foreign Direct Investment & Foreign Portfolio Investment: Evidence from Pakistan Stock Market. (2019). Usman, Muhammad ; Siddiqui, Danish Ahmed. In: Asian Journal of Economic Modelling. RePEc:asi:ajemod:2019:p:45-61.

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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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2018Equities and Commodities Comovements: Evidence from Emerging Markets. (2018). Ivelina, Pavlova ; Boyrie, DE. In: Global Economy Journal. RePEc:bpj:glecon:v:18:y:2018:i:3:p:14:n:1.

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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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2020Strategic interactions and price dynamics in the global oil market. (2020). Venditti, Fabrizio ; di Nino, Virginia ; DiNino, Virginia ; Alvarez, Irma Alonso. In: Working Paper Series. RePEc:ecb:ecbwps:20202368.

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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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2019Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets. (2019). Santillan-Salgado, Roberto J ; de Jesus-Gutierrez, Raul. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-12.

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2019Volatility Spillovers among the Cryptocurrency Time Series. (2019). Mighri, Zouheir Ahmed ; al Saggaf, Majid Ibrahim ; Alsaggaf, Majid Ibrahim. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-7.

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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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2019Do Long-memory GARCH-type-Value-at-Risk Models Outperform None-and Semi-parametric Value-at-Risk Models?. (2019). Buberkoku, Onder. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-02-23.

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2020Dynamic Linkages Between the Oil Spot, Oil Futures, and Stock Markets: Evidence from Dubai. (2020). Alawi, Suha Mahmoud ; Lamouchi, Rim Ammar. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-01-50.

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2020Long run Association of Stock Prices and Crude Oil Prices: Evidence from Saudi Arabia. (2020). Rahman, Abdul. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-02-16.

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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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2018Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment. (2018). Berger, Theo ; Genay, Ramazan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:30-46.

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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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2020The heterogeneous volume-volatility relations in the exchange-traded fund market: Evidence from China. (2020). Zhao, Yang ; Shi, Yukun ; Gao, Han ; Xu, Liao. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:400-408.

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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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2019Time-varying predictability of oil market movements over a century of data: The role of US financial stress. (2019). Tiwari, Aviral ; GUPTA, RANGAN ; Wohar, Mark E ; Kanda, Patrick. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306090.

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2019Forecasting aggregate equity return volatility using crude oil price volatility: The role of nonlinearities and asymmetries. (2019). Nonejad, Nima. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306296.

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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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2020Forecasting economic policy uncertainty of BRIC countries using Bayesian VARs. (2020). GUPTA, RANGAN ; Sun, Xiaojin. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519303386.

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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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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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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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2019A novel market efficiency index for energy futures and their term structure risk premiums. (2019). Roberts, Helen ; Premachandra, I M ; Kuruppuarachchi, Duminda. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:23-33.

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2019Oil price shocks and Chinese banking performance: Do country risks matter?. (2019). Lee, Chien-Chiang. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:46-53.

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2019The asymmetric response of gasoline prices to oil price shocks and policy uncertainty. (2019). Ratti, Ronald ; Kang, Wensheng ; de Gracia, Fernando Perez. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:66-79.

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2019The importance of oil assets for portfolio optimization: The analysis of firm level stocks. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Anwar, Awais ; Sarwar, Suleman. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:217-234.

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2019Impact of oil price change on airlines stock price and volatility: Evidence from China and South Korea. (2019). Yoon, Seong-Min ; Yun, Xiao. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:668-679.

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2019Connectedness of economic policy uncertainty and oil price shocks in a time domain perspective. (2019). Yang, Lu. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:219-233.

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2019Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach. (2019). Hu, Chunyan ; Xiao, Jihong ; Wen, Fenghua ; Ouyang, Guangda. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:297-309.

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2019Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States. (2019). Ma, Feng ; Xu, Weiju ; Zhang, Bing ; Chen, Wang. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:310-320.

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2019Forecasting oil price volatility: Forecast combination versus shrinkage method. (2019). Wei, YU ; Zhang, Yaojie ; Jin, Daxiang. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:423-433.

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2019Risk spillovers between oil and stock markets: A VAR for VaR analysis. (2019). Wang, Yudong ; Wen, Danyan ; Ma, Chaoqun. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:524-535.

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2019Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis. (2019). Tiwari, Aviral ; Hamdi, Besma ; Alqahtani, Faisal ; Aloui, Mouna. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:536-552.

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2019Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes. (2019). Heni, Boubaker ; Souhir, Ben Amor ; Lotfi, Belkacem. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:635-655.

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2019Financialization, fundamentals, and the time-varying determinants of US natural gas prices. (2019). Zhang, Dayong ; Broadstock, David Clive ; Wang, Tiantian. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:707-719.

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2019Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes. (2019). Rahman, Md Lutfur ; Uddin, Gazi Salah ; Ahmed, Ali ; Hedstrom, Axel. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:743-759.

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2019Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis. (2019). Hoque, Ariful ; Hassan, Kamrul ; Gasbarro, Dominic. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:950-969.

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2019Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches. (2019). Ma, Feng ; Zhang, Yaojie ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1109-1120.

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2019Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. (2019). Ma, Feng ; Chen, Yixiang ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:52-62.

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2019Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?. (2019). Zhang, Dayong ; Ma, Yan-Ran ; Pan, Jiaofeng ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:536-544.

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2019Forecasting the sign of U.S. oil and gas industry stock index excess returns employing macroeconomic variables. (2019). Kemp, Alexander ; Liu, Jingzhen. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:672-686.

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2019Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach. (2019). Wen, Fenghua ; Li, Steven ; Hou, Yang. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:119-143.

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2019Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies. (2019). Tiwari, Aviral ; Demirer, Riza ; Albulescu, Claudiu ; Raheem, Ibrahim D. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:375-388.

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2019Energy and Food Security: Linkages through Price Volatility. (2019). Yoshino, Naoyuki ; Rasoulinezhad, Ehsan ; Taghizadeh-Hesary, Farhad. In: Energy Policy. RePEc:eee:enepol:v:128:y:2019:i:c:p:796-806.

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2019Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets. (2019). Demirer, Riza ; Hammoudeh, Shawkat ; Balcilar, Mehmet. In: Energy Policy. RePEc:eee:enepol:v:134:y:2019:i:c:s030142151930518x.

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2019Transmission of shocks and contagion from U.S. to MENA equity markets: The role of oil and gas markets. (2019). Goutte, Stéphane ; Jamali, Ibrahim ; Guesmi, Khaled ; Abid, Ilyes. In: Energy Policy. RePEc:eee:enepol:v:134:y:2019:i:c:s0301421519305403.

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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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2019Visiting effects of crude oil price on economic growth in BRICS countries: Fresh evidence from wavelet-based quantile-on-quantile tests. (2019). Chen, Cuiqiong ; Mo, Bin ; Jiang, Yonghong ; Nie, HE. In: Energy. RePEc:eee:energy:v:178:y:2019:i:c:p:234-251.

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2019Volatility spillover impact of world oil prices on leading Asian energy exporting and importing economies’ stock returns. (2019). Maqbool, Rashid ; Tang, Yong ; Ashfaq, Saleha. In: Energy. RePEc:eee:energy:v:188:y:2019:i:c:s0360544219316962.

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2019Effects of crude oil shocks on the PPI system based on variance decomposition network analysis. (2019). Liu, Siyao ; Wang, ZE ; Guo, Sui ; Gao, Xiangyun ; Sun, Qingru ; Wen, Shaobo. In: Energy. RePEc:eee:energy:v:189:y:2019:i:c:s0360544219320730.

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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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2019News implied volatility and long-term foreign exchange market volatility. (2019). Yin, Libo ; Han, Liyan ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:126-142.

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2019Forecasting implied volatility risk indexes: International evidence using Hammerstein-ARX approach. (2019). tissaoui, KAIS. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:232-249.

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2020Three-level network analysis of the North American natural gas price: A multiscale perspective. (2020). Sun, Qingru ; Li, Yang ; Feng, Sida ; Chi, Yuxi ; Huang, Shupei ; Liu, Shuyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919302200.

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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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2019Volatility co-movement between Bitcoin and Ether. (2019). Katsiampa, Paraskevi. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:221-227.

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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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2019High frequency volatility co-movements in cryptocurrency markets. (2019). Corbet, Shaen ; Katsiampa, Paraskevi ; Lucey, Brian. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:35-52.

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More than 100 citations found, this list is not complete...

Works by Stavros Degiannakis:


YearTitleTypeCited
2014The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data In: The Energy Journal.
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article69
2014The effects of oil price shocks on stock market volatility: Evidence from European data.(2014) In: MPRA Paper.
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2018Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence In: The Energy Journal.
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2018Oil prices and stock markets: A review of the theory and empirical evidence.(2018) In: BAFES Working Papers.
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2018Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence.(2018) In: MPRA Paper.
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2018Oil Price Shocks and Uncertainty: How stable is their relationship over time? In: BAFES Working Papers.
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paper8
2018Oil price shocks and uncertainty: How stable is their relationship over time?.(2018) In: Economic Modelling.
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article
2018Oil Price Shocks and Uncertainty: How stable is their relationship over time?.(2018) In: MPRA Paper.
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paper
2018Forecasting European Economic Policy Uncertainty In: BAFES Working Papers.
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paper2
2019Forecasting European economic policy uncertainty.(2019) In: Scottish Journal of Political Economy.
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2019Forecasting European Economic Policy Uncertainty.(2019) In: MPRA Paper.
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paper
2014A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification In: Manchester School.
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article2
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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2014Business Cycle Synchronization in EU: A Time-Varying Approach In: Scottish Journal of Political Economy.
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article10
2014Business Cycle Synchronisation in EU: A time-varying approach.(2014) In: MPRA Paper.
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paper
2013Oil price shocks and stock market volatility: evidence from European data In: Working Papers.
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paper1
2013Return dispersion, stock market liquidity and aggregate economic activity In: Working Papers.
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paper1
2013Oil price shocks and volatility do predict stock market regimes In: Working Papers.
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2007Backtesting VaR Models: An Expected Shortfall Approach In: Working Papers.
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paper15
2005Evaluating volatility forecasts in option pricing in the context of a simulated options market In: Computational Statistics & Data Analysis.
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article5
2005Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market.(2005) In: MPRA Paper.
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2013Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process In: Economic Modelling.
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article4
2013Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process.(2013) In: MPRA Paper.
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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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paper
2016Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? In: Economic Modelling.
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article4
2014Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer?.(2014) In: MPRA Paper.
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2018Forecasting global stock market implied volatility indices In: Journal of Empirical Finance.
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article3
2018Forecasting oil prices: High-frequency financial data are indeed useful In: Energy Economics.
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article4
2019Futures-based forecasts: How useful are they for oil price volatility forecasting? In: Energy Economics.
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article0
2019Futures-based forecasts: How useful are they for oil price volatility forecasting?.(2019) In: MPRA Paper.
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paper
2011Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries In: International Review of Financial Analysis.
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article244
2011Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries.(2011) In: MPRA Paper.
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paper
2013Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence In: International Review of Financial Analysis.
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article10
2013Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence.(2013) In: MPRA Paper.
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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]
article24
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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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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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.
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article3
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.
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2015US stock market regimes and oil price shocks In: Global Finance Journal.
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article15
2015US stock market regimes and oil price shocks.(2015) In: MPRA Paper.
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2016Intra-day realized volatility for European and USA stock indices In: Global Finance Journal.
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article3
2015Intra-Day Realized Volatility for European and USA Stock Indices.(2015) In: MPRA Paper.
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paper
2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts In: Global Finance Journal.
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article1
2018Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts.(2018) In: MPRA Paper.
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paper
2008Volatility forecasting: Intra-day versus inter-day models In: Journal of International Financial Markets, Institutions and Money.
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article16
2008Volatility forecasting: Intra-day versus inter-day models.(2008) In: MPRA Paper.
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paper
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]
article47
2013Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment.(2013) In: MPRA Paper.
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paper
2017Forecasting oil price realized volatility using information channels from other asset classes In: Journal of International Money and Finance.
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article25
2017Forecasting oil price realized volatility using information channels from other asset classes.(2017) In: MPRA Paper.
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2013Modeling CAC40 volatility using ultra-high frequency data In: Research in International Business and Finance.
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article1
2013Modeling CAC40 Volatility Using Ultra-high Frequency Data.(2013) In: MPRA Paper.
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2017Hedge fund returns under crisis scenarios: A holistic approach In: Research in International Business and Finance.
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article0
2016Hedge Fund Returns under Crisis Scenarios: A Holistic Approach.(2016) In: MPRA Paper.
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paper
2017The one-trading-day-ahead forecast errors of intra-day realized volatility In: Research in International Business and Finance.
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article1
2016The one-trading-day-ahead forecast errors of intra-day realized volatility.(2016) In: MPRA Paper.
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paper
2014Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices In: Journal of Economic Studies.
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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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paper
2008Forecasting one-day-ahead VaR and intra-day realized volatility in the Athens Stock Exchange Market In: Managerial Finance.
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article4
2012Evaluating value-at-risk models before and after the financial crisis of 2008: International evidence In: Managerial Finance.
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article3
2012Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence.(2012) In: MPRA Paper.
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paper
2015A Probit Model for the State of the Greek GDP Growth In: International Journal of Financial Studies.
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article0
2015A Probit Model for the State of the Greek GDP Growth.(2015) In: MPRA Paper.
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paper
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.
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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.(2009) In: MPRA Paper.
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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.
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article0
2009Trade transparency and trading volume: the possible impact of the financial instruments markets directive on the trading volume of EU equity markets.(2009) In: MPRA Paper.
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2007A robust VaR model under different time periods and weighting schemes In: Review of Quantitative Finance and Accounting.
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article25
2007A Robust VaR Model under Different Time Periods and Weighting Schemes.(2007) In: MPRA Paper.
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2013Time-varying Business Cycles Synchronisation in Europe In: MPRA Paper.
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paper2
2015Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting In: MPRA Paper.
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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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2013Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors In: MPRA Paper.
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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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article
2015Forecasting Tourist Arrivals Using Origin Country Macroeconomics In: MPRA Paper.
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paper0
2016Forecasting oil price realized volatility: A new approach In: MPRA Paper.
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paper1
2015Investments and uncertainty revisited: The case of the US economy In: MPRA Paper.
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paper0
2015Forecasting implied volatility indices worldwide: A new approach In: MPRA Paper.
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paper0
2017Forecasting oil prices In: MPRA Paper.
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paper3
2017Earnings Management to Avoid Losses and Earnings Declines in Croatia In: MPRA Paper.
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paper0
2007Backtesting VaR Models: A Τwo-Stage Procedure In: MPRA Paper.
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paper6
2007Backtesting VaR Models: A Τwo-Stage Procedure.(2007) In: MPRA Paper.
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2008Volatility forecasting: intra-day vs. inter-day models In: MPRA Paper.
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paper1
2008Rolling-sampled parameters of ARCH and Levy-stable models In: MPRA Paper.
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paper1
2008Rolling-sampled parameters of ARCH and Levy-stable models.(2008) In: Applied Economics.
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2008ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling In: MPRA Paper.
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paper15
2008ARFIMAX and ARFIMAX-TARCH realized volatility modeling.(2008) In: Journal of Applied Statistics.
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article
2005Modeling Risk for Long and Short Trading Positions In: MPRA Paper.
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paper3
2005Predictability and Model Selection in the Context of ARCH Models In: MPRA Paper.
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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.
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2004Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model In: MPRA Paper.
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2013Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment In: MPRA Paper.
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2018Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component. In: MPRA Paper.
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2019Oil price volatility forecasts: What do investors need to know? In: MPRA Paper.
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2019Superkurtosis In: MPRA Paper.
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2019Superkurtosis.(2019) In: MPRA Paper.
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2019Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? In: MPRA Paper.
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2019Can spillover effects provide forecasting gains? The case of oil price volatility In: MPRA Paper.
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2019Forecasting Realized Volatility of Agricultural Commodities In: MPRA Paper.
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2018The Impact of the 2007 Global Financial Crisis on IPO Performance in Asian-Pacific Emerging Markets In: MPRA Paper.
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2010Hedge Ratios in South African Stock Index Futures In: MPRA Paper.
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2010VIX Index in Interday and Intraday Volatility Models In: MPRA Paper.
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2008Forecasting Vix In: MPRA Paper.
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2008SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework In: MPRA Paper.
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2008SPEC model selection algorithm for ARCH models: an options pricing evaluation framework.(2008) In: Applied Financial Economics Letters.
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2007Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models In: MPRA Paper.
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2007Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models.(2007) In: Applied Financial Economics.
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2007Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes In: MPRA Paper.
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2007Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes.(2007) In: Applied Financial Economics Letters.
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2004Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model In: MPRA Paper.
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2004Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model.(2004) In: Applied Financial Economics.
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2004The Use of GARCH Models in VaR Estimation In: MPRA Paper.
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2019Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component In: Applied Economics Letters.
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2016Forecasting tourist arrivals using origin country macroeconomics In: Applied Economics.
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2017Investments and uncertainty revisited: the case of the US economy In: Applied Economics.
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