Stavros Degiannakis : Citation Profile


Are you Stavros Degiannakis?

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

15

H index

19

i10 index

1007

Citations

RESEARCH PRODUCTION:

47

Articles

75

Papers

RESEARCH ACTIVITY:

   17 years (2004 - 2021). See details.
   Cites by year: 59
   Journals where Stavros Degiannakis has often published
   Relations with other researchers
   Recent citing documents: 198.    Total self citations: 80 (7.36 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pde735
   Updated: 2021-06-07    RAS profile: 2021-05-06    
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Relations with other researchers


Works with:

Filis, George (33)

Chatziantoniou, Ioannis (4)

Arora, Vipin (3)

STOFOROS, CHRYSOSTOMOS (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:

GUPTA, RANGAN (50)

Filis, George (39)

Ratti, Ronald (28)

Tiwari, Aviral (21)

Antonakakis, Nikolaos (20)

Demirer, Riza (19)

Salisu, Afees (19)

Ji, Qiang (17)

Chatziantoniou, Ioannis (15)

Basher, Syed (15)

Shahzad, Syed Jawad Hussain (14)

Cites to:

Bollerslev, Tim (202)

Kilian, Lutz (129)

Filis, George (123)

Andersen, Torben (118)

Diebold, Francis (93)

Engle, Robert (82)

Hansen, Peter (70)

Giot, Pierre (64)

Floros, Christos (61)

Laurent, Sébastien (59)

Nguyen, Duc Khuong (58)

Main data


Where Stavros Degiannakis has published?


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

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany68
BAFES Working Papers / Department of Accounting, Finance & Economic, Bournemouth University3
Working Papers / Bank of Greece3

Recent works citing Stavros Degiannakis (2021 and 2020)


YearTitle of citing document
2020Analyzing the robustness of ARIMA and neural networks as a predictive model of crude oil prices. (2020). Yadav, Miklesh ; Sharma, Sudhi. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(623):y:2020:i:2(623):p:289-300.

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2020Volatility Transmission between Oil Prices and Stock Prices as a New Source of Instability: Lessons from the UK Experience. (2020). Of, Dundee University ; Robertson, John . In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2020:p:217-223.

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2021Predicting 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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2020Sanction 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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2021FX Market Volatility. (2021). Koshelev, Anton. In: Papers. RePEc:arx:papers:2104.14190.

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2021La evolución cíclica de la economía española en el contexto europeo. (2021). Gómez-Loscos, Ana ; Alvarez, Luis ; Gomezloscos, Ana ; Gadea, Dolores M. In: Occasional Papers. RePEc:bde:opaper:2103.

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2020Regional and Interregional Business Cycle Comovement in Europe, Asia, and North America. (2020). Elgahry, Baher Ahmed. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00472.

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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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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). , Abdulrahman ; Rahman, Abdul. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-02-16.

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2020Relationship between Oil and Stock Markets: Evidence from Pakistan Stock Exchange. (2020). Hanif, Muhammad. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-19.

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2020Does the Choice of the Multivariate GARCH Model on Volatility Spillovers Matter? Evidence from Oil Prices and Stock Markets in G7 Countries. (2020). Dritsakis, Nikolaos ; Kartsonakis-Mademlis, Dimitrios. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-21.

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2020Impact of Oil Price Shocks on Sectoral Returns in Nigeria Stock Market. (2020). NWAKOBY, Ifeoma ; Onyeke, Chibueze E ; Nnamani, Chidiebere ; Ihegboro, Ifeoma. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-06-27.

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2020The Impact of Oil Price Fluctuations on Saudi Arabia Stock Market: A Vector Error-Correction Model Analysis. (2020). Ayyaf, Nouf Bin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-06-41.

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2021Oil Price Volatility Models during Coronavirus Crisis: Testing with Appropriate Models Using Further Univariate GARCH and Monte Carlo Simulation Models. (2021). Hadhek, Zouhaier ; Bouazizi, Tarek ; Lassoued, Mongi. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-35.

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2021Commodity Prices and the Stock Market in Thailand. (2021). Aumeboonsuke, Vesarach. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-6.

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2021Relationship between Oil Prices and Stock Prices in BRICS-T Countries: Symmetric and Asymmetric Causality Analysis. (2021). Abdulina, Gulnar ; Kudabayeva, Lyazzat ; Dosmakhanbet, Assan ; Syzdykova, Aziza ; Abubakirova, Aktolkin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-03-17.

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2021Oil Price Fluctuation and Firm Performance in Developing Economy: Evidence from Oman. (2021). Ali, Yassir Yaqoub ; Mohammed, Shariq ; Bilal, Zaroug Osman. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-03-46.

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2021Changes in Demand for Crude Oil and its Correlation with Crude Oil and Stock Market Returns Volatilities: Evidence from Three Asian Oil Importing Countries. (2021). Hadhek, Zouhaier ; Lafi, Mosbah ; Mrad, Fatma ; Bouazizi, Tarek. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-03-5.

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2021Oil Price Fluctuation and Current Accounts: Exploring Mediation Effects for Oil Importing Nations. (2021). Rashid, Abdul ; Haq, Mirajul ; Bibi, Salma. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-03-63.

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2020A decomposition-ensemble approach for tourism forecasting. (2020). Wang, Shouyang ; Qian, Yatong ; Xie, Gang. In: Annals of Tourism Research. RePEc:eee:anture:v:81:y:2020:i:c:s0160738320300359.

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2021Systemic risk and economic policy uncertainty: International evidence from the crude oil market. (2021). Yang, Lu ; Hamori, Shigeyuki. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:142-158.

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

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2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

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2020Which types of commodity price information are more useful for predicting US stock market volatility?. (2020). Li, Yan ; Ma, Feng ; Liang, Chao. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:642-650.

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2021Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism. (2021). Zhang, Yaojie ; Wang, Yudong ; Wen, Danyan. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:209-219.

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2021How much should we trust five-year averaging to purge business cycle effects? A reassessment of the finance-growth and capital accumulation-unemployment nexus. (2021). Sturn, Simon ; Epstein, Gerald. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:242-256.

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2021Sharing is caring: Spillovers and synchronization of business cycles in the European Union. (2021). Škrinjarić, Tihana ; Arčabić, Vladimir ; Arabi, Vladimir. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:25-39.

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2020Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains. (2020). Li, Jianping ; Wang, Jun ; Chen, Xiuwen ; Sun, Xiaolei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302456.

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2020What do movements in financial traders’ net long positions reveal about aggregate stock returns?. (2020). Dunbar, Kwamie ; Jiang, Jing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303474.

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2020Forecasting volatility with component conditional autoregressive range model. (2020). Hou, Xinmeng ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081930083x.

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2020Dynamic relations between oil and stock market returns: A multi-country study. (2020). Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose ; Gamboa-Arbelaez, Juliana. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302499.

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2020Spatial spillover effects and risk contagion around G20 stock markets based on volatility network. (2020). Lu, Yang ; Zhuang, Xintian ; Zhang, Weiping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302815.

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2020Site visit information content and return predictability: Evidence from China. (2020). Cao, Jiawei ; Yue, Sishi ; Dong, Dayong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304280.

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2020Oil price uncertainty and movements in the US government bond risk premia. (2020). Wang, Shixuan ; GUPTA, RANGAN ; Balcilar, Mehmet ; Wohar, Mark E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301330.

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2020Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching. (2020). Wei, YU ; Lei, Likun ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302293.

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2020Can crude oil drive the co-movement in the international stock market? Evidence from partial wavelet coherence analysis. (2020). Yang, Lu ; Xu, Mingli ; Zhu, Jingran ; Wu, Kai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300917.

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2021The nonlinear effect of oil price shocks on financial stress: Evidence from China. (2021). Liu, Renren ; Wen, Fenghua ; Chen, Jianzhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302047.

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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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2020Economic indicators and stock market volatility in an emerging economy. (2020). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518305594.

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2021Global equity market leadership positions through implied volatility measures. (2021). Padungsaksawasdi, Chaiyuth ; Parhizgari, A M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:180-205.

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2020Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications. (2020). Dash, Saumya Ranjan ; Guhathakurta, Kousik ; Maitra, Debasish. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303615.

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2020Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models. (2020). Ma, Feng ; Mei, Dexiang ; Wang, LU ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304219.

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2020Oil price shocks and EMU sovereign yield spreads. (2020). Filis, George ; Filippidis, Michail ; Kizys, Renatas. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304530.

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2020Analyzing time-varying volatility spillovers between the crude oil markets using a new method. (2020). Gong, XU ; Liu, Tangyong. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300505.

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2020The linkages between oil market uncertainty and Islamic stock markets: Evidence from quantile-on-quantile approach. (2020). Lin, Boqiang ; Su, Tong. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300980.

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2020Oil price shocks, global financial markets and their connectedness. (2020). Demirer, Riza ; Hussain, Syed Jawad ; Ferrer, Roman. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301110.

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2020The relationship between oil prices and exchange rates: Revisiting theory and evidence. (2020). Czudaj, Robert ; Beckmann, Joscha ; Arora, Vipin. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301122.

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2020Price and volatility linkages between international REITs and oil markets. (2020). Soytas, Ugur ; GUPTA, RANGAN ; Gormus, Alper ; Nazlioglu, Saban. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301195.

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2020Magnitude and persistence of extreme risk spillovers in the global energy market: A high-dimensional left-tail interdependence perspective. (2020). Liu, Jiahao ; Lin, Renda ; Zhu, BO. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301018.

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2020On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks. (2020). Zhang, Dayong ; Klein, Tony ; Ji, Qiang ; Luo, Jiawen ; Todorova, Neda. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301213.

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2020Moments-based spillovers across gold and oil markets. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Bonato, Matteo ; Wang, Shixuan ; Marco, Chi Keung. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301390.

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2020Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis. (2020). Yoon, Seong-Min ; Jiang, Zhuhua. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301754.

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2020Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness. (2020). Gabauer, David ; Filis, George ; Antonakakis, Nikolaos ; de Gracia, Fernando Perez ; Cunado, Juncal. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s014098832030102x.

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2020Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence. (2020). Chevallier, Julien ; Wang, Jiqian ; Ma, Feng ; Huang, Yisu. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302371.

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2020Time and frequency connectedness among oil shocks, electricity and clean energy markets. (2020). Nepal, Rabindra ; Naeem, Muhammad Abubakr ; Hussain, Syed Jawad ; Suleman, Mouhammed Tahir ; Peng, Zhe. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302541.

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2020The impacts of structural oil shocks on macroeconomic uncertainty: Evidence from a large panel of 45 countries. (2020). GUPTA, RANGAN ; Sheng, Xin ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302802.

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2020Impact of proved reserves on stock returns of U.S. oil and gas corporations using firm-level data. (2020). Equiza-Goñi, Juan ; de Gracia, Fernando Perez ; Equiza-Goi, Juan. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302917.

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2020Estimating retail gasoline price dynamics: The effects of sample characteristics and research design. (2020). POLEMIS, MICHAEL ; Deltas, George. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303169.

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2020Islamic stocks, conventional stocks, and crude oil: Directional volatility spillover analysis in BRICS. (2020). Gasbarro, Dominic ; Wali, Muammer ; Hoque, Ariful ; Hassan, Kamrul. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s014098832030325x.

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2021Volatility transmissions across international oil market, commodity futures and stock markets: Empirical evidence from China. (2021). Huo, Rui ; Ahmed, Abdullahi D. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988320300803.

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2021A closer look into the global determinants of oil price volatility. (2021). Filis, George ; Gabauer, David ; Filippidis, Michail ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988320304321.

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2021The role of oil as a determinant of stock market interdependence: The case of the USA and GCC. (2021). Herbst, Patrick ; Ziadat, Salem Adel ; McMillan, David G. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000074.

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2021Oil prices, policy uncertainty and travel and leisure stocks in China. (2021). Dong, Xuesong ; Chen, Jinyu ; Qin, Yun. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000177.

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2021Oil shocks and equity markets: The case of GCC and BRICS economies. (2021). Zaremba, Adam ; Trabelsi, Nader ; Umar, Zaghum. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000608.

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2021Do oil shocks affect Chinese bank risk?. (2021). Ji, Qiang ; Zhang, Yang ; Ma, YU. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000712.

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2020Assessing Alternative Investment Policies in a Resource-Rich Capital-Scarce Country: Results from a DSGE analysis for Iran. (2020). Khosroshahi, Musa Khoshkalam ; Sayadi, Mohammad. In: Energy Policy. RePEc:eee:enepol:v:146:y:2020:i:c:s0301421520305310.

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2020Dynamic complexity and causality of crude oil and major stock markets. (2020). Wang, Jun ; Xiao, DI. In: Energy. RePEc:eee:energy:v:193:y:2020:i:c:s0360544219324867.

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2020The impact of oil price shocks on clean energy stocks: Fresh evidence from multi-scale perspective. (2020). Cai, Guixin ; Zhang, Hao ; Yang, Dongxiao. In: Energy. RePEc:eee:energy:v:196:y:2020:i:c:s0360544220302061.

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2020The stability of U.S. economic policy: Does it really matter for oil price?. (2020). Su, Chi-Wei ; Qin, Meng ; Tao, Ran ; Hao, Lin-Na. In: Energy. RePEc:eee:energy:v:198:y:2020:i:c:s0360544220304229.

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2020Dynamics of spillover network among oil and leading Asian oil trading countries’ stock markets. (2020). Maqbool, Rashid ; Tang, Yong ; Ashfaq, Saleha. In: Energy. RePEc:eee:energy:v:207:y:2020:i:c:s0360544220311841.

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2020Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models. (2020). Wang, Jianqiong ; Ma, Feng ; Lu, Xinjie. In: Energy. RePEc:eee:energy:v:212:y:2020:i:c:s0360544220318508.

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2020A dynamic quantile regression model for the relationship between oil price and stock markets in oil-importing and oil-exporting countries. (2020). Mokni, Khaled. In: Energy. RePEc:eee:energy:v:213:y:2020:i:c:s0360544220317473.

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2020Explaining the nonlinear response of stock markets to oil price shocks. (2020). Sharma, Shahil ; Escobari, Diego. In: Energy. RePEc:eee:energy:v:213:y:2020:i:c:s0360544220318855.

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2021Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives. (2021). Zou, Huiwen ; Li, Binlin ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:216:y:2021:i:c:s0360544220324099.

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2021Probability density forecasts for steam coal prices in China: The role of high-frequency factors. (2021). Han, Meng ; Zhao, Zhongchao ; Ding, Lili. In: Energy. RePEc:eee:energy:v:220:y:2021:i:c:s0360544221000074.

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

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2020Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models. (2020). Liu, Jia ; He, Kaijian ; Stafylas, Dimitrios ; Zha, Rui ; Yu, Lean. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918304964.

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2020Identifying influential energy stocks based on spillover network. (2020). Sun, Qingru ; Tang, Renwu ; Gao, Xiangyun ; Wang, ZE. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918305179.

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2020Does oil price have similar effects on the exchange rates of BRICS?. (2020). Lin, Boqiang ; Su, Tong. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s105752191930362x.

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2020Dynamic volatility spillover effects between oil and agricultural products. (2020). Nguyen, Duc Khuong ; Do, Hung ; Brooks, Robert ; Yip, Pick Schen. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301095.

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2020Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry. (2020). Zhai, Pengxiang ; Sun, Licheng ; Ji, Qiang ; Zhu, Zhaobo. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301605.

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2020The economic importance of rare earth elements volatility forecasts. (2020). Schweizer, Denis ; Proelss, Juliane ; Seiler, Volker. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521918306148.

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2020Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework. (2020). Zhuang, Xintian ; Zhang, Weiping ; Wang, Jian ; Lu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521919305381.

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2020Does Bitcoin still own the dominant power? An intraday analysis. (2020). Ngene, Geoffrey M ; Wang, Jinghua. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301952.

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2020Which sentiment index is more informative to forecast stock market volatility? Evidence from China. (2020). Tang, Linchun ; Liang, Chao ; Wei, YU. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301964.

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2020Inflation targeting & implications of oil shocks for inflation expectations in oil-importing and exporting economies: Evidence from three Nordic Kingdoms. (2020). Nasir, Muhammad Ali ; Yarovaya, Larisa ; Duc, Toan Luu. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302027.

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2020Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market. (2020). Sobreira, Nuno ; Louro, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305403.

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2020The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country. (2020). Gözgör, Giray ; Marco, Chi Keung ; Semeyutin, Artur ; Li, Haiping. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319301424.

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2020Forecasting realized gold volatility: Is there a role of geopolitical risks?. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s154461231930529x.

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2020How has the relationship between oil and the US stock market changed after the Covid-19 crisis?. (2020). Kurosaki, Tetsuo ; Sakurai, Yuji. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612320315877.

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2021Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach. (2021). Salisu, Afees ; GUPTA, RANGAN. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028319303503.

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2021Dynamic relations between oil and stock markets: Volatility spillovers, networks and causality. (2021). Sanin Restrepo, Sebastian ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose ; Sanin-Restrepo, Sebastian. In: International Economics. RePEc:eee:inteco:v:165:y:2021:i:c:p:37-50.

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2021Economic activity, and financial and commodity markets’ shocks: An analysis of implied volatility indexes. (2021). Ndubuisi, Gideon ; Ozor, Jude ; Urom, Christian. In: International Economics. RePEc:eee:inteco:v:165:y:2021:i:c:p:51-66.

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2020Forecasting stock price volatility: New evidence from the GARCH-MIDAS model. (2020). Yang, Lin ; Liu, Jing ; Ma, Feng ; Wang, LU. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:684-694.

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2020Forecasting value at risk with intra-day return curves. (2020). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1023-1038.

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2020Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks. (2020). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:933-948.

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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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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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2018Oil price shocks and uncertainty: How stable is their relationship over time?.(2018) In: Economic Modelling.
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2018Oil Price Shocks and Uncertainty: How stable is their relationship over time?.(2018) In: MPRA Paper.
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2018Forecasting European Economic Policy Uncertainty In: BAFES Working Papers.
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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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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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2014Business Cycle Synchronisation in EU: A time-varying approach.(2014) In: MPRA Paper.
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2013Oil price shocks and stock market volatility: evidence from European data In: Working Papers.
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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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2005Evaluating volatility forecasts in option pricing in the context of a simulated options market In: Computational Statistics & Data Analysis.
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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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article6
2013Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process.(2013) In: MPRA Paper.
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2013Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process.(2013) In: MPRA Paper.
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2016Business cycle synchronisation in EMU: Can fiscal policy bring member-countries closer? In: Economic Modelling.
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article9
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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2018Forecasting oil prices: High-frequency financial data are indeed useful In: Energy Economics.
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article12
2019Futures-based forecasts: How useful are they for oil price volatility forecasting? In: Energy Economics.
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article6
2019Futures-based forecasts: How useful are they for oil price volatility forecasting?.(2019) In: MPRA Paper.
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2020Oil and pump prices: Testing their asymmetric relationship in a robust way In: Energy Economics.
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article1
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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article295
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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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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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.
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article45
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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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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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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article4
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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article24
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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article7
2015Intra-Day Realized Volatility for European and USA Stock Indices.(2015) In: MPRA Paper.
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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts In: Global Finance Journal.
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article3
2018Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts.(2018) In: MPRA Paper.
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2008Volatility forecasting: Intra-day versus inter-day models In: Journal of International Financial Markets, Institutions and Money.
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2008Volatility forecasting: Intra-day versus inter-day models.(2008) In: MPRA Paper.
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2013Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment In: Journal of International Financial Markets, Institutions and Money.
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article57
2013Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment.(2013) In: MPRA Paper.
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2017Forecasting oil price realized volatility using information channels from other asset classes In: Journal of International Money and Finance.
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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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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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article2
2016Hedge Fund Returns under Crisis Scenarios: A Holistic Approach.(2016) In: MPRA Paper.
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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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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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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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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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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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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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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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article26
2007A Robust VaR Model under Different Time Periods and Weighting Schemes.(2007) In: MPRA Paper.
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2020Oil price assumptions for macroeconomic policy In: MPRA Paper.
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paper0
2020On the Stationarity of Futures Hedge Ratios In: MPRA Paper.
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paper0
2013Time-varying Business Cycles Synchronisation in Europe In: MPRA Paper.
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paper3
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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2015Forecasting Tourist Arrivals Using Origin Country Macroeconomics In: MPRA Paper.
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2016Forecasting tourist arrivals using origin country macroeconomics.(2016) In: Applied Economics.
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2016Forecasting oil price realized volatility: A new approach In: MPRA Paper.
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2015Investments and uncertainty revisited: The case of the US economy In: MPRA Paper.
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2017Investments and uncertainty revisited: the case of the US economy.(2017) In: Applied Economics.
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2015Forecasting implied volatility indices worldwide: A new approach In: MPRA Paper.
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paper1
2017Forecasting oil prices In: MPRA Paper.
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2017Earnings Management to Avoid Losses and Earnings Declines in Croatia In: MPRA Paper.
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paper1
2007Backtesting VaR Models: A ?wo-Stage Procedure In: MPRA Paper.
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paper6
2007Backtesting VaR Models: A ?wo-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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paper2
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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paper18
2008ARFIMAX and ARFIMAX-TARCH realized volatility modeling.(2008) In: Journal of Applied Statistics.
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2005Modeling Risk for Long and Short Trading Positions In: MPRA Paper.
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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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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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2010Hedge Ratios in South African Stock Index Futures.(2010) In: Journal of Emerging Market Finance.
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2010VIX Index in Interday and Intraday Volatility Models 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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