Professor Stavros Degiannakis
Professor Stavros Degiannakis
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Cited by
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries
G Filis, S Degiannakis, C Floros
International review of financial analysis 20 (3), 152-164, 2011
The use of GARCH models in VaR estimation
T Angelidis, A Benos, S Degiannakis
Statistical methodology 1 (1-2), 1-146, 2004
Oil prices and stock markets: A review of the theory and empirical evidence
S Degiannakis, G Filis, V Arora
The Energy Journal 39 (5), 85-130, 2018
Forecasting oil price realized volatility using information channels from other asset classes
S Degiannakis, G Filis
Journal of International Money and Finance 76, 28-49, 2017
The effects of oil price shocks on stock market volatility: Evidence from European data
S Degiannakis, G Filis, R Kizys
The Energy Journal 35 (1), 35-56, 2014
ARCH models for financial applications
E Xekalaki, S Degiannakis
John Wiley & Sons, 2010
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment
S Degiannakis, G Filis, C Floros
Journal of International Financial Markets, Institutions and Money 26, 175-191, 2013
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries
R Boldanov, S Degiannakis, G Filis
International Review of Financial Analysis 48, 209-220, 2016
Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model
S Degiannakis*
Applied Financial Economics 14 (18), 1333-1342, 2004
Oil price shocks and uncertainty: How stable is their relationship over time?
S Degiannakis, G Filis, S Panagiotakopoulou
Economic Modelling 72, 42-53, 2018
A robust VaR model under different time periods and weighting schemes
T Angelidis, A Benos, S Degiannakis
Review of Quantitative Finance and Accounting 28, 187-201, 2007
Autoregressive conditional heteroscedasticity (ARCH) models: A review
S Degiannakis, E Xekalaki
Quality Technology & Quantitative Management 1 (2), 271-324, 2004
US stock market regimes and oil price shocks
T Angelidis, S Degiannakis, G Filis
Global Finance Journal 28, 132-146, 2015
Volatility forecasting: Intra-day versus inter-day models
T Angelidis, S Degiannakis
Journal of International Financial Markets, Institutions and Money 18 (5 …, 2008
Forecasting oil prices: High-frequency financial data are indeed useful
S Degiannakis, G Filis
Energy Economics 76, 388-402, 2018
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence
S Degiannakis, C Floros, P Dent
International Review of Financial Analysis 27, 21-33, 2013
Backtesting VaR models: a two-stage procedure
T Angelidis, S Degiannakis
Journal of Risk Model Validation 1 (2), 1-22, 2007
Business cycle synchronization in EU: A time‐varying approach
S Degiannakis, D Duffy, G Filis
Scottish Journal of Political Economy 61 (4), 348-370, 2014
Evaluating value‐at‐risk models before and after the financial crisis of 2008: International evidence
S Degiannakis, C Floros, A Livada
Managerial Finance 38 (4), 436-452, 2012
Modeling risk for long and short trading positions
T Angelidis, S Degiannakis
The Journal of Risk Finance 6 (3), 226-238, 2005
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