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DOI:10.1016/J.JEMPFIN.2017.12.008 - Corpus ID: 158621569
@article{Degiannakis2018ForecastingGS, title={Forecasting global stock market implied volatility indices}, author={Stavros Degiannakis and George Filis and Hossein Hassani}, journal={Journal of Empirical Finance}, year={2018}, volume={46}, pages={111-129}, url={https://api.semanticscholar.org/CorpusID:158621569}}- Stavros Degiannakis, G. Filis, Hossein Hassani
- Published 1 March 2018
- Economics, Business
- Journal of Empirical Finance
31 Citations
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31 Citations
- Li LiuFeng MaQing ZengYaojie Zhang
- 2020
Economics
ABSTRACT In this article, we utilize the basic lasso and elastic net models to revisit the predictive performance of aggregate stock market volatility in a data-rich world. Motivated by the existing…
- 8
- Yusui TangFeng MaM. WahabYu Wei
- 2022
Economics
Applied Economics
ABSTRACT This research investigates whether the US stock volatility index (S&P 500 index) has the forecasting ability to predict the volatility of CAC index (France), DAX index (Germany), and FTSE…
- 1
- Stavros DegiannakisG. Filis
- 2021
Economics, Business
Journal of International Money and Finance
- 15
- PDF
- L. BallestraA. GuizzardiFabio Palladini
- 2019
Economics, Business
International Journal of Forecasting
- 18
- PDF
- Miao YuJinguo Song
- 2018
Economics
Physica A: Statistical Mechanics and its…
- 28
- Panagiotis DelisStavros DegiannakisK. Giannopoulos
- 2023
Economics
The Energy Journal
This study forecasts the oil volatility index (OVX) incorporating information from other implied volatility (IV) indices. We provide evidence for the existence of long memory in the OVX in order to…
- 1
- PDF
- Stavros DegiannakisG. FilisTony KleinT. Walther
- 2020
Agricultural and Food Sciences, Economics
International Journal of Forecasting
We forecast the realized and median realized volatility of agricultural commodities using variants of the Heterogeneous AutoRegressive (HAR) model. We obtain tick-by-tick data for five widely traded…
- 29
- PDF
- Kais Tissaoui
- 2019
Economics
International Review of Financial Analysis
- 12
- G. FilisStavros DegiannakisZ. Bragoudakis
- 2022
Economics
SSRN Electronic Journal
This study evaluates oil price forecasts based on their economic significance for macroeconomic predictions. More specifically, we first use the current state-of-the-art frameworks to forecast…
- 1
- PDF
- Panagiotis DelisStavros DegiannakisK. Giannopoulos
- 2022
Economics, Business
Asian Journal of Economics and Empirical Research
The oil volatility index (OVX) has attracted the attention of investors, as oil prices have been subject to high degrees of variation in the last few decades, and investors would therefore benefit…
- PDF
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79 References
- Louis H. EderingtonWei Guan
- 2004
Economics
The paper compares the forecasting ability of the most popular volatility forecasting models and develops an alternative. The comparison of existing models focuses on four issues: 1) the relative…
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Economics
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Economics, Business
This discussion paper resulted in an article in the Journal of Empirical Finance (2005). Vol. 12, issue 3, pages 445-475. The increasing availability of financial market data at intraday frequencies…
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- Stavros Degiannakis *
- 2004
Economics, Mathematics
Predicting the one-step-ahead volatility is of great importance in measuring and managing investment risk more accurately. Taking into consideration the main characteristics of the conditional…
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- T. AndersenT. BollerslevF. DieboldPaul Labys
- 2001
Economics, Mathematics
A general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency volatility and return distributions is provided and the links between the conditional covariance matrix and the concept of realized volatility are formally developed.
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Business, Economics
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Economics, Mathematics
Eur. J. Oper. Res.
This paper proposes a realized Jump-GARCH models estimated in two versions using maximum likelihood as well as observation-driven estimation framework of generalized autoregressive score that outperform statistically the popular as well conventional models in both one-day and multi-period-ahead forecasting.
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Business, Computer Science
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- Timotheos AngelidisStavros Degiannakis
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Business, Economics
Recent financial research has provided evidence on the predictability of asset returns. In this Paper we consider the results contained in Pesaran-Timmerman (1995), which provided evidence on…
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