Associate Professor


Stavros Degiannakis


Field of Economic Science


Aristotelous 29, 2nd Floor




Research interests

Dr. Degiannakis research interests are in the areas of energy finance (i.e., oil price modelling and forecasting, trading strategies for oil, ETFs on oil, volatility tradeable assets, big data analysis for energy finance), financial econometrics (i.e. ultra-high frequency modelling, ultra-high frequency algorithmic trading, option pricing, financial markets modelling), applied economics (i.e. nowcasting and forecasting for macroeconomic policy) and market risk management (i.e. prediction models for market risk). His research has been granted with multiple scholarships and awards. He has more than 2500 citations according to google scholar and about 27.000 reads according to research gate. Ideas ranks his research in the top 3% of the world (Top 3% Economists in the Last Ten Years), as well as in the 4th position in Greece based on the research conducted during the last 10 years ( He has worked for various Universities (Panteion University of Social and Political Sciences, Athens University of Economics and Business, Hellenic Open University, University of Central Greece, University of Portsmouth, Bournemouth University etc.) and he has taught statistics, econometrics, time series, big data analysis, finance and quantitative techniques. He has participated in European Central Bank's Experts Group on Financial Assumptions, in European Commission's Group of Experts on Economic Forecasts, in Organisation for Economic Co-operation and Development's Working Group on Short-Term Economic Prospects. He has also served as senior econometrician or consultant for companies in private and public sector i.e. Economic Chamber of Greece, Inventive, Hellenic Parliament, Bank of Greece, Ministry of Tourism (Director of Minister’s Office), Negotiation Committee for Prices of Medical Devices (President), National Organisation for Health Care Services Provision (Member of the Board of Directors), etc.

Full curriculum vitae
Recently published

1. Oil and currency volatilities: co-movements and hedging opportunities, International Journal of Finance and Economics, 2020, forthcoming, with G. Filis and A. Olstad. 3* ABS
2. Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector? Energy Economics, 2020, 88, 104755, with Z. Bragoudakis and G. Filis. 3* ABS
3. Forecasting Realized Volatility of Agricultural Commodities, International Journal of Forecasting, 2020, in press, with G. Filis, T. Klein, and T. Walther. 3* ABS
4. Futures-based forecasts: How useful are they for oil price volatility forecasting? Energy Economics, 2019, 81, 639-649 with I., Chatziantoniou and G. Filis. 3* ABS
5. Forecasting European Economic Policy Uncertainty, Scottish Journal of Political Economy, 2019, 66(1), 94-114, with G. Filis. 2* ABS. This paper is one of the most downloaded papers during 2018-2019 published in Scottish Journal of Political Economy.
6. The impact of the 2007 global financial crisis on IPO performance in Asian-Pacific emerging markets, Theoretical Economics Letters, 2018, 8(11), 2640-2672, with G. Giannopoulos, A. Holt, T. Pongpoonsuksri. 1* ABS
7. Economic Announcements and the 10-year US Treasury Bond: Surprising Findings without the Surprise Element, Applied Economics Letters, 2019, 26(15), 1269-1273, with G. Filis and S. Tsamperlidis. 1* ABS
8. Forecasting oil prices: High-frequency financial data are indeed useful, Energy Economics, 2018, 76, 388-402, with G. Filis. 3* ABS
9. Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence, Energy Journal, 2018, 39(5), 85-130, with G. Filis and V. Arora. 3* ABS
10. Oil Price Shocks and Uncertainty: How stable is their relationship over time?, Economic Modelling, 2018, 72, 42-53, with G. Filis and S. Panagiotakopoulou. 2* ABS
11. Forecasting implied volatility indices worldwide: A new approach, Journal of Empirical Finance, 2018, 46, 111-129, with G. Filis and H. Hassani. 3* ABS
12. Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts, Global Finance Journal, 2018, 36, 41-61. 2* ABS
13. Earnings Management to Avoid Losses and Earnings Declines in Croatia, International Journal of Computational Economics and Econometrics, 2019, 9(3), 219-238, with G. Giannopoulos, S. Ibrahim and I. Rozic. 1* ABS
14. The one-trading-day-ahead forecast errors of intra-day realized volatility, Research in International Business and Finance, 2017, 42, 1298-1314. 2* ABS
15. Hedge Fund Returns under Crisis Scenarios: A Holistic Approach, Research in International Business and Finance, 2017, 42, 1196-1207, with T. Palaskas and C. Stoforos. 2* ABS
16. Forecasting oil price realized volatility using information channels from other asset classes, Journal of International Money and Finance, 2017, 76, 28-49, with G. Filis. 3* ABS
17. Investments and uncertainty revisited: the case of the US economy, Applied Economics, 2017, 49(45), 4521-452, with G. Filis, G. Palaiodimos. 2* ABS
18. Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries, International Review of Financial Analysis, 2016, 48, 209-220, with R. Boldanov and G. Filis. 3* ABS
19. Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus Intra-day data, International Review of Financial Analysis, 2017, 49, 176-190, with A. Potamia. 3* ABS
20. Real Time Monitoring of Carbon Monoxide Using Value-at-Risk Measure and Control Charting, Journal of Applied Statistics, 2017, 44(1), 89-118, with S. Bersimis, D. Georgakellos. 2* ABS
21. Forecasting Tourist Arrivals Using Origin Country Macroeconomics, Applied Economics, 2016, 48(27), 2571-2585, with B. Eeckels, G. Chatziantoniou and G. Filis, 2* ABS.
22. Business Cycle Synchronisation in EMU: Can Fiscal Policy Bring Member-Countries Closer? , Economic Modelling, 2016, 52, 551-563, with A. Livada, D. Duffy and G. Filis. Impact Factor: 2.678, 2* ABS
23. A probit model for the state of the Greek GDP growth, International Journal of Financial Studies, 2015, 3(3), 381-392.
24. Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors, Journal of Applied Statistics, 2016, 43(5), 871-892, with A. Livada Impact Factor: 0.581, 2* ABS
25. Intra-Day Realized Volatility for European and USA Stock Indices, Global Finance Journal, 2016, 29, 24-41, with C. Floros. Impact Factor: 2.643, 2* ABS
26. US stock market regimes and oil price shocks, Global Finance Journal, 2015, 28, 132-146, with T. Angelidis and G. Filis. Impact Factor: 2.643,2* ABS
27. The effects of oil price shocks on stock market volatility: Evidence from European data, The Energy Journal, 2014, 35(1), 35-56, with G. Filis and R. Kizys, ISSN: 0195-6574. Impact Factor: 5.828, 3* ABS
28. A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification”, The Manchester School, 82(1), 71-102, 2014, with C. Floros and P. Dent, ISSN: 14679957. Impact Factor: 3.546, 3* ABS
29. Business Cycle Synchronisation in EU: A time-varying approach, Scottish Journal of Political Economy, 2014, 61(4), 348-370, with D. Duffy and G. Filis, ISSN: 1467-9485. Impact Factor: 3.052, 2* ABS
30. Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices, Journal of Economic Studies, 41(2), 216-232, 2014, with A. Kiohos, ISSN: 0144-3585. Impact Factor: 1.861 2* ABS
31. Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment, Journal of International Financial Markets, Institutions & Money, 26(1), 175-191, 2013, with C. Floros and G. Filis, ISSN: 1042-4431. Impact Factor: 4.712, 3* ABS. This paper is one of the 5 most highly cited papers published in Journal of International Financial Markets, Institutions & Money. Web of Science has indexed the paper in the category Business Finance and it was ranked 206 out of 19688 articles.
32. Realized Volatility or Price Range: Evidence from a discrete simulation of the continuous time diffusion process, Economic Modelling, 2013, 30, 212-216, with A. Livada, ISSN: 0264-9993. Impact Factor: 2.678, 2* ABS
33. Modeling CAC40 Volatility Using Ultra-high Frequency Data, Research in International Business and Finance, 2013, 28, 68-81, with C. Floros, ISSN: 0275-5319. Impact Factor: 2.046, 2* ABS
34. Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence, International Review of Financial Analysis, 2013, 27, 21-33, with C. Floros and P. Dent, ISSN: 1057-5219. Impact Factor: 2.305, 3* ABS
35. Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence”, Managerial Finance, 2012, 38(4), 436-452, with C. Floros and A. Livada, ISSN: 0307-4358. Impact Factor: 0.584, 1* ABS
36. Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries, International Review of Financial Analysis, 2011, 20(3), 152-164, with C. Floros and G. Filis, ISSN: 1057-5219. Impact Factor: 2.305, 3* ABS. This paper is one of the most downloaded and most highly cited papers published in International Review of Financial Analysis.
37. Hedge Ratios in South African Stock Index Futures, Journal of Emerging Market Finance, 2010, 9(3), 285-304, with C. Floros, ISSN: 0972-6527. Impact Factor: 0.838, 2* ABS
38. VIX Index in Interday and Intraday Volatility Models, Journal of Money, Investment and Banking, 2010, 13, 21-26, with C. Floros, ISSN: 1986-4094.
39. Is PEAD a Consequence of the Presence of the Cognitive Bias of Self-Attribution in Investors’ Expectations Regarding Permanent Earnings? Evidence from Athens Stock Exchange, International Journal of Computational Economics and Econometrics, 2009, 1(1), 89-110, with G. Giannopoulos, Impact Factor: 0.34, ISSN: 1757-1189.
40. Trade Transparency and Trading Volume: The Possible Impact of the Financial Instruments Markets Directive on the Trading Volume of EU Equity Markets, International Journal of Financial Markets and Derivatives, 2009, 1(1), 96-123, with Ε. Avgouleas, Impact Factor: 0.096, ISSN: 1756-7130.
41. ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling, Journal of Applied Statistics, 2008, 35(10), 1169-1180, ISSN: 0266-4763. Impact Factor: 0.581, 2* ABS
42. Forecasting VIX, Journal of Money, Investment and Banking, 2008, 4, 5-19, ISSN: 1450-288X.
43. SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework. Applied Financial Economics Letters, 2008, 4(6), 419-423, with E. Xekalaki, Impact Factor: 1.766, ISSN: 1744–6546. 1* ABS
44. Volatility Forecasting: Intra-day versus Inter-day Models. Journal of International Financial Markets Institutions and Money, 2008, 18, 449-465, with T. Angelidis, ISSN: 1042-4431. Impact Factor: 4.712, 3* ABS
45. Forecasting One-day-ahead VaR and Intra-Day Realized Volatility in the Athens Stock Exchange Market. Managerial Finance, 2008, 34(7), 489-497, with T. Angelidis, ISSN: 0307-4358. Impact Factor: 0.584, 1* ABS
46. Rolling-sampled parameters of ARCH and Levy-stable models. Applied Economics, 2008, 40(23), 3051-3067, with A. Livada and E. Panas, ISSN: 0003–6846. Impact Factor 3.457, 2* ABS
47. Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models. Applied Financial Economics, 2007, 17, 149-171, with E., Xekalaki. ISSN 0960-3107, 1466-4305. Impact Factor 2.46, 2* ABS
48. Simulated evidence on the distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH processes. Applied Financial Economics Letters, 2007, 3, 31-37, with E., Xekalaki, ISSN 1744-6546. Impact Factor: 1.766, 1* ABS
49. A Robust VaR Model Under Different Time Periods and Weighting Schemes. Review of Quantitative Finance and Accounting, 2007, 28(2), 187-201, with T. Angelidis and A. Benos, ISSN: 1573-7179. Impact Factor: 1.402, 3* ABS
50. Backtesting VaR Models: A Two-Stage Procedure. Journal of Risk Model Validation, 2007, 1(2), 27-48, with T. Angelidis, ISSN: 1753-9579, Impact Factor 0.219.
51. Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market. Computational Statistics and Data Analysis, 2005, 49(2), 611-629, with E., Xekalaki ISSN: 0167-9473, Impact Factor: 0.963. 3* ABS
52. Predictability and Model Selection in the Context of ARCH Models. Journal of Applied Stochastic Models in Business and Industry, 2005, 21, 55-82, with E., Xekalaki, ISSN: 1524-1904, 1526-4025, Impact Factor: 0.532.
53. Modeling Risk for Long and Short Trading Positions. Journal of Risk Finance, 2005, 6(3), 226-238, with T. Angelidis, ISSN: 1526-5943. Impact Factor: 0.647, 1* ABS
54. Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model. Applied Financial Economics, 2004, 14, 1333-1342, ISSN 0960-3107, 1466-4305. Impact Factor: 2.46, 2* ABS
55. Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review. Quality Technology and Quantitative Management, 2004, 1(2), 271-324, with E., Xekalaki, ISSN: 1684-3703, Impact Factor: 0.339.
56. The Use of GARCH Models in VaR Estimation. Statistical Methodology, 2004, 1, 1(2), 105-128, with T. Angelidis and A. Benos, ISSN: 1572-3127, Impact Factor: 0.708. This paper is the most downloaded and one of the most highly cited papers published in Statistical Methodology.