2 citations · 2 across the 1 of their papers we have counts for
4 papers
Cointegration and ARDL specification between the Dubai crude oil and the US natural gas market
Stavros Stavroyiannis
This paper examines the relationship between the price of the Dubai crude oil and the price of the US natural gas using an updated monthly dataset from 1992 to 2018, incorporating…
Value-at-Risk and Expected Shortfall for the major digital currencies
Stavros Stavroyiannis
Digital currencies and cryptocurrencies have hesitantly started to penetrate the investors, and the next step will be the regulatory risk management framework. We examine the Value…
A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is there a leverage effect?
Stavros Stavroyiannis
The majority of stylized facts of financial time series and several Value-at-Risk measures are modeled via univariate or multivariate GARCH processes. It is not rare that advanced…
Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution
Stavros Stavroyiannis
We examine the efficiency of the Asymmetric Power ARCH (APARCH) model in the case where the residuals follow the standardized Pearson type IV distribution. The model is tested with…