RESEARCH
Publications:
1. Siouris, G.-J. and Karagrigoriou, A. (2017). A low-price correction for improved volatility estimation and forecasting, Risks, 5(3), 45; doi:10.3390/risks5030045.
Click here to download it
2. Siouris, G.-J. and Karagrigoriou, A. (2018) Post model correction in VaR and ES (work in progress)
3. Siouris, G.-J. (2017) Use of FIGARCH models in Expected Shortfall (M.Sc. Thesis under the supervision of Karagrigoriou Alex)
4. Siouris, G.-J. (2013) Study of Time Series of Non-linear Systems: The role of Chaos and Stochasticity (Undergraduate Thesis under the supervision of Bountis Anastasios)
Conference/Workshop participation with presentation:
A 20-a Conferinta a societat II de probabilitati si statistica din Romania (Brasov, Romania 2017) (Title: Estimation and backtesting of expected shortfall)
31st European Meeting of Statisticians (Helsinki, Finland 2017) (Title: Improvement of expected shortfall estimations in APARCH and FIGARCH models)
A 21-a Conferinta a societat II de probabilitati si statistica din Romania (Bucharest, Romania 2018) (Title: Expected Percentage Shortfall and Adjusted Evaluation Measures)
5th Stochastic Modeling Techniques and Data Analysis International Conference (Chania, Crete, Greece 2018) (Title: Discretization of the Tail Density Function and Discrete Expected Percentage Shortfall)
31st Panhellenic Statistical Conference (Lamia, Greece 2018) (Title: Adjusted Evaluation Measures and Its Applications to Finance and Biosurveillance)
R and Big Data Analytics (Karlovasi, Samos, Greece 2018) (Title: Advance Statistical Analysis Techniques and Data Mining with R)