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Publications by Stavros Stavroyiannis

Do Commodity Investors Herd? Evidence From a Time-Varying Stochastic Volatility Model

Resources Policy

Political Science

English

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It's All About Volatility of Volatility: Evidence From a Two-Factor Stochastic Volatility Model

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Pricing Commodity Options When the Underlying Futures Price Exhibits Time-Varying Volatility

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Biological Sciences

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Do Investors Follow the Herd in Option Markets?

SSRN Electronic Journal

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Time-Varying Volatility Feedback of Energy Prices: Evidence From Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model

Environmental Science

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Stochastic Volatility of Volatility in Continuous Time

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Learning and Time-Varying Macroeconomic Volatility

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Stochastic Model Specification Search for Time-Varying Parameter VARs

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Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads

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A Stochastic Volatility Model With Conditional Skewness

Journal of Business and Economic Statistics

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