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Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions

Antonakakis, Nikolaos; Chatziantoniou, Ioannis; … - In: Journal of risk and financial management : JRFM 13 (2020) 4/84, pp. 1-23

In this study, we enhance the dynamic connectedness measures originally introduced by Diebold and Yılmaz (2012, 2014) with a time-varying parameter vector autoregressive model (TVP-VAR) which predicates upon a time-varying variance-covariance structure. This framework allows to capture possible...

Persistent link: https://www.econbiz.de/10012302738

Business cycle and financial cycle spillovers in the G7 countries

Antonakakis, Nikolaos; Breitenlechner, Max; Scharler, Johann - In: The quarterly review of economics and finance : journal … 58 (2015), pp. 154-162

Persistent link: https://www.econbiz.de/10011574229

Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom

Antonakakis, Nikolaos; Floros, Christos - In: International review of financial analysis 44 (2016), pp. 111-122

Persistent link: https://www.econbiz.de/10011623962

Dynamic spillover effects in futures markets : UK and US evidence

Antonakakis, Nikolaos; Floros, Christos; Kizys, Renatas - In: International review of financial analysis 48 (2016), pp. 406-418

Persistent link: https://www.econbiz.de/10011624538

Dynamic spillovers in the United States : stock market, housing, uncertainty, and the macroeconomy

Antonakakis, Nikolaos; André, Christophe; Gupta, Rangan - In: Southern economic journal 83 (2016) 2, pp. 609-624

Persistent link: https://www.econbiz.de/10011625589

The tourism and economic growth enigma : examining an ambiguous relationship through multiple prisms

Antonakakis, Nikolaos; Dragouni, Mina; Eeckels, Bruno; … - In: Journal of travel research : a quarterly publication of … 58 (2019) 1, pp. 3-24

Persistent link: https://www.econbiz.de/10011982156

The relationship between commodity markets and commodity mutual funds : a wavelet-based analysis

Antonakakis, Nikolaos; Chang, Tsangyao; Cuñado … - In: Finance research letters 24 (2018), pp. 1-9

Persistent link: https://www.econbiz.de/10011982439

Time-varying correlations between trade balance and stock prices in the United States over the period 1792 to 2013

Antonakakis, Nikolaos; Gupta, Rangan; Tiwari, Aviral Kumar - In: Journal of economics and finance 42 (2018) 4, pp. 795-806

Persistent link: https://www.econbiz.de/10012031147

Oil volatility, oil and gas firms and portfolio diversification

Antonakakis, Nikolaos; Cuñado Eizaguirre, Juncal; … - In: Energy economics 70 (2018), pp. 499-515

Persistent link: https://www.econbiz.de/10011942874

A suicidal Kuznets curve?

Antonakakis, Nikolaos; Collins, Alan - In: Economics letters 166 (2018), pp. 90-93

Persistent link: https://www.econbiz.de/10012011359