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Details about Ioannis Chatziantoniou

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Workplace:Department of Accounting and Finance, School of Management and Economics, Hellenic Mediterranean University, (more information at EDIRC)

Access statistics for papers by Ioannis Chatziantoniou.

Last updated 2024-11-06. Update your information in the RePEc Author Service.

Short-id: pch1832


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Working Papers

2021

  1. Independent Policy, Dependent Outcomes: A Game of Cross-Country Dominoes across European Yield Curves
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group Downloads View citations (3)
    See also Journal Article Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves, Journal of International Financial Markets, Institutions and Money, Elsevier (2022) Downloads View citations (21) (2022)
  2. Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach
    Working Papers, University of Pretoria, Department of Economics View citations (30)
  3. Interest Rate Swaps and the Transmission Mechanism of Monetary Policy: A Quantile Connectedness Approach
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group Downloads View citations (124)
    See also Journal Article Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach, Economics Letters, Elsevier (2021) Downloads View citations (67) (2021)
  4. The Evolution of Monetary Policy Focal Points
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group Downloads
    See also Journal Article The Evolution of Monetary Policy Focal Points, Journal of Economic Issues, Taylor & Francis Journals (2022) Downloads View citations (6) (2022)

2020

  1. Dynamic Connectedness And Spillovers Across Sectors: Evidence From The Indian Stock Market
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group Downloads View citations (2)
    See also Journal Article Dynamic connectedness and spillovers across sectors: Evidence from the Indian stock market, Scottish Journal of Political Economy, Scottish Economic Society (2022) Downloads View citations (7) (2022)

2019

  1. A Regional Decomposition of US Housing Prices and Volume: Market Dynamics and Economic Diversification Opportunities
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group Downloads View citations (2)
  2. Can spillover effects provide forecasting gains? The case of oil price volatility
    MPRA Paper, University Library of Munich, Germany Downloads
  3. EMU-Risk Synchronisation and Financial Fragility Through the Prism of Dynamic Connectedness
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group Downloads View citations (5)
    See also Journal Article EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness, The Quarterly Review of Economics and Finance, Elsevier (2021) Downloads View citations (88) (2021)
  4. From CIP-Deviations to a Market for Risk Premia: A Dynamic Investigation of Cross-Currency Basis Swaps
    Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group Downloads View citations (1)
    See also Journal Article From CIP-deviations to a market for risk premia: A dynamic investigation of cross-currency basis swaps, Journal of International Financial Markets, Institutions and Money, Elsevier (2020) Downloads View citations (21) (2020)
  5. Futures-based forecasts: How useful are they for oil price volatility forecasting?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (14)
    See also Journal Article Futures-based forecasts: How useful are they for oil price volatility forecasting?, Energy Economics, Elsevier (2019) Downloads View citations (12) (2019)

2015

  1. Asset prices regime-switching and the role of inflation targeting monetary policy
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article Asset prices regime-switching and the role of inflation targeting monetary policy, Global Finance Journal, Elsevier (2017) Downloads View citations (7) (2017)
  2. Dynamic Connectedness of UK Regional Property Prices
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Energy Consumption, CO2 Emissions, and Economic Growth: A Moral Dilemma
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Forecasting Tourist Arrivals Using Origin Country Macroeconomics
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article Forecasting tourist arrivals using origin country macroeconomics, Applied Economics, Taylor & Francis Journals (2016) Downloads View citations (16) (2016)

2014

  1. Dynamic Spillovers of Oil Price Shocks and Policy Uncertainty
    Department of Economics Working Paper Series, WU Vienna University of Economics and Business Downloads View citations (181)
    Also in Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2014) Downloads View citations (183)
  2. Spillovers between oil and stock markets at times of geopolitical unrest and economic turbulence
    MPRA Paper, University Library of Munich, Germany Downloads View citations (11)

2012

  1. Dynamic Co-movements between Stock Market Returns and Policy Uncertainty
    MPRA Paper, University Library of Munich, Germany Downloads View citations (18)

Journal Articles

2024

  1. Crises and Contagion in Equity Portfolios
    Economies, 2024, 12, (7), 1-32 Downloads
  2. Do social media sentiments drive cryptocurrency intraday price volatility? New evidence from asymmetric TVP-VAR frequency connectedness measures
    The European Journal of Finance, 2024, 30, (13), 1470-1489 Downloads
  3. Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach
    International Review of Financial Analysis, 2024, 91, (C) Downloads View citations (8)

2023

  1. Dynamic connectedness between COVID-19 news sentiment, capital and commodity markets
    Applied Economics, 2023, 55, (24), 2740-2754 Downloads View citations (5)
  2. Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures
    Journal of Commodity Markets, 2023, 30, (C) Downloads View citations (14)
  3. Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach
    Resources Policy, 2023, 84, (C) Downloads View citations (18)
  4. Model-free connectedness measures
    Finance Research Letters, 2023, 54, (C) Downloads View citations (12)
  5. Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies
    Energy Economics, 2023, 120, (C) Downloads View citations (23)

2022

  1. Crude oil and Islamic sectoral stocks: Asymmetric TVP-VAR connectedness and investment strategies
    Resources Policy, 2022, 78, (C) Downloads View citations (29)
  2. Dynamic connectedness and spillovers across sectors: Evidence from the Indian stock market
    Scottish Journal of Political Economy, 2022, 69, (3), 283-300 Downloads View citations (7)
    See also Working Paper Dynamic Connectedness And Spillovers Across Sectors: Evidence From The Indian Stock Market, Working Papers in Economics & Finance (2020) Downloads View citations (2) (2020)
  3. Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves
    Journal of International Financial Markets, Institutions and Money, 2022, 81, (C) Downloads View citations (21)
    See also Working Paper Independent Policy, Dependent Outcomes: A Game of Cross-Country Dominoes across European Yield Curves, Working Papers in Economics & Finance (2021) Downloads View citations (3) (2021)
  4. Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic
    Energy Economics, 2022, 111, (C) Downloads View citations (29)
  5. The Evolution of Monetary Policy Focal Points
    Journal of Economic Issues, 2022, 56, (2), 348-355 Downloads View citations (6)
    See also Working Paper The Evolution of Monetary Policy Focal Points, Working Papers in Economics & Finance (2021) Downloads (2021)
  6. US partisan conflict shocks and international stock market returns
    Empirical Economics, 2022, 63, (6), 2817-2854 Downloads View citations (3)

2021

  1. A closer look into the global determinants of oil price volatility
    Energy Economics, 2021, 95, (C) Downloads View citations (43)
  2. A regional decomposition of US housing prices and volume: market dynamics and Portfolio diversification
    The Annals of Regional Science, 2021, 66, (2), 279-307 Downloads View citations (6)
  3. Credit supply conditions and business cycles: New evidence from bank lending survey data
    Research in International Business and Finance, 2021, 55, (C) Downloads View citations (1)
  4. EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness
    The Quarterly Review of Economics and Finance, 2021, 79, (C), 1-14 Downloads View citations (88)
    See also Working Paper EMU-Risk Synchronisation and Financial Fragility Through the Prism of Dynamic Connectedness, Working Papers in Economics & Finance (2019) Downloads View citations (5) (2019)
  5. Energy poverty through the lens of the energy-environmental Kuznets curve hypothesis
    Energy Economics, 2021, 100, (C) Downloads View citations (20)
  6. Forecasting oil price volatility using spillover effects from uncertainty indices
    Finance Research Letters, 2021, 42, (C) Downloads View citations (15)
  7. Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach
    Economics Letters, 2021, 204, (C) Downloads View citations (67)
    See also Working Paper Interest Rate Swaps and the Transmission Mechanism of Monetary Policy: A Quantile Connectedness Approach, Working Papers in Economics & Finance (2021) Downloads View citations (124) (2021)
  8. Oil Price Volatility is Effective in Predicting Food Price Volatility. Or is it?
    The Energy Journal, 2021, 42, (6), 25-48 Downloads View citations (2)
    Also in The Energy Journal, 2021, Volume 42, (Number 6) (2021) Downloads View citations (8)
  9. The impact of Euro through time: Exchange rate dynamics under different regimes
    International Journal of Finance & Economics, 2021, 26, (1), 1375-1408 Downloads View citations (6)

2020

  1. Environmental and financial performance in the European manufacturing sector: An analysis of extreme tail dependency
    The British Accounting Review, 2020, 52, (6) Downloads View citations (14)
  2. Environmental disclosure and idiosyncratic risk in the European manufacturing sector
    Energy Economics, 2020, 87, (C) Downloads View citations (23)
  3. From CIP-deviations to a market for risk premia: A dynamic investigation of cross-currency basis swaps
    Journal of International Financial Markets, Institutions and Money, 2020, 69, (C) Downloads View citations (21)
    See also Working Paper From CIP-Deviations to a Market for Risk Premia: A Dynamic Investigation of Cross-Currency Basis Swaps, Working Papers in Economics & Finance (2019) Downloads View citations (1) (2019)
  4. Monetary policy and commodity markets: Unconventional versus conventional impact and the role of economic uncertainty
    International Review of Financial Analysis, 2020, 71, (C) Downloads View citations (20)
  5. Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions
    JRFM, 2020, 13, (4), 1-23 Downloads View citations (435)

2019

  1. Can Variations in Temperature Explain the Systemic Risk of European Firms?
    Environmental & Resource Economics, 2019, 74, (4), 1723-1759 Downloads View citations (6)
  2. Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios
    Journal of International Financial Markets, Institutions and Money, 2019, 61, (C), 37-51 Downloads View citations (117)
  3. Editorial of special issue 2016 Portsmouth – Fordham conference on Banking and Finance
    Financial Markets, Institutions & Instruments, 2019, 28, (2), 59-60 Downloads
  4. Futures-based forecasts: How useful are they for oil price volatility forecasting?
    Energy Economics, 2019, 81, (C), 639-649 Downloads View citations (12)
    See also Working Paper Futures-based forecasts: How useful are they for oil price volatility forecasting?, MPRA Paper (2019) Downloads View citations (14) (2019)

2018

  1. The dynamic connectedness of UK regional property returns
    Urban Studies, 2018, 55, (14), 3110-3134 Downloads View citations (33)

2017

  1. Asset prices regime-switching and the role of inflation targeting monetary policy
    Global Finance Journal, 2017, 32, (C), 97-112 Downloads View citations (7)
    See also Working Paper Asset prices regime-switching and the role of inflation targeting monetary policy, MPRA Paper (2015) Downloads (2015)
  2. Energy consumption, CO2 emissions, and economic growth: An ethical dilemma
    Renewable and Sustainable Energy Reviews, 2017, 68, (P1), 808-824 Downloads View citations (84)
  3. Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest
    International Review of Financial Analysis, 2017, 50, (C), 1-26 Downloads View citations (106)

2016

  1. Business Cycle Spillovers in the European Union: What is the Message Transmitted to the Core?
    Manchester School, 2016, 84, (4), 437-481 Downloads View citations (8)
  2. Forecasting tourist arrivals using origin country macroeconomics
    Applied Economics, 2016, 48, (27), 2571-2585 Downloads View citations (16)
    See also Working Paper Forecasting Tourist Arrivals Using Origin Country Macroeconomics, MPRA Paper (2015) Downloads (2015)

2014

  1. Dynamic spillovers of oil price shocks and economic policy uncertainty
    Energy Economics, 2014, 44, (C), 433-447 Downloads View citations (270)
  2. Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries
    Review of Quantitative Finance and Accounting, 2014, 42, (4), 709-729 Downloads View citations (74)

2013

  1. Dynamic co-movements of stock market returns, implied volatility and policy uncertainty
    Economics Letters, 2013, 120, (1), 87-92 Downloads View citations (290)
  2. Oil prices, tourism income and economic growth: A structural VAR approach for European Mediterranean countries
    Tourism Management, 2013, 36, (C), 331-341 Downloads View citations (38)
  3. Stock market response to monetary and fiscal policy shocks: Multi-country evidence
    Economic Modelling, 2013, 30, (C), 754-769 Downloads View citations (51)

Edited books

2022

  1. Applications in Energy Finance
    Springer Books, Springer View citations (6)

2017

  1. The Greek Debt Crisis
    Springer Books, Springer View citations (5)

Chapters

2022

  1. Minimum Connectedness Portfolios and the Market for Green Bonds: Advocating Socially Responsible Investment (SRI) Activity
    Springer View citations (51)
  2. Volatility Contagion Between Crude Oil and G7 Stock Markets in the Light of Trade Wars and COVID-19: A TVP-VAR Extended Joint Connectedness Approach
    Springer View citations (4)
 
Page updated 2025-03-23