Details about Ioannis Chatziantoniou
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
- 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 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) View citations (21) (2022)
- 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)
- 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 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) View citations (67) (2021)
- The Evolution of Monetary Policy Focal Points
Working Papers in Economics & Finance, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group 
See also Journal Article The Evolution of Monetary Policy Focal Points, Journal of Economic Issues, Taylor & Francis Journals (2022) View citations (6) (2022)
2020
- 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 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) View citations (7) (2022)
2019
- 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 View citations (2)
- Can spillover effects provide forecasting gains? The case of oil price volatility
MPRA Paper, University Library of Munich, Germany
- 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 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) View citations (88) (2021)
- 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 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) View citations (21) (2020)
- Futures-based forecasts: How useful are they for oil price volatility forecasting?
MPRA Paper, University Library of Munich, Germany View citations (14)
See also Journal Article Futures-based forecasts: How useful are they for oil price volatility forecasting?, Energy Economics, Elsevier (2019) View citations (12) (2019)
2015
- Asset prices regime-switching and the role of inflation targeting monetary policy
MPRA Paper, University Library of Munich, Germany 
See also Journal Article Asset prices regime-switching and the role of inflation targeting monetary policy, Global Finance Journal, Elsevier (2017) View citations (7) (2017)
- Dynamic Connectedness of UK Regional Property Prices
MPRA Paper, University Library of Munich, Germany
- Energy Consumption, CO2 Emissions, and Economic Growth: A Moral Dilemma
MPRA Paper, University Library of Munich, Germany
- Forecasting Tourist Arrivals Using Origin Country Macroeconomics
MPRA Paper, University Library of Munich, Germany 
See also Journal Article Forecasting tourist arrivals using origin country macroeconomics, Applied Economics, Taylor & Francis Journals (2016) View citations (16) (2016)
2014
- Dynamic Spillovers of Oil Price Shocks and Policy Uncertainty
Department of Economics Working Paper Series, WU Vienna University of Economics and Business View citations (181)
Also in Department of Economics Working Papers, Vienna University of Economics and Business, Department of Economics (2014) View citations (183)
- Spillovers between oil and stock markets at times of geopolitical unrest and economic turbulence
MPRA Paper, University Library of Munich, Germany View citations (11)
2012
- Dynamic Co-movements between Stock Market Returns and Policy Uncertainty
MPRA Paper, University Library of Munich, Germany View citations (18)
Journal Articles
2024
- Crises and Contagion in Equity Portfolios
Economies, 2024, 12, (7), 1-32
- 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
- Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach
International Review of Financial Analysis, 2024, 91, (C) View citations (8)
2023
- Dynamic connectedness between COVID-19 news sentiment, capital and commodity markets
Applied Economics, 2023, 55, (24), 2740-2754 View citations (5)
- Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures
Journal of Commodity Markets, 2023, 30, (C) View citations (14)
- 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) View citations (18)
- Model-free connectedness measures
Finance Research Letters, 2023, 54, (C) View citations (12)
- 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) View citations (23)
2022
- Crude oil and Islamic sectoral stocks: Asymmetric TVP-VAR connectedness and investment strategies
Resources Policy, 2022, 78, (C) View citations (29)
- Dynamic connectedness and spillovers across sectors: Evidence from the Indian stock market
Scottish Journal of Political Economy, 2022, 69, (3), 283-300 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) View citations (2) (2020)
- 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) 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) View citations (3) (2021)
- Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic
Energy Economics, 2022, 111, (C) View citations (29)
- The Evolution of Monetary Policy Focal Points
Journal of Economic Issues, 2022, 56, (2), 348-355 View citations (6)
See also Working Paper The Evolution of Monetary Policy Focal Points, Working Papers in Economics & Finance (2021) (2021)
- US partisan conflict shocks and international stock market returns
Empirical Economics, 2022, 63, (6), 2817-2854 View citations (3)
2021
- A closer look into the global determinants of oil price volatility
Energy Economics, 2021, 95, (C) View citations (43)
- A regional decomposition of US housing prices and volume: market dynamics and Portfolio diversification
The Annals of Regional Science, 2021, 66, (2), 279-307 View citations (6)
- Credit supply conditions and business cycles: New evidence from bank lending survey data
Research in International Business and Finance, 2021, 55, (C) View citations (1)
- EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness
The Quarterly Review of Economics and Finance, 2021, 79, (C), 1-14 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) View citations (5) (2019)
- Energy poverty through the lens of the energy-environmental Kuznets curve hypothesis
Energy Economics, 2021, 100, (C) View citations (20)
- Forecasting oil price volatility using spillover effects from uncertainty indices
Finance Research Letters, 2021, 42, (C) View citations (15)
- Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach
Economics Letters, 2021, 204, (C) 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) View citations (124) (2021)
- Oil Price Volatility is Effective in Predicting Food Price Volatility. Or is it?
The Energy Journal, 2021, 42, (6), 25-48 View citations (2)
Also in The Energy Journal, 2021, Volume 42, (Number 6) (2021) View citations (8)
- The impact of Euro through time: Exchange rate dynamics under different regimes
International Journal of Finance & Economics, 2021, 26, (1), 1375-1408 View citations (6)
2020
- Environmental and financial performance in the European manufacturing sector: An analysis of extreme tail dependency
The British Accounting Review, 2020, 52, (6) View citations (14)
- Environmental disclosure and idiosyncratic risk in the European manufacturing sector
Energy Economics, 2020, 87, (C) View citations (23)
- 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) 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) View citations (1) (2019)
- Monetary policy and commodity markets: Unconventional versus conventional impact and the role of economic uncertainty
International Review of Financial Analysis, 2020, 71, (C) View citations (20)
- Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions
JRFM, 2020, 13, (4), 1-23 View citations (435)
2019
- Can Variations in Temperature Explain the Systemic Risk of European Firms?
Environmental & Resource Economics, 2019, 74, (4), 1723-1759 View citations (6)
- Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios
Journal of International Financial Markets, Institutions and Money, 2019, 61, (C), 37-51 View citations (117)
- Editorial of special issue 2016 Portsmouth – Fordham conference on Banking and Finance
Financial Markets, Institutions & Instruments, 2019, 28, (2), 59-60
- Futures-based forecasts: How useful are they for oil price volatility forecasting?
Energy Economics, 2019, 81, (C), 639-649 View citations (12)
See also Working Paper Futures-based forecasts: How useful are they for oil price volatility forecasting?, MPRA Paper (2019) View citations (14) (2019)
2018
- The dynamic connectedness of UK regional property returns
Urban Studies, 2018, 55, (14), 3110-3134 View citations (33)
2017
- Asset prices regime-switching and the role of inflation targeting monetary policy
Global Finance Journal, 2017, 32, (C), 97-112 View citations (7)
See also Working Paper Asset prices regime-switching and the role of inflation targeting monetary policy, MPRA Paper (2015) (2015)
- Energy consumption, CO2 emissions, and economic growth: An ethical dilemma
Renewable and Sustainable Energy Reviews, 2017, 68, (P1), 808-824 View citations (84)
- 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 View citations (106)
2016
- Business Cycle Spillovers in the European Union: What is the Message Transmitted to the Core?
Manchester School, 2016, 84, (4), 437-481 View citations (8)
- Forecasting tourist arrivals using origin country macroeconomics
Applied Economics, 2016, 48, (27), 2571-2585 View citations (16)
See also Working Paper Forecasting Tourist Arrivals Using Origin Country Macroeconomics, MPRA Paper (2015) (2015)
2014
- Dynamic spillovers of oil price shocks and economic policy uncertainty
Energy Economics, 2014, 44, (C), 433-447 View citations (270)
- 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 View citations (74)
2013
- Dynamic co-movements of stock market returns, implied volatility and policy uncertainty
Economics Letters, 2013, 120, (1), 87-92 View citations (290)
- Oil prices, tourism income and economic growth: A structural VAR approach for European Mediterranean countries
Tourism Management, 2013, 36, (C), 331-341 View citations (38)
- Stock market response to monetary and fiscal policy shocks: Multi-country evidence
Economic Modelling, 2013, 30, (C), 754-769 View citations (51)
Edited books
2022
- Applications in Energy Finance
Springer Books, Springer View citations (6)
2017
- The Greek Debt Crisis
Springer Books, Springer View citations (5)
Chapters
2022
- Minimum Connectedness Portfolios and the Market for Green Bonds: Advocating Socially Responsible Investment (SRI) Activity
Springer View citations (51)
- 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)
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