Ioannis Chatziantoniou

Hellenic Mediterranean University

Lakonia, Ag. Nikolaos, Crete, Greece

Agios Nikolaos, Crete 72100

Greece

  • Hellenic Mediterranean University

SCHOLARLY PAPERS

17

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TOTAL CITATIONS
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Top 18,886

in Total Papers Citations

72

Scholarly Papers (17)

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1.

Minimum Connectedness Portfolios and the Market for Green Bonds: Advocating Socially Responsible Investment (SRI) Activity

Number of pages: 24 Posted: 22 Mar 2021
David C. Broadstock, Ioannis Chatziantoniou and David Gabauer
National University of Singapore (NUS) - Sustainable & Green Finance Institute (SGFIN), Hellenic Mediterranean University and Johannes Kepler University
Downloads 1,063 (44,996)

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Green bonds, Connectedness, United States, Europe, China, Dynamic portfolio analysis.

2.

Quantile Time-Frequency Price Connectedness Between Green Bond, Green Equity, Sustainable Investments and Clean Energy Markets

Number of pages: 22 Posted: 24 Nov 2021 Last Revised: 03 Dec 2021
Ioannis Chatziantoniou, Emmanuel Joel Aikins Abakah, David Gabauer and Aviral Kumar Tiwari
Hellenic Mediterranean University, University of Cape Coast, Johannes Kepler University and Indian Institute of Management Bodh Gaya
Downloads 779 (69,028)
Citation 35

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Green bond, green equity, sustainability, clean energy, price connectedness, quantile time-frequency.

3.

Crude Oil and Islamic Sectoral Stocks: Asymmetric Tvp-Var Connectedness and Investment Strategies

Number of pages: 41 Posted: 31 Mar 2022
Nikolaos Antonakakis, Oluwasegun Adekoya, Ademola Akinseye, Ioannis Chatziantoniou, David Gabauer and Johnson A. Oliyide
Webster University - Webster Vienna Private University, School of Economics, University of Maine, Tai-Solarin University of Education, Hellenic Mediterranean University, affiliation not provided to SSRN and Abeokuta Federal University of Agriculture (UNAAB) - Department of Economics
Downloads 424 (147,302)
Citation 10

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Islamic stocks, crude oil, TVP-VAR, asymmetric connectedness, portfolio management, hedging effectiveness

4.

Measuring the G20 Stock Market Return Transmission Mechanism: Evidence From the R2 Connectedness Approach

Downloads 420 (149,022)

Measuring the G20 Stock Market Return Transmission Mechanism: Evidence From the R2 Connectedness Approach

Number of pages: 21 Posted: 14 Feb 2023 Last Revised: 12 Apr 2023
Muhammad Abubakr Naeem, Ioannis Chatziantoniou, David Gabauer and Sitara Karim
United Arab Emirates University, Hellenic Mediterranean University, Johannes Kepler University and Sunway Business School, Sunway University, Malaysia
Downloads 352 (179,868)

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G20 stock markets; contemporaneous connectedness; R2 decomposition

Measuring the G20 Stock Market Return Transmission Mechanism: Evidence from the R2 Connectedness Approach

Number of pages: 22 Posted: 02 Mar 2023
Muhammad Abubakr Naeem, Ioannis Chatziantoniou, David Gabauer and Sitara Karim
United Arab Emirates University, Hellenic Mediterranean University, Johannes Kepler University and Sunway Business School, Sunway University, Malaysia
Downloads 68 (723,951)

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G20 stock markets, contemporaneous connectedness, R2 decomposition

5.

Volatility Contagion between Crude Oil and G7 Stock Markets in the Light of Trade Wars and COVID-19: An Application Based on the TVP-VAR Extended Joint Connectedness Approach

Number of pages: 25 Posted: 24 Sep 2021
Ioannis Chatziantoniou, Christos Floros and David Gabauer
Hellenic Mediterranean University, Hellenic Mediterranean University and Johannes Kepler University
Downloads 263 (247,948)
Citation 3

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Crude oil; stock market indices; G7; COVID-19; TVP-VAR; dynamic connectedness; volatility spillovers.

6.

Crude Oil and Islamic Sectoral Stocks: Asymmetric Connectedness and Investment Strategies

Number of pages: 1 Posted: 02 Feb 2022
Oluwasegun B. Adekoya, Ademola Akinseye, Nikolaos Antonakakis, Ioannis Chatziantoniou, David Gabauer and Johnson A. Oliyide
Abeokuta Federal University of Agriculture (UNAAB), Tai-Solarin University of Education, Webster University - Webster Vienna Private University, Hellenic Mediterranean University, Johannes Kepler University and Abeokuta Federal University of Agriculture (UNAAB) - Department of Economics
Downloads 240 (270,618)
Citation 2

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COVID-19, TVP-VAR, dynamic connectedness, asymmetric connectedness, portfolio management, hedging effectiveness, Islamic stocks, crude oil

7.

Oil Price Shocks and Exchange Rate Dynamics: New Evidence From Decomposed and Partial Connectedness Measures for Oil Importing and Exporting Economies

Number of pages: 38 Posted: 02 Apr 2022
Ioannis Chatziantoniou, Ahmed H. Elsayed, David Gabauer and Giray Gozgor
Hellenic Mediterranean University, Durham University Business School, Johannes Kepler University and Istanbul Medeniyet University
Downloads 231 (280,933)

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TVP-VAR, oil price shocks, exchange rates, dynamic connectedness, connectedness decomposition, partial connectedness.

8.

Model-Free Connectedness Measures

Number of pages: 18 Posted: 26 Jan 2023 Last Revised: 13 Apr 2023
David Gabauer, Ioannis Chatziantoniou and Alexis Stenfors
Johannes Kepler University, Hellenic Mediterranean University and Portsmouth Business School
Downloads 196 (328,086)

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Dynamic connectedness; unconditional connectedness measures; model-free; contemporaneous connectedness

9.

Do Social Media Sentiments Drive Cryptocurrency Intraday Price Volatility? Evidence from Dynamic Return and Volatility Connectedness

Number of pages: 34 Posted: 29 Nov 2022 Last Revised: 20 Oct 2023
Suwan(Cheng) Long, Ioannis Chatziantoniou, David Gabauer and Brian M. Lucey
Judge Business School, University of Cambridge, Hellenic Mediterranean University, affiliation not provided to SSRN and Trinity Business School, Trinity College Dublin
Downloads 178 (358,326)
Citation 1

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Intraday volatility, Cryptocurrencies, investor sentiment, dynamic connectedness, asymmetric connectedness, aggregated connectedness

10.

Dynamic Connectedness between COVID-19 News Sentiment, Capital and Commodity Markets

Number of pages: 20 Posted: 05 Mar 2021 Last Revised: 28 Apr 2023
Nicholas Apergis, Ioannis Chatziantoniou and David Gabauer
University of Piraeus, Hellenic Mediterranean University and Johannes Kepler University
Downloads 157 (399,474)
Citation 6

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COVID-19 sentiment news; volatility indices; TVP-VAR; dynamic connectedness; joint connectedness.

11.

Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures

Number of pages: 22 Posted: 13 May 2022
Juncal Cuñado, David Gabauer, Ioannis Chatziantoniou, Fernando Perez de Gracia and Hardik Marfatia
University of Navarra, Johannes Kepler University, Hellenic Mediterranean University, University of Navarra and Northeastern Illinois University - Economics
Downloads 155 (403,929)
Citation 1

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Gold, silver, crude oil, heating oil, realized volatility, dynamic quantile connectedness, joint connectedness.

12.

What is Driving Connectedness? Stylized Facts from Mean and Volatility Dynamics

Number of pages: 12 Posted: 13 Apr 2023
Nikolaos Antonakakis, David Gabauer and Ioannis Chatziantoniou
Webster University - Webster Vienna Private University, Johannes Kepler University and Hellenic Mediterranean University
Downloads 113 (518,477)

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Dynamic connectedness, VAR, DCC-GARCH

13.

Tail Risk Connectedness in the Refined Petroleum Market: A First Look at the Impact of the COVID Pandemic

Number of pages: 20 Posted: 24 Sep 2021
Ioannis Chatziantoniou, David Gabauer and Fernando Perez de Gracia
Hellenic Mediterranean University, Johannes Kepler University and University of Navarra
Downloads 71 (700,951)
Citation 3

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Crude oil, refined petroleum products, tail risk spillovers, dynamic connectedness, TVPVAR, CAViaR, COVID-19

14.

US sectoral stock market volatility and geopolitical risk categories

Number of pages: 18 Posted: 21 Jan 2025
Ioannis Chatziantoniou, David Gabauer and Alexis Stenfors
Hellenic Mediterranean University, Lincoln University (NZ) and Portsmouth Business School
Downloads 65 (729,061)

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stock price volatility, industry sectors, geopolitical risk components

15.

Dynamic Spillovers Across Precious Metals and Oil Realized Volatilities: Evidence from Quantile Extended Joint Connectedness Measures

Number of pages: 23 Posted: 02 Jun 2022
Juncal Cunado, Ioannis Chatziantoniou, David Gabauer, Fernando Perez de Gracia and Hardik Marfatia
University of Navarra - Faculty of Economics, Hellenic Mediterranean University, Johannes Kepler University, University of Navarra and Northeastern Illinois University - Economics
Downloads 64 (734,895)
Citation 11

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Gold, silver, crude oil, heating oil, realized volatility, dynamic quantile connectedness, joint connectedness

16.

European Currency Co-Movements and Contagion: Evidence from a Bayesian TVP-(Pseudo)FAVAR Model

Posted: 08 May 2018
Nikolaos Antonakakis, Ioannis Chatziantoniou and David Gabauer
Vienna University of Economics and Business, Hellenic Mediterranean University and Johannes Kepler University

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Bayesian TVP-(Pseudo)FAVAR, Exchange Rate Regimes, Connectedness

17.

Dynamic Co-Movements of Stock Market Returns, Implied Volatility and Policy Uncertainty

Economics Letters, Vol. 120, No. 1, 2013
Posted: 20 Feb 2014
Nikolaos Antonakakis, Ioannis Chatziantoniou and George N. Filis
Vienna University of Economics and Business, Hellenic Mediterranean University and Bournemouth University

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Policy uncertainty, Dynamic correlation, Stock market return, Implied volatility, Oil price shock