Nikolaos Antonakakis

Dr. Nikolaos Antonakakis

Department of Business and Management, Webster Vienna Private University, Praterstraße 23, 1020 Wien, Austria

Research Focus & Metrics

Academic Career Length

16Years (2011-Present)

(Calculated once Scilit publication data is synced: current year − year of first publication + 1)

Representative Publications

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Nikolaos AntonakakisNikolaos Antonakakis
Nikolaos Antonakakis
ICIoannis Chatziantoniou
Ioannis Chatziantoniou
David GabauerDavid Gabauer
David Gabauer
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 changes in the underlying structure of the data in a more flexible and robust manner. Specifically, there is neither a need to arbitrarily set the rolling-window size nor a loss of observations in the calculation of the dynamic measures of connectedness, as no rolling-window analysis is involved. Given that the proposed framework rests on multivariate Kalman filters, it is less sensitive to outliers. Furthermore, we emphasise the merits of this approach by conducting Monte Carlo simulations. We put our framework into practice by investigating dynamic connectedness measures of the four most traded foreign exchange rates, comparing the TVP-VAR results to those obtained from three different rolling-window settings. Finally, we propose uncertainty measures for both TVP-VAR-based and rolling-window VAR-based dynamic connectedness measures.

1 July 2013 in Economics Letters
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Nikolaos AntonakakisNikolaos Antonakakis
Nikolaos Antonakakis
ICIoannis Chatziantoniou
Ioannis Chatziantoniou
GFGeorge Filis
George Filis

1 February 2017 in Renewable and Sustainable Energy Reviews
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Nikolaos AntonakakisNikolaos Antonakakis
Nikolaos Antonakakis
ICIoannis Chatziantoniou
Ioannis Chatziantoniou
GFGeorge Filis
George Filis

1 July 2014 in Energy Economics
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Nikolaos AntonakakisNikolaos Antonakakis
Nikolaos Antonakakis
ICIoannis Chatziantoniou
Ioannis Chatziantoniou
GFGeorge Filis
George Filis

1 November 2017 in Finance Research Letters
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Nikolaos AntonakakisNikolaos Antonakakis
Nikolaos Antonakakis
RGRangan Gupta
Rangan Gupta
CKChristos Kollias
Christos Kollias
SPStephanos Papadamou
Stephanos Papadamou

1 May 2018 in Economics Letters
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Journal Article
Open access
Nikolaos AntonakakisNikolaos Antonakakis
Nikolaos Antonakakis
David GabauerDavid Gabauer
David Gabauer
RGRangan Gupta
Rangan Gupta
VPVasilios Plakandaras
Vasilios Plakandaras