Research

Articles in Peer-Reviewed Journals:

2023

Bouri, E., Gabauer, D., Gupta, R., & Kinateder, H. (2023). Geopolitical Risk and Inflation Spillovers across European and North American Economies. Research in International Business and Finance. Revise & Resubmit.

Naeem, M.A., Chatziantoniou, I., Gabauer, D., & Karim, S. (2023). Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach. International Review of Financial Analysis. Revise & Resubmit.

Cunado, J., Gabauer, D., & Gupta, R. (2023). Realized volatility spillovers between energy and metal markets: A time-varying connectedness approach. Financial Innovation. Revise & Resubmit.

Bouri, E., Darehshiri, S., Gabauer, D., & Asl, MG. (2023). Good and bad volatility spillovers in the cryptocurrency market: New evidence from a TVP-VAR asymmetric connectedness approach. Financial Innovation. Revise & Resubmit.

Gabauer, D., Gupta, R., Marfatia, H., & Miller, S.M. (2023). Estimating US housing price network connectedness: Evidence from dynamic Elastic Net, Lasso, and Ridge vector autoregressive models. International Review of Economics and Finance. Revise & Resubmit.

Balli, F., Balli, H.O., Dang, T., & Gabauer (2023). Contemporaneous and lagged R2 decomposed connectedness approach: New evidence from the energy futures market. Finance Research Letters.

Mikulasek, B., Diaz, V.F., Gabauer, D., Herwig, C., & Nikuad-Langerodi, R. (2023). Partial least squares regression with multiple domains Journal of Chemometrics.

Gabauer, D., Chatziantoniou, I., Stenfors, A. (2023). Model-free connectedness measures. Finance Research Letters.

Cunado, J., Gabauer, D., Chatziantoniou, I., Gracia, FP., & Marfatia, H. (2023). Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures. Journal of Commodity Markets.

Chatziantoniou, I., Elsayed, A.H., Gabauer, D., & Gozgor, G. (2023). Oil price shocks and exchange rate dynamics: New evidence from decomposed and partial connectedness measures for oil importing and exporting economies. Energy Economics.

Chatziantoniou, I., Gabauer, D., & Gupta, R. (2023). Integration and risk transmission in the market for crude oil: A time-varying parameter frequency connectedness approach. Resources Policy.

2022

Adekoya, O.B., Akinseye, A.B., Antonakakis, N., Chatziantoniou, I., Gabauer, D., & Oliyide, J. (2022). Crude oil and Islamic sectoral stocks: Asymmetric TVP-VAR connectedness and investment strategies. Resources Policy.

Berisha, E., Gabauer, D., Gupta, R., & Nel, J. (2022). Time-varying predictability of financial stress on inequality in the United Kingdom. Journal of Economic Studies.

Chatziantoniou, I., Floros, C., & Gabauer, D. (2022). 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. Applications in Energy Finance.

Dacho, C., Gabauer, D., Brunner, D., & Fischer, L. (2021). 2D nnUNet for classification and segmentation of anatomical structures in fetal torso ultrasound. In Proc. of SPIE Vol.

Tiwari, A.K., Abakah, E.J.A., Gabauer, D., & Dwumfour, R.A. (2022). Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies. Global Finance Journal.

Antonakakis, N., Juncal, C., Filis, G., Gabauer, D., & De Gracia, F. P. (2022). Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic. International Review of Economics and Finance.

Martinez-Gil, J., Buchgeher, G., Gabauer, D., Freudenthaler, D., Filipiak, D. & Fensel, A. (2022). Root Cause Analysis in the Industrial Domain using Knowledge Graphs: A Case Study on Power Transformers. Procedia Computer Science.

Stenfors, A., Chatziantoniou, I., & Gabauer, D. (2022). The Evolution of Monetary Policy Focal Points. Journal of Economic Issues.

Chatziantoniou, I., Abakah, E.J.A., Gabauer, D., & Tiwari, A.K. (2022).Quantile time-frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets. Journal of Cleaner Production.

Chatziantoniou, I., Gabauer, D., & De Gracia, F. P. (2022). Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic. Energy Economics.

Salisu, A.A., Pierdzioch, C., Gupta, R., & Gabauer, D. (2022). Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios. International Review of Financial Analysis.

Stenfors, A., Chatziantoniou, I., & Gabauer, D.(2022). Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves. Journal of International Financial Markets, Institutions & Money.

Broadstock, DC., Chatziantoniou, I., & Gabauer, D. (2022). Minimum connectedness portfolios and the market for green bonds: Advocating socially responsible investment (SRI) activity. Applications in Energy Finance.

Apergis, N., Chatziantoniou, I., & Gabauer, D. (2022). Dynamic connectedness between COVID-19 news sentiment, capital and commodity markets. Applied Economics.

Balcilar, M., Gabauer, D., Gupta, R., & Pierdzioch, C. (2022). Uncertainty and forecastability of regional output growth in the United Kingdom: Evidence from Machine Learning. Journal of Forecasting.

2021

Berisha, E., Gabauer, D., Gupta, R., & Lau, C.K.M. (2020). Time-varying influence of household debt on inequality in the United Kingdom. Empirical Economics.

Gabauer, D., Gupta, R., & Nel, J. (2021). Time-varying predictability of labor productivity on inequality in the United Kingdom. Social Indicators Research. 

Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2021). A regional decomposition of US housing prices and volume: Market dynamics and Portfolio diversification. Annals of Regional Sciences.

Chatziantoniou, I., Filippidis, M., Filis, G., & Gabauer, D. (2021). A closer look into the global determinants of oil price volatility. Energy Economics.

Gabauer, D. (2021). Dynamic measures of asymmetric and pairwise spillovers within an optimal currency area: Evidence from the ERM I system. Journal of Multinational Financial Management.

Buchgeher, G., Gabauer, D., Martinez-Gil, J., & Ehrlinger, L. (2021). Knowledge Graphs in manufacturing and production: A systematic literature review. IEEE Access.

Chatziantoniou, I., Gabauer, D., & Stenfors, A. (2021). Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach. Economics Letters.

Balcilar, M., Gabauer, D., & Umar, Z. (2021). Crude oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. Resources Policy.

Andre, C., Gabauer, D., & Gupta, R. (2021). Time-varying spillovers between housing sentiment and housing market in the United States. Finance Research Letters.

Bouri, E., Gabauer, D., Gupta, R., & Tiwari, A. K. (2021). Volatility connectedness of major cryptocurrencies: The role of investor happiness. Journal of Behavioral and Experimental Finance.

Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2020). The impact of Euro through time: Exchange rate dynamics under different regimes. International Journal of Finance & Economics.

Bouri, E., Cepni, O., Gabauer, D., & Gupta, R. (2020). Return connectedness across asset classes around the COVID-19 outbreak. International Review of Financial Analysis.

Demirer, R., Gabauer, D., Gupta, R., & Ji, Q. (2021). Monetary policy and speculative spillovers in financial markets. Research in International Business & Finance.

Bouri, E., Demirer, R., Gabauer, D., & Gupta, R. (2021). Financial market connectedness: The role of investors’ happiness. Finance Research Letters.

Chatziantoniou, I., Gabauer, D., & Marfatia, H. (2021). Dynamic connectedness and spillovers across sectors: Evidence from the Indian stock market. Scottish Journal of Political Economy.

Chatziantoniou, I., & Gabauer, D. (2021). EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness. Quarterly Review of Economics & Finance Economics.

2020

Antonakakis, N., Chatziantoniou, I., & Gabauer, D. Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management. (Best Paper Award)

Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., & De Gracia, F. P. Oil and asset classes implied volatilities: dynamic connectedness and investment strategies. Energy Economics.

Gabauer, D. Volatility impulse responses for DCC-GARCH: The role of volatility transmission mechanisms. Journal of Forecasting.

Christou, C., Gabauer, D., & Gupta, R. Time-varying impact of uncertainty shocks on macroeconomic variables of the United Kingdom: Evidence from over 150 years of monthly data. Finance Research Letter.

Gabauer, D.,  Gupta, R., & Subramaniam, S. On the transmission mechanism of Asia-Pacific yield curve characteristics. International Journal of Finance and Economics.

Chatziantoniou, I., Gabauer, D., & Stenfors, A. 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.

2019

Antonakakis, N., Gabauer, D., & Gupta, R. International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression. International Review of Financial Analysis.

Antonakakis, N., Gabauer, D., & Gupta, R. Greek economic policy uncertainty: Does it matter for Europe? Evidence from a dynamic connectedness decomposition approach. Physica A: Statistical Mechanics and Its Applications.

Antonakakis, N., Chatziantoniou, I., & Gabauer, D. Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios. Journal of International Financial Markets, Institutions and Money.

Gabauer, D., & Gupta, R. Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach. Structural Change and Economic Dynamics.

2018

Antonakakis, N., Chatziantoniou, I., Floros, C., & Gabauer, D. The dynamic connectedness of UK regional property returns. Urban Studies.

Gabauer, D., & Gupta, R. On the transmission mechanism of country-specific and international economic uncertainty spillovers: A categorical TVP-VAR decomposition approach. Economics Letters.

Antonakakis, N., Gabauer, D., Gupta, R., & Plakandaras, V. Dynamic connectedness of uncertainty across developed economies: A time-varying approach. Economics Letters.

Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., & De Gracia, F. P. Oil volatility, oil and gas firms and portfolio diversification. Energy Economics.