Photo of Nikolaos Sakkas

Nikolaos Sakkas

Dr

  • 3 EAST 4.32

20102018
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Personal profile

Research interests

Nikolaos received a BSc in Economics from the Athens University of Economics and Business, and an MSc and PhD from the University of Nottingham. Prior to joining Bath, he worked as a researcher in the University of Manchester. He is a Fellow in the Higher Education Academy.

His research on time series econometrics focuses on aspects of structural change in dynamic models and on unit root testing. He also works on applied finance, particularly on returns predictability, asset pricing, market anomalies.

Areas of supervision for PhD students:

  • Time Series Econometrics
  • Applied Macroeconomics
  • Applied Finance

 PhD students supervised at Bath

  • Elvis Moleka (PhD Economics 2015), “Inflation dynamics and its effects on monetary policy rules”.
  • Zehong Wang (PhD Economics 2018), “Essays on efficiency, hedging effectiveness, and volatility dynamics in cryptocurrency markets”.

Fingerprint Fingerprint is based on mining the text of the person's scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

quantiles Physics & Astronomy
Structural breaks Business & Economics
inference Physics & Astronomy
econometrics Social Sciences
time series Social Sciences
Information criterion Business & Economics
Inference Business & Economics
statistics Social Sciences

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Research Output 2010 2018

Essays on efficiency, hedging effectiveness, and volatility dynamics in cryptocurrency markets

Wang, Z., 2018, 228 p.

Research output: ThesisDoctoral Thesis

Hedging
Hedging effectiveness
Short-run
Financial assets
Spillover effects

The asymptotic behaviour of the residual sum of squares in models with multiple break points

Hall, A. R., Osborn, D. R. & Sakkas, N., 2017, In : Econometric Reviews. 36, 6-9, p. 667-698 32 p.

Research output: Contribution to journalArticle

Open Access
Multiple breaks
Asymptotic behavior
Least squares
Statistics
Testing
1 Citations

Structural break inference using information criteria in models estimated by two stage least squares

Hall, A. R., Osborn, D. R. & Sakkas, N., 1 Sep 2015, In : Journal of Time Series Analysis. 36, 5, p. 741-762 22 p.

Research output: Contribution to journalArticle

Open Access
Two-stage Least Squares
Structural Breaks
Information Criterion
Consistent Estimator
Coefficient

Approximate p-values of certain tests involving hypotheses about multiple breaks

Hall, A. & Sakkas, N., Mar 2013, In : Journal of Econometric Methods. 2, 1, p. 53-67

Research output: Contribution to journalArticle

Open Access
File
quantiles
inference
approximation
8 Citations

Inference on structural breaks using information criteria

Hall, A. R., Osborn, D. R. & Sakkas, N., 2013, In : The Manchester School. 81, S3, p. 54-81

Research output: Contribution to journalArticle

Open Access
File
Inference
Information criterion
Structural breaks
Penalty function
Data generating process

Thesis

Essays on efficiency, hedging effectiveness, and volatility dynamics in cryptocurrency markets

Author: Wang, Z., 1 May 2018

Supervisor: Sakkas, N. (Supervisor) & Ioannidis, C. (External person) (Supervisor)

Student thesis: Doctoral ThesisPhD