Photo of Nikolaos Sakkas

Nikolaos Sakkas

Dr

  • 3 EAST 4.32

20102017

Research output per year

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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”.

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Research Output

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
  • 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
  • 2 Citations (Scopus)

    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
  • 125 Downloads (Pure)

    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
  • 10 Citations (Scopus)
    123 Downloads (Pure)

    Local asymptotic power of the Im-Pesaran-Shin panel unit root test and the impact of initial observations

    Harris, D., Harvey, D. I., Leybourne, S. & Sakkas, N., Feb 2010, In : Econometric Theory. 26, 1, p. 311-324 13 p.

    Research output: Contribution to journalArticle

    Open Access
    File
  • 15 Citations (Scopus)
    125 Downloads (Pure)

    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

    File

    Inflation Dynamics And Its Effects On Monetary Policy Rules

    Author: Moleka, E. M., 18 Nov 2015

    Supervisor: Sakkas, N. (Supervisor), Morley, B. (Supervisor) & Ahmad, A. (Supervisor)

    Student thesis: Doctoral ThesisPhD

    File