George Kapetanios

King's College, London

Professor

30 Aldwych

London, WC2B 4BG

United Kingdom

SCHOLARLY PAPERS

104

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CITATIONS
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480

Scholarly Papers (104)

Assessing the Economy-Wide Effects of Quantitative Easing

Bank of England Working Paper No. 443
Number of pages: 45 Posted: 27 Jan 2012
King's College, London, University of London - School of Sciences, Bank of England and Cardiff University
Downloads 696 (35,189)
Citation 24

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Bayesian methods, large-scale asset purchases, quantitative easing, vector autoregressions

Assessing the Economy‐Wide Effects of Quantitative Easing

The Economic Journal, Vol. 122, Issue 564, pp. F316-F347, 2012
Number of pages: 32 Posted: 30 Oct 2012
King's College, London, University of London - School of Sciences, Bank of England and Cardiff University
Downloads 1 (680,551)
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2.

Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests

U of London Queen Mary Economics Working Paper No. 490
Number of pages: 31 Posted: 09 Jun 2003
George Kapetanios and Melvyn Weeks
King's College, London and University of Cambridge - Faculty of Economics and Politics
Downloads 491 (56,273)
Citation 2

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3.

Import Prices and Exchange Rate Pass-Through: Theory and Evidence from the United Kingdom

Bank of England Working Paper No. 182
Number of pages: 30 Posted: 03 Sep 2003
Valerie Herzberg, George Kapetanios and Simon Price
Bank of England, King's College, London and Essex Business School
Downloads 394 (73,551)
Citation 10

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Import prices, exchange rates, pass-through, thresholds

4.
Downloads 333 ( 89,324)
Citation 1

Big Data Analytics: A New Perspective

CESifo Working Paper Series No. 5824
Number of pages: 84 Posted: 21 Apr 2016
Alexander Chudik, George Kapetanios and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, King's College, London and University of Southern California - Department of Economics
Downloads 170 (174,863)

Abstract:

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one covariate at a time, multiple testing, model selection, high dimensionality, penalized regressions, boosting, Monte Carlo experiments

Big Data Analytics: A New Perspective

USC-INET Research Paper No. 16-04
Number of pages: 84 Posted: 13 Mar 2016
Alexander Chudik, George Kapetanios and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, King's College, London and University of Southern California - Department of Economics
Downloads 90 (284,323)

Abstract:

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One covariate at at time, multiple testing, model selection, high dimensionality, penalised regressions, boosting, Monte Carlo experiments

Big Data Analytics: A New Perspective

Globalization and Monetary Policy Institute Working Paper No. 268
Number of pages: 83 Posted: 03 Mar 2016
Alexander Chudik, George Kapetanios and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, King's College, London and University of Southern California - Department of Economics
Downloads 73 (323,325)

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5.

A Dynamic Factor Analysis of Financial Contagion in Asia

Queen Mary Economics Working Paper No. 498
Number of pages: 17 Posted: 09 Oct 2003
Andrea Cipollini and George Kapetanios
University of Palermo - d/SEAS and King's College, London
Downloads 321 (93,005)

Abstract:

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Financial contagion, Dynamic factor model

6.

Testing for Cointegration in Nonlinear Star Error Correction Models

U of London Queen Mary Economics Working Paper No. 497
Number of pages: 27 Posted: 31 Aug 2003
George Kapetanios, Yongcheol Shin and Andy Snell
King's College, London, Independent and University of Edinburgh - Economics
Downloads 314 (95,294)
Citation 2

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Unit roots, globally stationary cointegrating processes, nonlinear exponential smooth transition autoregressive error correction models, Monte Carlo simulations, prices and dividends

7.

A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions

U of London Queen Mary Economics Working Paper No. 489
Number of pages: 53 Posted: 12 May 2003
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and European University Institute
Downloads 279 (108,275)
Citation 19

Abstract:

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8.

Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis

Journal of Empirical Finance, Vol. 16, No. 2, 2009
Number of pages: 25 Posted: 23 Aug 2005 Last Revised: 18 May 2009
Andrea Cipollini and George Kapetanios
University of Palermo - d/SEAS and King's College, London
Downloads 244 (124,471)

Abstract:

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Financial contagion, dynamic factor model

9.

Measuring Conditional Persistence in Time Series

U of London Queen Mary Economics Working Paper No. 474
Number of pages: 29 Posted: 03 Feb 2003
George Kapetanios
King's College, London
Downloads 223 (136,066)

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Persistence, Nonparametric Regression, Nonlinear Models, Real Exchange Rates

10.

Big Data Econometrics: Now Casting and Early Estimates

BAFFI CAREFIN Centre Research Paper No. 2018-82
Number of pages: 53 Posted: 02 Jul 2018
European University Institute, Quantf Research, Eurostat, King's College, London and Eurostat, European Commission
Downloads 211 (144,100)

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Big Data, Nowcasting, Early Estimates, Econometric Methods

11.

Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations

U of London Queen Mary Economics Working Paper No. 470
Number of pages: 37 Posted: 15 Jan 2003
George Kapetanios
King's College, London
Downloads 205 (147,396)
Citation 1

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12.

Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns

CESifo Working Paper Series No. 1416
Number of pages: 42 Posted: 18 Feb 2005
M. Hashem Pesaran and George Kapetanios
University of Southern California - Department of Economics and King's College, London
Downloads 195 (154,499)
Citation 1

Abstract:

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cross section dependence, large panels, principal components, common correlated effects, return equations

13.

Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting

FRB of New York Staff Report No. 327
Number of pages: 46 Posted: 22 May 2008 Last Revised: 28 Sep 2009
Jan J. J. Groen and George Kapetanios
Federal Reserve Bank of New York and King's College, London
Downloads 193 (155,983)
Citation 6

Abstract:

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macroeconomic forecasting, factor models, forecast combination, principal components, partial least squares, Bayesian ridge regression

14.

Jumps in Option Prices and Their Determinants: Real-Time Evidence from the E-Mini S&P 500 Option Market

Number of pages: 65 Posted: 17 Dec 2013 Last Revised: 29 Jul 2019
King's College, London, University of Manchester - Manchester Business School, Independent and Queen Mary, University of London, School of Economics and Finance
Downloads 189 (158,981)
Citation 1

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Co-Jumps, Jumps, Informed Traders, Liquidity, Option Markets, Scheduled News Announcements

15.

Unit Root Testing Against the Alternative Hypothesis of Up to M Structural Breaks

U of London Queen Mary Economics Working Paper No. 469
Number of pages: 20 Posted: 15 Jan 2003
George Kapetanios
King's College, London
Downloads 188 (159,753)
Citation 5

Abstract:

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Unit Root, Structural Break

16.

A Note on an Iterative Least Squares Estimation Method for Arma and Varma Models

U of London Queen Mary Economics Working Paper No. 467
Number of pages: 14 Posted: 15 Jan 2003
George Kapetanios
King's College, London
Downloads 185 (162,076)
Citation 1

Abstract:

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ARMA Models

17.

Unconventional Monetary Policies and the Macroeconomy: The Impact of the United Kingdom's QE2 and Funding for Lending Scheme

Bank of England Working Paper No. 542
Number of pages: 33 Posted: 16 Aug 2015
Bank of England - Monetary Analysis, Bank of England - Monetary Analysis, King's College, London and Cardiff University
Downloads 179 (166,956)
Citation 3

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Bayesian methods, large-scale asset purchases, quantitative easing, Funding for Lending Scheme, vector autoregressions, auto-regressive distributed lag

18.

A Nonlinear Approach to Public Finance Sustainability in Latin America

U of London Queen Mary Economics Working Paper No. 486
Number of pages: 20 Posted: 07 Aug 2003
Georgios E. Chortareas, George Kapetanios and Merih Uctum
University of Athens - Faculty of Economics, King's College, London and City University of New York (CUNY) - Brooklyn College & the Graduate Center - Department of Economics
Downloads 179 (166,956)
Citation 2

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19.

Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels

Queen Mary, University of London Economics Working Paper No. 517
Number of pages: 32 Posted: 26 Jul 2004
Georgios E. Chortareas and George Kapetanios
University of Athens - Faculty of Economics and King's College, London
Downloads 161 (183,019)
Citation 4

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PPP, real exchange rates, half-lives, panel unit root tests

20.

Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting

U of London Queen Mary Economics Working Paper No. 466
Number of pages: 25 Posted: 19 Feb 2003
George Kapetanios
King's College, London
Downloads 153 (191,164)
Citation 1

Abstract:

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Factor Models, Subspace Methods, State Space Models

21.

Testing for Neglected Nonlinearity in Long Memory Models

U of London Queen Mary Economics Working Paper No. 473
Number of pages: 21 Posted: 14 Jan 2003
George Kapetanios
King's College, London
Downloads 148 (196,451)

Abstract:

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Long Memory, Nonlinearity, Neural Networks, Real Exchange Rates

22.

A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models

Globalization and Monetary Policy Institute Working Paper No. 290
Number of pages: 84 Posted: 22 Nov 2016
Alexander Chudik, George Kapetanios and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, King's College, London and University of Southern California - Department of Economics
Downloads 138 (207,848)
Citation 2

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23.

Determining the Poolability of Individual Series in Panel Datasets

U of London Queen Mary Economics Working Paper No. 499
Number of pages: 18 Posted: 06 Sep 2003
George Kapetanios
King's College, London
Downloads 138 (207,848)
Citation 4

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Panel datasets, Poolability, Sequential testing

Exponent of Cross-Sectional Dependence: Estimation and Inference

CESifo Working Paper Series No. 3722
Number of pages: 46 Posted: 05 Feb 2012
Natalia Bailey, George Kapetanios and M. Hashem Pesaran
Monash University, King's College, London and University of Southern California - Department of Economics
Downloads 110 (247,985)

Abstract:

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cross correlations, cross-sectional dependence, cross-sectional averages, weak and strong factor models, capital asset pricing model

Exponent of Cross-Sectional Dependence: Estimation and Inference

IZA Discussion Paper No. 6318
Number of pages: 47 Posted: 12 Feb 2012
Natalia Bailey, George Kapetanios and M. Hashem Pesaran
Monash University, King's College, London and University of Southern California - Department of Economics
Downloads 25 (505,211)
Citation 2

Abstract:

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cross correlations, cross-sectional dependence, cross-sectional averages, weak and strong factor models, Capital Asset Pricing Model

25.

Testing for Nonstationary Long Memory Against Nonlinear Ergodic Models

U of London Queen Mary Economics Working Paper No. 500
Number of pages: 39 Posted: 21 Aug 2003
George Kapetanios and Yongcheol Shin
King's College, London and Independent
Downloads 129 (219,356)
Citation 5

Abstract:

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Nonlinearity, Long Memory, ESTAR Models, SETAR Models

26.
Downloads 128 (220,680)
Citation 2

Estimating the Rank of the Spectral Density Matrix

ECB Working Paper No. 349
Number of pages: 30 Posted: 10 Sep 2004
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 105 (256,429)

Abstract:

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tests of rank, spectral density matrix

Estimating the Rank of the Spectral Density Matrix

Journal of Time Series Analysis, Vol. 26, No. 1, pp. 37-48, January 2005
Number of pages: 12 Posted: 06 Jan 2005
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 23 (517,493)
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Tests of rank, spectral density matrix

27.

The Yen Real Exchange Rate May Be Stationary After All: Evidence from Nonlinear Unit-Root Tests

Bank of England Working Paper No. 311, U of London Queen Mary Economics Working Paper No. 484
Number of pages: 23 Posted: 03 Apr 2003
Georgios E. Chortareas and George Kapetanios
University of Athens - Faculty of Economics and King's College, London
Downloads 127 (221,946)
Citation 2

Abstract:

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PPP, yen, real exchange rates, nonlinear models, ESTAR models

28.
Downloads 123 (227,393)
Citation 17

Unit Root Tests in Three-Regime Setar Models

U of London Queen Mary Economics Working Paper No. 465
Number of pages: 37 Posted: 30 Jan 2003
George Kapetanios and Yongcheol Shin
King's College, London and Independent
Downloads 100 (265,240)
Citation 6

Abstract:

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Self-exciting Threshold Autoregressive Models, Unit Roots, Globally Stationary Processes, Threshold Cointegration, Wald Tests, Monte Carlo Simulations, Real Exchange Rates

Unit Root Tests in Three-Regime Setar Models

Econometrics Journal, Vol. 9, No. 2, pp. 252-278, July 2006
Number of pages: 27 Posted: 03 Jul 2006
George Kapetanios and Yongcheol Shin
King's College, London and Independent
Downloads 23 (517,493)
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29.

Panels with Nonstationary Multifactor Error Structures

IZA Discussion Paper No. 2243, CESifo Working Paper Series No. 1788, IEPR Working Paper No. 06.62
Number of pages: 34 Posted: 17 Aug 2006
George Kapetanios, M. Hashem Pesaran and Takashi Yamagata
King's College, London, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 122 (228,840)

Abstract:

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cross section dependence, large panels, unit roots, principal components

30.

Forecasting Using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation

Bank of England Working Paper No. 268
Number of pages: 45 Posted: 19 Oct 2005
George Kapetanios, Vincent Labhard and Simon Price
King's College, London, European Central Bank (ECB) - Directorate General Economics and Essex Business School
Downloads 122 (228,840)
Citation 2

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Forecasting, inflation, Bayesian model averaging, Akaike criteria, forecast combining

31.

Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset

University of London, Economics Working Paper No. 471
Number of pages: 21 Posted: 17 May 2003
George Kapetanios
King's College, London
Downloads 118 (234,635)

Abstract:

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32.

Nonlinear Autoregressive Models and Long Memory

Queen Mary, University of London Economics Working Paper No. 516
Number of pages: 15 Posted: 26 Jul 2004
George Kapetanios
King's College, London
Downloads 116 (237,572)

Abstract:

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Long memory, nonlinearity

33.

Forecast Combination and the Bank of England's Suite of Statistical Forecasting Models

Bank of England Working Paper No. 323
Number of pages: 49 Posted: 22 Aug 2007
George Kapetanios, Vincent Labhard and Simon Price
King's College, London, European Central Bank (ECB) - Directorate General Economics and Essex Business School
Downloads 115 (239,029)
Citation 5

Abstract:

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Forecasting, forecast combining

34.

Testing for Arch in the Presence of Nonlinearity of Unknown Form in the Conditional Mean

U of London Queen Mary Economics Working Paper No. 496
Number of pages: 21 Posted: 31 Aug 2003
Andrew P. Blake and George Kapetanios
Bank of England - CCBS and King's College, London
Downloads 115 (239,029)
Citation 1

Abstract:

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Nonlinearity, ARCH, Neural Networks

35.

GLS Detrending for Nonlinear Unit Root Tests

U of London Queen Mary Economics Working Paper No. 472
Number of pages: 28 Posted: 15 Jan 2003
George Kapetanios and Yongcheol Shin
King's College, London and Independent
Downloads 111 (245,115)

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36.

Forecasting Euro Area Inflation Using Dynamic Factor Measures of Underlying Inflation

ECB Working Paper No. 402
Number of pages: 34 Posted: 13 Dec 2004
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 110 (246,695)

Abstract:

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Core Inflation, Dynamic Factor Models, Forecasting

37.

A New Nonparametric Test of Cointegration Rank

U of London Queen Mary Economics Working Paper No. 482
Number of pages: 17 Posted: 15 Feb 2003
George Kapetanios
King's College, London
Downloads 106 (253,231)

Abstract:

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Cointegration rank, Nonparametric Analysis

Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation

IGIER Working Paper No. 306
Number of pages: 38 Posted: 31 Mar 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and European University Institute
Downloads 88 (288,477)

Abstract:

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Factor models, Principal components, Subspace algorithms, Structural

Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation

CEPR Discussion Paper No. 5621
Number of pages: 39 Posted: 05 Jul 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and European University Institute
Downloads 14 (575,896)
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Factor models, principal components, subspace algorithms, structural identification, structural VAR

39.

An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests

U of London Queen Mary Economics Working Paper No. 485
Number of pages: 14 Posted: 29 Mar 2003
Georgios E. Chortareas, George Kapetanios and Merih Uctum
University of Athens - Faculty of Economics, King's College, London and City University of New York (CUNY) - Brooklyn College & the Graduate Center - Department of Economics
Downloads 102 (260,069)
Citation 1

Abstract:

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40.

Statistical Tests and Estimators of the Rank of a Matrix and their Applications in Econometric Modelling

ECB Working Paper No. 850
Number of pages: 41 Posted: 27 Jan 2008
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 96 (270,603)

Abstract:

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multiple time series, model specification, tests of rank

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

IGIER Working Paper No. 305
Number of pages: 34 Posted: 31 Mar 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and European University Institute
Downloads 74 (320,771)
Citation 9

Abstract:

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Factor models, Principal components, Subspace algorithms

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

CEPR Discussion Paper No. 5620
Number of pages: 35 Posted: 05 Jul 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and European University Institute
Downloads 21 (530,394)
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factor models, principal components, subspace algorithms

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

Journal of Time Series Analysis, Vol. 30, Issue 2, pp. 208-238, March 2009
Number of pages: 31 Posted: 27 Apr 2009
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and European University Institute
Downloads 1 (680,551)
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42.

Using Extraneous Information and GMM to Estimate Threshold Parameters in Tar Models

U of London Queen Mary Economics Working Paper No. 494
Number of pages: 40 Posted: 31 Aug 2003
George Kapetanios
King's College, London
Downloads 94 (274,390)
Citation 1

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An Automatic Leading Indicator, Variable Reduction and Variable Selection Methods Using Small and Large Datasets: Forecasting the Industrial Production Growth for Euro Area Economies

quantf research Working Paper Series: WP09/2014
Number of pages: 23 Posted: 02 Jun 2014
European Central Bank (ECB), King's College, London, Quantf Research and National Institute of Economic and Social Research (NIESR)
Downloads 46 (407,216)

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Bayesian Shrinkage Regression, Dynamic Factor Model, Euro Area, Forecasting, Kalman Filter, Partial Least Squares

An Automatic Leading Indicator, Variable Reduction and Variable Selection Methods Using Small and Large Datasets: Forecasting the Industrial Production Growth for Euro Area Economies

ECB Working Paper No. 1773
Number of pages: 33 Posted: 02 Apr 2015
European Central Bank (ECB), King's College, London, Quantf Research and National Institute of Economic and Social Research (NIESR)
Downloads 39 (435,071)

Abstract:

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Bayesian shrinkage regression, dynamic factor model, euro area, forecasting, Kalman filter, partial least squares

44.

Testing for Exogeneity in Nonlinear Threshold Models

Queen Mary, University of London Economics Working Paper No. 515
Number of pages: 23 Posted: 26 Jul 2004
George Kapetanios
King's College, London
Downloads 85 (292,435)

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Threshold models, endogeneity, bootstrap

45.
Downloads 84 (296,680)
Citation 8

Generalised Density Forecast Combinations

Bank of England Working Paper No. 492
Number of pages: 41 Posted: 05 Apr 2014
Nicholas Fawcett, George Kapetanios, James Mitchell and Simon Price
Bank of England, King's College, London, Warwick Business School and Essex Business School
Downloads 52 (385,685)
Citation 8

Abstract:

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Density Forecasting, Model Combination, Scoring Rules

Generalised Density Forecast Combinations

CAMA Working Paper No. 24/2014
Number of pages: 39 Posted: 06 Mar 2014 Last Revised: 07 Mar 2014
Nicholas Fawcett, George Kapetanios, James Mitchell and Simon Price
Bank of England, King's College, London, Warwick Business School and Essex Business School
Downloads 32 (471,792)
Citation 5

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Density Forecasting, Model Combination, Scoring Rules

46.

Testing the Rank of the Hankel Matrix: A Statistical Approach

ECB Working Paper No. 45
Number of pages: 25 Posted: 26 Feb 2003
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 83 (296,680)

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Tests of Rank, Model Reduction, Hankel Operator, Monte Carlo

47.

Shifts in Volatility Driven by Large Stock Market Shocks

Number of pages: 43 Posted: 08 Apr 2012
Yiannis Dendramis, George Kapetanios and Elias Tzavalis
University of Cyprus - Department of Accounting and Finance, King's College, London and Athens University of Economics and Business - Department of Economics
Downloads 81 (301,097)

Abstract:

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Stochastic volatility, structural breaks

48.

Forecasting with Measurement Errors in Dynamic Models

Bank of England Working Paper No. 237
Number of pages: 27 Posted: 21 Feb 2005
Richard Harrison, George Kapetanios and Anthony Yates
Bank of England - Monetary Analysis, King's College, London and Bank of England - Monetary Analysis
Downloads 81 (301,097)
Citation 3

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49.

Cross-Validation Based Covariance Shrinkage in Portfolio Selection

quantf research Working Paper Series: WP03/2014
Number of pages: 33 Posted: 02 Jun 2014
Fotis Papailias and George Kapetanios
Quantf Research and King's College, London
Downloads 79 (305,598)

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Covariance Matrix, Shrinkage Methods, Portfolio Optimisation

50.

Rational Expectations and Fixed-Event Forecasts: An Application to UK Inflation

Bank of England Working Paper No. 176
Number of pages: 29 Posted: 12 Aug 2003
Hasan Bakhshi, George Kapetanios and Anthony Yates
Bank of England - Monetary Analysis, King's College, London and Bank of England - Monetary Analysis
Downloads 79 (305,598)
Citation 1

Abstract:

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Fixed-event forecasts, rational expectations, forecast efficiency

51.

Spectral Based Methods to Identify Common Trends and Common Cycles

ECB Working Paper No.62
Number of pages: 19 Posted: 20 Feb 2003
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 78 (307,887)

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Tests of Rank, Spectral Density Matrix, Canonical Correlations

52.

Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets

Number of pages: 40 Posted: 23 Dec 2015 Last Revised: 30 May 2017
Gustavo Fruet Dias and George Kapetanios
University of East Anglia (UEA) - School of Economics and King's College, London
Downloads 73 (319,874)

Abstract:

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VARMA, weak VARMA, weak ARMA, Forecasting, Large datasets, Iterative ordinary least squares (IOLS) estimator, Asymptotic contraction mapping

53.

Determining the Stationarity Properties of Individual Series in Panel Datasets

U of London Queen Mary Economics Working Paper No. 495
Number of pages: 28 Posted: 31 Aug 2003
George Kapetanios
King's College, London
Downloads 69 (329,946)
Citation 4

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54.

A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models

U of London Queen Mary Economics Working Paper No. 475
Number of pages: 11 Posted: 03 Feb 2003
George Kapetanios
King's College, London
Downloads 69 (329,946)

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Stationarity, Random Coefficient Models

55.

A State Space Approach to Extracting the Signal from Uncertain Data

Bank of England Working Paper No. 336
Number of pages: 45 Posted: 03 Jan 2008
Bank of England, Bank of England - Monetary Analysis, Bank of England, King's College, London and European Central Bank (ECB) - Directorate General Economics
Downloads 68 (332,589)
Citation 4

Abstract:

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56.

Forecasting in the Presence of Recent Structural Change

Bank of England Working Paper No. 406
Number of pages: 49 Posted: 05 Dec 2010
Jana Eklund, George Kapetanios and Simon Price
Bank of England - Monetary Analysis, King's College, London and Essex Business School
Downloads 64 (343,318)
Citation 7

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monitoring, recent structural change, forecast combination, robust forecasts

57.

The Investigation of Heterogeneous Productions Technologies: Implications for the Banking Efficiency

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 37 Posted: 25 Aug 2011
Konstantinos Baltas and George Kapetanios
University of London - Queen Mary College - School of Economics and Finance and King's College, London
Downloads 63 (346,088)

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Bank efficiency, stochastic cost frontier, latent class, panel data

58.

Bootstrap Statistical Tests of Rank Determination for System Identification

U of London Queen Mary Economics Working Paper No. 468
Number of pages: 23 Posted: 26 Feb 2003
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 62 (348,875)

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Rank, Bootstrap, Monte Carlo, System Identification, Hankel Operator

59.

Structural Breaks in Stock Returns Driven by Large Shocks

Number of pages: 23 Posted: 28 Sep 2013 Last Revised: 30 Sep 2013
Yiannis Dendramis, George Kapetanios and Elias Tzavalis
University of Cyprus - Department of Accounting and Finance, King's College, London and Athens University of Economics and Business - Department of Economics
Downloads 59 (357,515)

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expected returns, structural breaks, large shocks, state space model, regime-shifts, threshold models

Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change

Bank of England Working Paper No. 490
Number of pages: 38 Posted: 05 Apr 2014
Liudas Giraitis, George Kapetanios and Simon Price
Queen Mary, King's College, London and Essex Business School
Downloads 33 (461,836)
Citation 1

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Recent and ongoing structural change, forecast combination, robust forecasts

61.

Estimating Time-Variation in Measurement Error from Data Revisions; an Application to Forecasting in Dynamic Models

Bank of England Working Paper No. 238
Number of pages: 35 Posted: 21 Feb 2005
George Kapetanios and Anthony Yates
King's College, London and Bank of England - Monetary Analysis
Downloads 57 (363,616)
Citation 2

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Data uncertainty, measurement error, revisions, real-time data, forecasting

Detection of Units with Pervasive Effects in Large Panel Data Models

USC-INET Research Paper No. 19-09
Number of pages: 94 Posted: 04 Dec 2018 Last Revised: 26 Apr 2019
George Kapetanios, M. Hashem Pesaran and Simon Reese
King's College, London, University of Southern California - Department of Economics and USC Dornsife Institute for New Economic Thinking
Downloads 34 (457,183)

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Pervasive Units, Factor Models, Systemic Risk, Cross-Sectional Dependence

A Residual-Based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models

CESifo Working Paper No. 7401
Number of pages: 90 Posted: 21 Feb 2019
George Kapetanios, M. Hashem Pesaran and Simon Reese
King's College, London, University of Southern California - Department of Economics and USC Dornsife Institute for New Economic Thinking
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dominant units, factor models, systemic risk, cross-sectional dependence, networks

63.

Variable Reduction and Variable Selection Methods Using Small, Medium and Large Datasets: A Forecast Comparison for the PEEIs

quantf research Working Paper Series: WP08/2014
Number of pages: 36 Posted: 02 Jun 2014
King's College, London, European University Institute and Quantf Research
Downloads 55 (369,887)
Citation 2

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Bayesian Shrinkage Regression, Cross-Sectional Dependence, Cross-Sectional Averages, Euro Area, Forecasting, Genetic Algorithms, Heuristic Optimisation, MC^3, PEEIs, Sequential Testing, Simulated Annealing, Partial Least Squares, Principal Components

Model Selection Criteria for Factor-Augmented Regressions

FRB of New York Staff Report No. 363
Number of pages: 29 Posted: 24 Feb 2009 Last Revised: 30 May 2012
Jan J. J. Groen and George Kapetanios
Federal Reserve Bank of New York and King's College, London
Downloads 54 (378,977)

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factor models, information criteria, macroeconomic forecasting

Model Selection Criteria for Factor‐Augmented Regressions

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 1, pp. 37-63, 2013
Number of pages: 27 Posted: 23 Dec 2012
Jan J. J. Groen and George Kapetanios
Federal Reserve Bank of New York and King's College, London
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65.

A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems

U of London Queen Mary Economics Working Paper No. 483
Number of pages: 13 Posted: 15 Feb 2003
George Kapetanios
King's College, London
Downloads 55 (369,887)
Citation 1

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Common cycles and trends, Tests of rank, Cointegration

66.

Variable Selection for Large Unbalanced Datasets Using Non-Standard Optimisation of Information Criteria and Variable Reduction Methods

quantf research Working Paper Series: WP04/2014
Number of pages: 21 Posted: 02 Jun 2014
King's College, London, European University Institute and Quantf Research
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Heuristic optimisation, Information criteria, Unbalanced datasets, Model Reduction, Forecasting, PEEI

Large Time-Varying Parameter Vars: A Non-Parametric Approach

Bank of Italy Temi di Discussione (Working Paper) No. 1122
Number of pages: 63 Posted: 28 Aug 2017
King's College, London, European University Institute and Bank of Italy
Downloads 50 (392,620)
Citation 20

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large VARs, time-varying parameters, non-parametric estimation, forecasting

Large Time-Varying Parameter VARs: A Non-Parametric Approach

CEPR Discussion Paper No. DP11560
Number of pages: 57 Posted: 10 Oct 2016
King's College, London, European University Institute and Bank of Italy
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68.

Estimating Time-Varying DSGE Models Using Minimum Distance Methods

Bank of England Working Paper No. 507
Number of pages: 39 Posted: 28 Aug 2014
Queen Mary, King's College, London, Cardiff University and University of Bristol
Downloads 50 (386,051)
Citation 5

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DSGE, structural change, kernel estimation, time-varying VAR, monetary policy shocks

69.

Are More Data Always Better for Factor Analysis' Results for the Euro Area, the Six Largest Euro Area Countries and the UK

ECB Working Paper No. 1051
Number of pages: 39 Posted: 13 May 2009
Giovanni Caggiano, George Kapetanios and Vincent Labhard
Department of Economics, Monash University, King's College, London and European Central Bank (ECB) - Directorate General Economics
Downloads 49 (389,406)
Citation 1

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Factors, Large Datasets, Forecast Combinations

Exponent of Cross-Sectional Dependence for Residuals

USC-INET Research Paper No. 19-01
Number of pages: 58 Posted: 11 Oct 2018
Natalia Bailey, George Kapetanios and M. Hashem Pesaran
Monash University, King's College, London and University of Southern California - Department of Economics
Downloads 27 (493,310)

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Pair-Wise Correlations, Cross-Sectional Dependence, Cross-Sectional Averages, Weak and Strong Factor Models. CAPM and Fama-French Factors.

71.

Inference for Impulse Response Coefficients from Multivariate Fractionally Integrated Processes

quantf research Working Paper Series: WP13/2014
Number of pages: 41 Posted: 02 Jun 2014
Richard Baillie, George Kapetanios and Fotis Papailias
Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management, King's College, London and Quantf Research
Downloads 45 (403,388)

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ARFIMA Models, Impulse Response, Long Memory

72.

Common Correlated Effect Cross-Sectional Dependence Corrections for Non-Linear Conditional Mean Panel Models

Bank of England Working Paper No. 683
Number of pages: 46 Posted: 17 Oct 2017
Sinem Hacioglu Hoke and George Kapetanios
Bank of England and King's College, London
Downloads 33 (455,282)

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non-linear panel data model, cross-sectional dependence, common correlated effects estimator

73.

Parsimonious Estimation with Many Instruments

FRB of New York Staff Report No. 386
Number of pages: 19 Posted: 03 Sep 2009
Jan J. J. Groen and George Kapetanios
Federal Reserve Bank of New York and King's College, London
Downloads 33 (450,807)
Citation 4

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instrumental variable estimation, many instruments, factor models

A UK Financial Conditions Index Using Targeted Data Reduction: Forecasting and Structural Identification

Bank of England Working Paper No. 699
Number of pages: 32 Posted: 12 Dec 2017
George Kapetanios, Simon Price and Garry Young
King's College, London, Essex Business School and National Institute of Economic and Social Research
Downloads 18 (549,697)
Citation 1

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Forecasting, financial conditions index, targeted data reduction, multivariate partial least squares, credit shocks

A UK Financial Conditions Index Using Targeted Data Reduction: Forecasting and Structural Identification

CAMA Working Paper No. 58/2017
Number of pages: 32 Posted: 13 Sep 2017
George Kapetanios, Simon Price and Garry Young
King's College, London, Essex Business School and National Institute of Economic and Social Research
Downloads 14 (575,896)

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Forecasting, Financial conditions index, Targeted data reduction, Multivariate partial least squares, Credit shocks

75.

Measuring Conditional Persistence in Nonlinear Time Series

Oxford Bulletin of Economics and Statistics, Vol. 69, No. 3, pp. 363-386, June 2007
Number of pages: 24 Posted: 24 May 2007
George Kapetanios
King's College, London
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76.

Evolving UK and US Macroeconomic Dynamics Through the Lens of a Model of Deterministic Structural Change

Bank of England Working Paper No. 434
Number of pages: 63 Posted: 28 Jul 2011
George Kapetanios and Anthony Yates
King's College, London and Bank of England - Monetary Analysis
Downloads 28 (474,486)

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77.

Forecasting EU Economic Activity Using Summary Indicators

quantf research Working Paper Series: WP07/2014
Number of pages: 51 Posted: 02 Jun 2014
King's College, London, European University Institute and Quantf Research
Downloads 27 (479,620)

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Bayesian Shrinkage Regression, EU, Forecasting, Partial Least Squares, Summary Indicators

78.

Testing for Neglected Nonlinearity in Cointegrating Relationships

Journal of Time Series Analysis, Vol. 28, Issue 6, pp. 807-826, November 2007
Number of pages: 20 Posted: 17 Oct 2007
Andrew P. Blake and George Kapetanios
Bank of England - CCBS and King's College, London
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79.

Forecasting EU Economic Activity Using Financial Condition Indexes

quantf research Working Paper Series: WP06/2014
Number of pages: 13 Posted: 02 Jun 2014
King's College, London, European University Institute and Quantf Research
Downloads 24 (495,962)

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Financial Conditions, Forecasting

80.

Estimation of Time-Varying Covariance Matrices for Large Datasets

Number of pages: 41 Posted: 01 Aug 2018
Yiannis Dendramis, Liudas Giraitis and George Kapetanios
University of Cyprus - Department of Accounting and Finance, Queen Mary and King's College, London
Downloads 22 (507,253)
Citation 2

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covariance matrix estimation, large dataset, regularization, thresholding, shrinkage, exponential inequalities, minimum variance portfolio

81.

A Similarity-Based Approach for Macroeconomic Forecasting

Number of pages: 36 Posted: 17 Feb 2019
University of Cyprus - Department of Accounting and Finance, King's College, London and European University Institute
Downloads 19 (524,746)

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Macroeconomic Forecasting, Forecast Comparison, Empirical Similarity, Parameter Time Variation, Kernel Estimation

82.

Unit-Root Testing Against the Alternative Hypothesis of Up to Structural Breaks

Journal of Time Series Analysis, Vol. 26, No. 1, pp. 123-133, January 2005
Number of pages: 11 Posted: 06 Jan 2005
George Kapetanios
King's College, London
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Unit root, structural break

83.

Business Cycles Dating for EU Economies: An Empirical Search for the Optimal Settings

quantf research Working Paper Series: WP05/2014
Number of pages: 34 Posted: 02 Jun 2014
King's College, London, European University Institute and Quantf Research
Downloads 17 (536,368)

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Business Cycles, Recession

84.

The Yen Real Exchange Rate May Be Stationary after All: Evidence from Non-Linear Unit-Root Tests

Oxford Bulletin of Economics & Statistics, Vol. 66, pp. 113-131, February 2004
Number of pages: 19 Posted: 02 Apr 2004
Georgios E. Chortareas and George Kapetanios
University of Athens - Faculty of Economics and King's College, London
Downloads 16 (542,110)
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85.

A Regularization Approach for Estimation and Variable Selection in High Dimensional Regression

Number of pages: 49 Posted: 19 Feb 2019
Yiannis Dendramis, Liudas Giraitis and George Kapetanios
University of Cyprus - Department of Accounting and Finance, Queen Mary and King's College, London
Downloads 14 (554,081)

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large dimensional regression, sparse matrix, thresholding, shrinkage, model selection

86.

Supplement To 'Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets'

Number of pages: 64 Posted: 29 Aug 2016 Last Revised: 30 May 2017
Gustavo Fruet Dias and George Kapetanios
University of East Anglia (UEA) - School of Economics and King's College, London
Downloads 13 (559,995)

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VARMA, Weak VARMA, Weak ARMA, Forecasting, Rich and Large Datasets, Iterative Ordinary Least Squares (IOLS) Estimator, Asymptotic Contraction Mapping

87.

A New Approach for Detecting Shifts in Forecast Accuracy

Bank of England Working Paper No. 721
Number of pages: 28 Posted: 18 Apr 2018
Bank of England, Bank of England, King's College, London and Cardiff University
Downloads 12 (566,276)

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Forecast breaks, statistical decision making, central banking

Time Varying Cointegration and the UK Great Ratios

CAMA Working Paper No. 53/2018
Number of pages: 37 Posted: 23 Oct 2018
George Kapetanios, Stephen Millard, Katerina Petrova and Simon Price
King's College, London, Bank of England, University of St Andrews and Essex Business School
Downloads 6 (631,129)

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Time variation, great ratios, cointegration

Time-varying Cointegration and the UK Great Ratios

Bank of England Working Paper No. 789
Number of pages: 40 Posted: 19 Apr 2019
George Kapetanios, Stephen Millard, Katerina Petrova and Simon Price
King's College, London, Bank of England, University of St Andrews and Essex Business School
Downloads 5 (638,453)

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Time variation, great ratios, cointegration

89.

Forecasting Exchange Rates with a Large Bayesian VAR

CEPR Discussion Paper No. DP7008
Number of pages: 33 Posted: 18 Dec 2008
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, King's College, London and European University Institute
Downloads 5 (610,965)
Citation 3
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Bayesian VAR, Exchange Rates, Forecasting

90.

Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels

SERIES Working papers N. 02/2019
Number of pages: 44 Posted: 18 Jun 2019
George Kapetanios, Laura Serlenga and Yongcheol Shin
King's College, London, University of Bari - Dipartimento di Economia e Finanza and Independent
Downloads 3 (625,847)

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Panel Data Models, Cross-sectional Error Dependence, Unobserved Heterogeneous Factors, Factor Correlated Loadings

91.

Forecasting Government Bond Yields with Large Bayesian Vars

CEPR Discussion Paper No. DP7796
Number of pages: 54 Posted: 19 May 2010
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, King's College, London and European University Institute
Downloads 3 (625,847)
Citation 1
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Bayesian methods, Forecasting, Term Structure

92.

Factor-GMM Estimation with Large Sets of Possibly Weak Instruments

CEPR Discussion Paper No. DP7726
Number of pages: 39 Posted: 17 Mar 2010
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and European University Institute
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DSGE models, Factor models, GMM, Instrumental variables, Principal components, weak instruments

93.

Nonlinear Alternatives to Unit Root Tests and Public Finances Sustainability: Some Evidence from Latin American and Caribbean Countries

Oxford Bulletin of Economics and Statistics, Vol. 70, Issue 5, pp. 645-663, October 2008
Number of pages: 19 Posted: 16 Sep 2008
Georgios E. Chortareas, George Kapetanios and Merih Uctum
University of Athens - Faculty of Economics, King's College, London and City University of New York (CUNY) - Brooklyn College & the Graduate Center - Department of Economics
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94.

A Bootstrap Procedure for Panel Data Sets with Many Cross-Sectional Units

Econometrics Journal, Vol. 11, Issue 2, pp. 377-395, July 2008
Number of pages: 19 Posted: 14 Jul 2008
George Kapetanios
King's College, London
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95.

Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure

SERIES Working papers N. 03/2019
Number of pages: 56 Posted: 18 Jun 2019
George Kapetanios, Laura Serlenga and Yongcheol Shin
King's College, London, University of Bari - Dipartimento di Economia e Finanza and Independent
Downloads 1 (648,295)

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Multi-dimensional Panel Data Models, Cross-sectional Error Dependence, Unobserved Heterogeneous Global and Local Factors, Multilateral Resistance, The Gravity Model of Bilateral Export Flows

96.

Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models

Journal of Time Series Analysis, Vol. 39, Issue 2, pp. 129-149, 2018
Number of pages: 21 Posted: 14 Feb 2018
Liudas Giraitis, George Kapetanios and Tony Yates
Queen Mary, King's College, London and University of Bristol
Downloads 1 (648,295)
Citation 4
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Time varying estimation, random coefficient models

97.

Elusive Persistence: Wage and Price Rigidities, the New Keynesian Phillips Curve and Inflation Dynamics

Journal of Economic Surveys, Vol. 25, Issue 4, pp. 737-768, 2011
Number of pages: 32 Posted: 24 Jul 2011
Christopher Tsoukis, George Kapetanios and Joseph Pearlman
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), King's College, London and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
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Inflation equations, Persistence, Price stickiness

98.

Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models

CEPR Discussion Paper No. DP7446
Number of pages: 36 Posted: 07 Oct 2009
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, King's College, London and European University Institute
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Citation 2
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Bayesian VARs, factor models, forecasting, reduced rank

99.

Structural Analysis with Multivariate Autoregressive Index Models

CEPR Discussion Paper No. DP10801
Number of pages: 53 Posted: 08 Sep 2015
Queen Mary, University of London, King's College, London and European University Institute
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Bayesian VARs, factor models, forecasting, large datasets, Multivariate Autoregressive Index models, Reduced Rank Regressions, structural analysis

100.

Factor Based Identification-Robust Inference in IV Regressions

CEPR Discussion Paper No. DP10390
Number of pages: 50 Posted: 02 Feb 2015
King's College, London, Carleton University and European University Institute
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factor model, identification-robust inference, IV regression, new Keynesian model, principle components, weak instruments

101.

Estimation and Inference for Impulse Response Functions from Univariate Strongly Persistent Processes

The Econometrics Journal, Vol. 16, Issue 3, pp. 373-399, 2013
Number of pages: 27 Posted: 23 Nov 2013
Richard Baillie and George Kapetanios
Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management and King's College, London
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Autoregressive approximation, Confidence intervals, Impulse response function, Persistence

102.

Multivariate Methods for Monitoring Structural Change

Posted: 11 Jun 2009
Jan J. J. Groen, George Kapetanios and Simon Price
Federal Reserve Bank of New York, King's College, London and Essex Business School

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monitoring, structural change, panel, CUSUM, fluctuation test

103.

A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data

Economics Letters, Vol. 100, pp. 130–134, 2008
Posted: 16 May 2009
George Kapetanios and Andrea Cipollini
King's College, London and University of Palermo - d/SEAS

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Stochastic volatility, Factor models, Principal components

104.

An Automatic Leading Indicator of Economic Activity: Forecasting GDP Growth for European Countries

Econometrics Journal, Vol. 4, pp. S56-S90, 2001
Posted: 27 Sep 2001
European Central Bank (ECB), King's College, London, University of Warwick - Department of Economics and National Institute of Economic and Social Research (NIESR)

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Dynamic factor model, Forecasting, Kalman filter, AR, VAR and BVAR models