George Kapetanios : Citation Profile

Are you George Kapetanios?

King's College London (80% share)
Bank of England (20% share)

34

H index

100

i10 index

5478

Citations

RESEARCH PRODUCTION:

133

Articles

305

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 228
   Journals where George Kapetanios has often published
   Relations with other researchers
   Recent citing documents: 206.    Total self citations: 242 (4.23 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pka15
   Updated: 2024-01-16    RAS profile: 2023-08-05    
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Relations with other researchers

Works with:

Pesaran, Mohammad (6)

Price, Simon (6)

Marcellino, Massimiliano (6)

Bailey, Natalia (5)

Chronopoulos, Ilias (5)

Diebold, Francis (5)

Petrova, Katerina (4)

shin, yongcheol (4)

Serlenga, Laura (3)

Millard, Stephen (2)

Turrell, Arthur (2)

Raftapostolos, Aristeidis (2)

Dendramis, Yiannis (2)

Theodoridis, Konstantinos (2)

Kapadia, Sujit (2)

Mitchell, James (2)

Taylor, Robert (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with George Kapetanios.

Is cited by:

Pesaran, Mohammad (122)

Marcellino, Massimiliano (83)

GUPTA, RANGAN (79)

Chang, Tsangyao (71)

Chudik, Alexander (57)

Omay, Tolga (56)

Kim, Hyeongwoo (46)

Koop, Gary (46)

Qin, Duo (43)

Korobilis, Dimitris (41)

Liew, Venus (40)

Cites to:

Reichlin, Lucrezia (211)

Pesaran, Mohammad (190)

Giannone, Domenico (129)

Forni, Mario (104)

Marcellino, Massimiliano (102)

Diebold, Francis (84)

Watson, Mark (75)

Bai, Jushan (71)

shin, yongcheol (70)

Lippi, Marco (67)

Andrews, Donald (62)

Main data

Where George Kapetanios has published?

Journals with more than one article published# docs
Economics Letters17
Journal of Econometrics14
Journal of Time Series Analysis9
Journal of Applied Econometrics9
Computational Statistics & Data Analysis8
International Journal of Forecasting6
Journal of Empirical Finance6
Oxford Bulletin of Economics and Statistics5
Econometric Theory5
Econometrics Journal4
Journal of Economic Dynamics and Control4
Studies in Nonlinear Dynamics & Econometrics4
Journal of Banking & Finance4
Empirical Economics4
Econometric Reviews4
Journal of Business & Economic Statistics3
Econometrics and Statistics3
Sankhya B: The Indian Journal of Statistics2
Journal of Forecasting2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
National Institute of Economic and Social Research (NIESR) Discussion Papers / National Institute of Economic and Social Research12
CEPR Discussion Papers / C.E.P.R. Discussion Papers11
Working Paper Series / European Central Bank7
Essex Finance Centre Working Papers / University of Essex, Essex Business School7
CESifo Working Paper Series / CESifo7
Papers / arXiv.org4
Edinburgh School of Economics Discussion Paper Series / Edinburgh School of Economics, University of Edinburgh4
Staff Reports / Federal Reserve Bank of New York3
EMF Research Papers / Economic Modelling and Forecasting Group3
Economic Statistics Centre of Excellence (ESCoE) Technical Reports / Economic Statistics Centre of Excellence (ESCoE)3
IZA Discussion Papers / Institute of Labor Economics (IZA)2
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics2
Globalization Institute Working Papers / Federal Reserve Bank of Dallas2
Economics Working Papers / European University Institute2
SERIES / Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro"2
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers / Economic Statistics Centre of Excellence (ESCoE)2

Recent works citing George Kapetanios (2024 and 2023)

YearTitle of citing document
2023Forecasting Net Charge-Off Rates of Large U.S. Bank Holding Companies using Macroeconomic Latent Factors. (2023). Son, Jisoo ; Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-02.

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2023Regresiones SUR Espaciales. Análisis espacio-temporal del empleo sectorial en Argentina. (2023). Herrera-Gómez, Marcos ; Pablo, Fernandez. In: Asociación Argentina de Economía Política: Working Papers. RePEc:aep:anales:4660.

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2023.

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2023Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662.

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2023Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

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2023Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2023Predicting Inflation with Neural Networks. (2021). Paranhos, Livia. In: Papers. RePEc:arx:papers:2104.03757.

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2023Inferential Theory for Granular Instrumental Variables in High Dimensions. (2022). Lee, Tae Hwy ; Banafti, Saman. In: Papers. RePEc:arx:papers:2201.06605.

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2023Dynamic Heterogeneous Distribution Regression Panel Models, with an Application to Labor Income Processes. (2022). Vella, Francis ; Fernandez-Val, Ivan ; Liao, Yuan ; Gao, Wayne Yuan. In: Papers. RePEc:arx:papers:2202.04154.

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2023Should Bank Stress Tests Be Fair?. (2022). Li, Mike ; Glasserman, Paul. In: Papers. RePEc:arx:papers:2207.13319.

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2023Multidimensional Interactive Fixed-Effects. (2022). Freeman, Hugo. In: Papers. RePEc:arx:papers:2209.11691.

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2023Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2023Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

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2023Inference for Large Panel Data with Many Covariates. (2023). Zou, Jiacheng ; Pelger, Markus. In: Papers. RePEc:arx:papers:2301.00292.

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2023A Machine Learning Approach to Measuring Climate Adaptation. (2023). Vilgalys, Max. In: Papers. RePEc:arx:papers:2302.01236.

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2023Unified and robust Lagrange multiplier type tests for cross-sectional independence in large panel data models. (2023). Yao, Jianfeng ; Li, Zhaoyuan ; Huang, Zhenhong. In: Papers. RePEc:arx:papers:2302.14387.

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2023Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860.

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2023Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2023). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934.

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2023Nowcasting with signature methods. (2023). Mantoan, Giulia ; Malpass, Will ; Lui, Silvia ; Cohen, Samuel N ; Yang, Lingyi ; Small, Emma ; Scott, Craig ; Reeves, Andrew ; Nesheim, Lars. In: Papers. RePEc:arx:papers:2305.10256.

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2023Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2023High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192.

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2023Specification testing with grouped fixed effects. (2023). Valentini, Francesco ; Pionati, Alessandro ; Pigini, Claudia. In: Papers. RePEc:arx:papers:2310.01950.

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2023Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach. (2023). Kulikov, Gennady ; Kulikova, Maria. In: Papers. RePEc:arx:papers:2310.04125.

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2023BVARs and Stochastic Volatility. (2023). Chan, Joshua. In: Papers. RePEc:arx:papers:2310.14438.

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2023Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471.

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2023From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2023). Klieber, Karin ; Frenette, Mikael ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2311.16333.

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2023Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2023.

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2023Turning Words into Numbers: Measuring News Media Coverage of Shortages. (2023). Houle, Stephanie ; Chen, Lin. In: Discussion Papers. RePEc:bca:bocadp:23-8.

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2023Energy price shocks and inflation in the euro area. (2023). Tagliabracci, Alex ; delle Monache, Davide ; Corsello, Francesco ; Conflitti, Cristina ; Busetti, Fabio ; Neri, Stefano. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_792_23.

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2023Utiliser la presse pour construire un nouvel indicateur de perception d’inflation en France. (2023). Pierre-Antoine, Robert ; Annabelle, De Gaye ; Alexandre, Dhenin ; Julien, Denes ; Jean-Charles, Bricongne ; Olivier, De Bandt. In: Working papers. RePEc:bfr:banfra:921.

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2023Data science in central banking: applications and tools. (2023). Committee, Irving Fisher. In: IFC Bulletins. RePEc:bis:bisifb:59.

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2023Forecasting models for the Chinese macroeconomy in a data?rich environment: Evidence from large dimensional approximate factor models with mixed?frequency data. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:719-767.

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2023Monitoring Financial Conditions and Downside Risk to Economic Activity in Australia. (2023). Hartigan, Luke ; Wright, Michelle. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:325:p:253-287.

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2023Towards Better Banking Crisis Prediction: Could an Automatic Variable Selection Process Improve the Performance?. (2023). Liu, Xianglong. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:325:p:288-312.

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2023Measuring inflation expectations in interwar Britain. (2023). Lennard, Jason ; Solomou, Solomos ; Meinecke, Finn. In: Economic History Review. RePEc:bla:ehsrev:v:76:y:2023:i:3:p:844-870.

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2023BAYESIAN STATE SPACE MODELS IN MACROECONOMETRICS. (2023). Strachan, Rodney. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:58-75.

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2023Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature. (2023). Dugdale, Julie ; Reaidy, Paul J ; Madies, Philippe ; Alaeddini, Morteza. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:2:p:573-654.

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2023Directed graphs and variable selection in large vector autoregressive models. (2023). Kascha, Christian ; Bruggemann, Ralf ; Bertsche, Dominik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:223-246.

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2023.

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2023Variable Screening and Model Averaging for Expectile Regressions. (2023). Wang, Siwei ; Tu, Yundong. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:3:p:574-598.

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2023Every crisis does matter: Comparing the databases of financial crisis events. (2023). Širaňová, Mária ; Zelenak, Karol ; Siranova, Maria. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:2:p:652-686.

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2023Unwinding quantitative easing: state dependency and household heterogeneity. (2023). Cantore, Cristiano ; Meichtry, Pascal. In: Bank of England working papers. RePEc:boe:boeewp:1030.

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2023Electricity Intensity Convergence in the OECD Countries. (2023). Gallo, Lior. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2023.10.

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2023Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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2023The Role of Pricing Errors in Linear Asset Pricing Models with Strong, Semi-strong, and Latent Factors. (2023). Smith, R P ; Pesaran, M H. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2317.

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2023UK Monetary Policy in An Estimated DSGE Model with State-Dependent Price and Wage Contracts. (2023). Minford, Patrick ; Meenagh, David ; Mai, Vo Phuong ; Chen, Haixia. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/22.

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2023UK monetary and fiscal policy since the Great Recession- an evaluation. (2023). Minford, A. Patrick ; Wang, Ziqing ; Meenagh, David ; Mai, Vo Phuong. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/9.

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2023.

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2023Model Averaging with Ridge Regularization. (2023). Skolkova, Alena. In: CERGE-EI Working Papers. RePEc:cer:papers:wp758.

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2023Economic Growth and Pollutant Emissions: New Panel Evidence from the Union for the Mediterranean Countries. (2023). Belaid, Fateh ; Rault, Christophe ; ben Abdeljelil, Mouna. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10201.

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2023The Role of Pricing Errors in Linear Asset Pricing Models with Strong, Semi-Strong, and Latent Factors. (2023). Pesaran, Mohammad ; Smith, Ron P. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10282.

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2023Regional Productivity Network in the EU. (2023). Shin, Yongcheol ; Serlenga, Laura ; Mastromarco, Camilla. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10404.

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2023Goodness-of-fit test in high-dimensional linear sparse models. (2023). van Bellegem, Sebastien ; Sauvenier, Mathieu. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2023008.

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2023The inefficiency of Quantitative Easing in the Euro Area. (2023). Michail, Nektarios ; Louka, Kyriaki G. In: Working Papers. RePEc:cyb:wpaper:2023-3.

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2023Nowcasting GDP using tone-adjusted time varying news topics: Evidence from the financial press. (2023). de Winter, Jasper ; van Dijk, Dorinth. In: Working Papers. RePEc:dnb:dnbwpp:766.

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2023Per Capita Income Convergence and Divergence of Selected OECD Countries to and from the US: A Reappraisal for the period 1900-2018. (2023). Konya, Laszlo. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:23:y:2023:i:1_2.

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2023ARE SHOCKS TO ELECTRICITY CONSUMPTION PERMANENT OR TRANSITORY? EVIDENCE FROM A PANEL STATIONARITY TEST WITH GRADUAL STRUCTURAL BREAKS FOR 25 OECD COUNTRIES. (2023). Kara, Murat S ; Husein, Jamal G. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:23:y:2023:i:1_3.

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2023Monetary policy and the term structure of inflation expectations with information frictions. (2023). McNeil, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002913.

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2023Measuring the trend real interest rate in a data-rich environment. (2023). Fu, Bowen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s016518892300012x.

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2023Quantile spillovers and connectedness analysis between oil and African stock markets. (2023). Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:60-83.

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2023Revisiting economic growth and CO2 emissions nexus in Taiwan using a mixed-frequency VAR model. (2023). Wu, Cheng-Feng ; Wang, Mei-Chih ; Chen, Sheng-Tung ; Hsu, Chen-Min ; Chang, Tsangyao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:319-342.

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2023Central bank lending facility and investment efficiency of non-SOEs: evidence from China. (2023). Si, Deng-Kui ; Ding, Hui ; Xie, Pinyi ; Li, Xiao-Lin. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s026499932300233x.

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2023Cross-border Italian sovereign risk transmission in EMU countries. (2023). Napolitano, Oreste ; Fiorelli, Cristiana ; D'Uva, Marcella ; Capasso, Salvatore. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002365.

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2023Italian local fiscal multipliers: Evidence from proxy-SVAR. (2023). Frangiamore, Francesco ; Matarrese, Marco Maria. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523002100.

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2023Simple interpolations of inflation expectations. (2023). Winkelried, Diego. In: Economics Letters. RePEc:eee:ecolet:v:229:y:2023:i:c:s0165176523002550.

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2023Canonical correlation-based model selection for the multilevel factors. (2023). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:22-44.

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2023Information criteria for latent factor models: A study on factor pervasiveness and adaptivity. (2023). Tang, Cheng Yong ; Chen, YU ; Guo, Xiao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:237-250.

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2023Testing and signal identification for two-sample high-dimensional covariances via multi-level thresholding. (2023). Qiu, Yumou ; Guo, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1337-1354.

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2023Comparing stochastic volatility specifications for large Bayesian VARs. (2023). Chan, Joshua. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1419-1446.

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2023Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499.

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2023Spatial autoregressions with an extended parameter space and similarity-based weights. (2023). Lieberman, Offer ; Rossi, Francesca. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1770-1798.

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2023Model averaging for asymptotically optimal combined forecasts. (2023). Liu, Chu-An ; Chen, Yi-Ting. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:592-607.

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2023Specification tests for time-varying coefficient models. (2023). Su, Liangjun ; Hong, Yongmiao ; Wang, Xia ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:720-744.

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2023News-implied linkages and local dependency in the equity market. (2023). Linton, Oliver ; Ge, Shuyi. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:779-815.

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2023Large stochastic volatility in mean VARs. (2023). Poon, Aubrey ; Koop, Gary ; Hou, Chenghan ; Cross, Jamie L. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s030440762300163x.

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2023Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios. (2023). Pesaran, Mohammad ; Smith, Ron P. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:17-30.

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2023Number of creditors and the real effects of credit supply disruptions. (2023). Rastad, Mahdi ; Ebrahimnejad, Ali ; Ebrahimi, Sajad. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000110.

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2023Human capital and energy consumption: Six centuries of evidence from the United Kingdom. (2023). Smyth, Russell ; Ivanovski, Kris ; Inekwe, John ; Churchill, Sefa Awaworyi. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005941.

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2023Green finance and renewable energy: A worldwide evidence. (2023). Abbas, Syed Kumail ; Boubaker, Sabri ; al Mamun, MD ; Alharbi, Samar S. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988322006284.

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2023Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Evidence from a quantile-based analysis. (2023). Yin, Zhujia ; Zhang, Xiaotong ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000099.

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2023Investigating the dynamics of crude oil and clean energy markets in times of geopolitical tensions. (2023). ben Zaied, Younes ; ben Cheikh, Nidhaleddine. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003596.

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2023Why has the OECD long-run GDP elasticity of economy-wide electricity demand declined? Because the electrification of energy services has saturated. (2023). Hasanov, Fakhri ; Parker, Steven ; Liddle, Brantley. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003304.

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2023Financial stress and commodity price volatility. (2023). Verousis, Thanos ; Zhou, Zhiping ; Wang, Kai ; Chen, Louisa. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003729.

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2023Wind energy, industrial-economic development and CO2 emissions nexus: Do droughts matter?. (2023). Su, H ; Wu, Q ; Namahoro, J P. In: Energy. RePEc:eee:energy:v:278:y:2023:i:pa:s036054422301263x.

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2023Expected long-term rates of return when short-term returns are serially correlated. (2023). Tronnes, Haakon Andreas ; Mork, Knut Anton. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002120.

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2023Nowcasting of the Short-run Euro-Dollar Exchange Rate with Economic Fundamentals and Time-varying Parameters. (2023). Yemba, Boniface ; Biswas, Nabaneeta ; Tang, Biyan ; Otunuga, Olusegun Michael. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007474.

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2023Social R&D: Does academic freedom contribute to improved societal outcomes?. (2023). Zhang, Quanda ; Posso, Alberto. In: Information Economics and Policy. RePEc:eee:iepoli:v:63:y:2023:i:c:s016762452300015x.

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2023.

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2023Hedging effectiveness of cryptocurrencies in the European stock market. (2023). Muzzioli, Silvia ; Marchi, Gianluca ; Gambarelli, Luca. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000252.

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2023Unconventional monetary policies and credit co-movement in the Eurozone. (2023). Fazio, Giorgio ; Casalin, Fabrizio ; Sleibi, Yacoub. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000471.

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2023Forecasting Bitcoin with technical analysis: A not-so-random forest?. (2023). Djakovic, Vladimir ; Adcock, Robert ; Kukolj, Dragan ; Gradojevic, Nikola. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:1-17.

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2023Interactive R&D spillovers: An estimation strategy based on forecasting-driven model selection. (2023). Simioni, Michel ; Musolesi, Antonio ; Gioldasis, Georgios. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:144-169.

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2023Data-based priors for vector error correction models. (2023). Pruser, Jan. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:209-227.

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2023Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence. (2023). Verbeken, Brecht ; Boudt, Kris ; Borms, Samuel ; Algaba, Andres. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:266-278.

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2023Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage. (2023). Poon, Aubrey ; Koop, Gary ; Gefang, Deborah. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:346-363.

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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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2023The power of text-based indicators in forecasting Italian economic activity. (2023). Monteforte, Libero ; Marcucci, Juri ; Luciani, Andrea ; Guaitoli, Gabriele ; Emiliozzi, Simone ; Aprigliano, Valentina. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:791-808.

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Works by George Kapetanios:

YearTitleTypeCited
2014Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets In: CREATES Research Papers.
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2018Estimation and forecasting in vector autoregressive moving average models for rich datasets.(2018) In: Journal of Econometrics.
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2023On Robust Inference in Time Series Regression In: Papers.
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2023High Dimensional Generalised Penalised Least Squares In: Papers.
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2022A New Test for Market Efficiency and Uncovered Interest Parity In: Papers.
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2023A new test for market efficiency and uncovered interest parity.(2023) In: Journal of International Money and Finance.
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2022A New Test for Market Efficiency and Uncovered Interest Parity.(2022) In: NBER Working Papers.
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2023Deep Neural Network Estimation in Panel Data Models In: Papers.
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2018Big Data Econometrics: Now Casting and Early Estimates In: BAFFI CAREFIN Working Papers.
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2019Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels In: SERIES.
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2019Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure In: SERIES.
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2021Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure.(2021) In: Journal of Econometrics.
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2017Large time-varying parameter VARs: a non-parametric approach In: Temi di discussione (Economic working papers).
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2016Large Time-Varying Parameter VARs: A Non-Parametric Approach.(2016) In: CEPR Discussion Papers.
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2019Large time?varying parameter VARs: A nonparametric approach.(2019) In: Journal of Applied Econometrics.
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2007Testing for Neglected Nonlinearity in Long-Memory Models In: Journal of Business & Economic Statistics.
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2005Testing for Neglected Nonlinearity in Long Memory Models.(2005) In: Working Papers.
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2008Forecasting Using Bayesian and Information-Theoretic Model Averaging: An Application to U.K. Inflation In: Journal of Business & Economic Statistics.
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2005Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation.(2005) In: Bank of England working papers.
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2006Forecasting using Bayesian and Information Theoretic Model Averaging: An Application to UK Inflation.(2006) In: Working Papers.
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2010A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets In: Journal of Business & Economic Statistics.
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2005A Testing Procedure for Determining the Number of Factors in Approximate Factor Models with Large Datasets.(2005) In: Working Papers.
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2011ELUSIVE PERSISTENCE: WAGE AND PRICE RIGIDITIES, THE NEW KEYNESIAN PHILLIPS CURVE AND INFLATION DYNAMICS In: Journal of Economic Surveys.
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2020A similarity?based approach for macroeconomic forecasting In: Journal of the Royal Statistical Society Series A.
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2020A Similarity-based Approach for Macroeconomic Forecasting.(2020) In: CEPR Discussion Papers.
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2001Model Selection in Threshold Models In: Journal of Time Series Analysis.
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1999Model Selection in Threshold Models.(1999) In: Cambridge Working Papers in Economics.
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2003Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives In: Journal of Time Series Analysis.
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2004Estimating the rank of the spectral density matrix.(2004) In: Working Paper Series.
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2007Testing for Neglected Nonlinearity in Cointegrating Relationships* In: Journal of Time Series Analysis.
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2004Testing for Neglected Nonlinearity in Cointegrating Relationships.(2004) In: Working Papers.
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2009A parametric estimation method for dynamic factor models of large dimensions In: Journal of Time Series Analysis.
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2006A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions.(2006) In: CEPR Discussion Papers.
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2018Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models In: Journal of Time Series Analysis.
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2015Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models.(2015) In: Working Papers.
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2019A Generalised Fractional Differencing Bootstrap for Long Memory Processes In: Journal of Time Series Analysis.
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2019A Generalised Fractional Differencing Bootstrap for Long Memory Processes.(2019) In: Essex Finance Centre Working Papers.
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2021Corrigendum to “A Generalised Fractional Differencing Bootstrap for Long Memory Processes†Journal of Time Series Analysis 40: 467?492 (2019) DOI: 10.1111/jtsa.12460 In: Journal of Time Series Analysis.
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2013Robust Forecast Methods and Monitoring during Structural Change In: Manchester School.
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2004The Yen Real Exchange Rate may be Stationary after all: Evidence from Non?linear Unit?root Tests In: Oxford Bulletin of Economics and Statistics.
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2006The yen real exchange rate may be stationary after all: evidence from non-linear unit root tests.(2006) In: Bank of England working papers.
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2003The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests.(2003) In: Working Papers.
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2007Measuring Conditional Persistence in Nonlinear Time Series* In: Oxford Bulletin of Economics and Statistics.
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2008Nonlinear Alternatives to Unit Root Tests and Public Finances Sustainability: Some Evidence from Latin American and Caribbean Countries* In: Oxford Bulletin of Economics and Statistics.
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2013Model Selection Criteria for Factor-Augmented Regressions-super- In: Oxford Bulletin of Economics and Statistics.
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2022How did consumers react to the COVID?19 pandemic over time? In: Oxford Bulletin of Economics and Statistics.
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2009Multivariate methods for monitoring structural change In: Bank of England working papers.
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2010Multivariate Methods for Monitoring Structural Change.(2010) In: Working Papers.
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2013MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE.(2013) In: Journal of Applied Econometrics.
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2010Forecasting in the presence of recent structural change In: Bank of England working papers.
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2011Forecasting in the presence of recent structural change.(2011) In: CAMA Working Papers.
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2011Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change In: Bank of England working papers.
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2014Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change.(2014) In: Empirical Economics.
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2012Assessing the economy-wide effects of quantitative easing In: Bank of England working papers.
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2012Assessing the Economyâ€Âwide Effects of Quantitative Easing.(2012) In: Economic Journal.
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2014Adaptive forecasting in the presence of recent and ongoing structural change In: Bank of England working papers.
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2013Adaptive forecasting in the presence of recent and ongoing structural change.(2013) In: Journal of Econometrics.
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2012Adaptive Forcasting in the Presence of Recent and Ongoing Structural Change.(2012) In: CAMA Working Papers.
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2012Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change.(2012) In: Working Papers.
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2014Generalised density forecast combinations In: Bank of England working papers.
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2015Generalised density forecast combinations.(2015) In: Journal of Econometrics.
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2014Generalised Density Forecast Combinations.(2014) In: CAMA Working Papers.
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2013Generalised Density Forecast Combinations.(2013) In: EMF Research Papers.
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2014Estimating time-varying DSGE models using minimum distance methods In: Bank of England working papers.
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2015Estimating Time-Varying DSGE Models Using Minimum Distance Methods.(2015) In: Working Papers.
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2015Unconventional monetary policies and the macroeconomy: the impact of the United Kingdoms QE2 and Funding for Lending Scheme In: Bank of England working papers.
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2017A time varying parameter structural model of the UK economy In: Bank of England working papers.
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2019A time-varying parameter structural model of the UK economy.(2019) In: Journal of Economic Dynamics and Control.
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2017Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models In: Bank of England working papers.
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2017A UK financial conditions index using targeted data reduction: forecasting and structural identification In: Bank of England working papers.
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2018A UK financial conditions index using targeted data reduction: Forecasting and structural identification.(2018) In: Econometrics and Statistics.
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2017A UK financial conditions index using targeted data reduction: forecasting and structural identification.(2017) In: CAMA Working Papers.
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2017A UK financial conditions index using targeted data reduction: forecasting and structural identification.(2017) In: Essex Finance Centre Working Papers.
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2018A new approach for detecting shifts in forecast accuracy In: Bank of England working papers.
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2018A New Approach for Detecting Shifts in Forecast Accuracy.(2018) In: Cardiff Economics Working Papers.
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2019A new approach for detecting shifts in forecast accuracy.(2019) In: International Journal of Forecasting.
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2019Time-varying cointegration and the UK great ratios In: Bank of England working papers.
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2018Time varying cointegration and the UK great ratios.(2018) In: CAMA Working Papers.
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2018Time varying cointegration and the UK Great Ratios.(2018) In: Essex Finance Centre Working Papers.
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2020Making text count: economic forecasting using newspaper text In: Bank of England working papers.
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2022Making text count: Economic forecasting using newspaper text.(2022) In: Journal of Applied Econometrics.
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2003Rational expectations and fixed-event forecasts: an application to UK inflation In: Bank of England working papers.
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2005Rational expectations and fixed-event forecasts: An application to UK inflation.(2005) In: Empirical Economics.
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2003Import prices and exchange rate pass-through: theory and evidence from the United Kingdom In: Bank of England working papers.
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2003Forecasting with measurement errors in dynamic models.(2003) In: Royal Economic Society Annual Conference 2003.
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2005Forecasting with measurement errors in dynamic models.(2005) In: International Journal of Forecasting.
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2004Forecasting with Measurement Errors in Dynamic Models.(2004) In: Working Papers.
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2005Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns.(2005) In: CESifo Working Paper Series.
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2011Panels with non-stationary multifactor error structures.(2011) In: Journal of Econometrics.
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2010Panels with nonstationary multifactor error structures.(2010) In: Post-Print.
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2012Exponent of Cross-sectional Dependence: Estimation and Inference In: Cambridge Working Papers in Economics.
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2012Exponent of Cross-sectional Dependence: Estimation and Inference.(2012) In: IZA Discussion Papers.
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2016Exponent of Cross?Sectional Dependence: Estimation and Inference.(2016) In: Journal of Applied Econometrics.
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2016Big Data Analytics: A New Perspective In: Cambridge Working Papers in Economics.
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2016Big Data Analytics: A New Perspective.(2016) In: CESifo Working Paper Series.
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2016Big data analytics: a new perspective.(2016) In: Globalization Institute Working Papers.
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2016A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models In: Cambridge Working Papers in Economics.
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2016A one-covariate at a time, multiple testing approach to variable selection in high-dimensional linear regression models.(2016) In: Globalization Institute Working Papers.
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2018A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High?Dimensional Linear Regression Models.(2018) In: Econometrica.
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2006Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation.(2006) In: Working Papers.
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2009Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models.(2009) In: Economics Working Papers.
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