George Kapetanios : Citation Profile


Are you George Kapetanios?

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

15

H index

17

i10 index

753

Citations

RESEARCH PRODUCTION:

1

Articles

40

Papers

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 39
   Journals where George Kapetanios has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 7 (0.92 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pka15
   Updated: 2020-10-17    RAS profile: 2016-10-31    
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Relations with other researchers


Works with:

Chudik, Alexander (2)

Pesaran, M (2)

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

Is cited by:

Marcellino, Massimiliano (29)

Qin, Duo (20)

Eickmeier, Sandra (13)

shin, yongcheol (13)

Liew, Venus (13)

Ducanes, Geoffrey (12)

Pesaran, M (11)

Bec, Frédérique (11)

cipollini, andrea (10)

Leon-Ledesma, Miguel (10)

Ben Cheikh, Nidhaleddine (10)

Cites to:

Reichlin, Lucrezia (12)

Taylor, Mark (8)

Forni, Mario (8)

Giannone, Domenico (7)

shin, yongcheol (6)

Watson, Mark (6)

Rogoff, Kenneth (5)

Lippi, Marco (5)

Hallin, Marc (5)

Corsetti, Giancarlo (5)

Peel, David (5)

Main data


Where George Kapetanios has published?


Working Papers Series with more than one paper published# docs
Staff Reports / Federal Reserve Bank of New York3
Globalization Institute Working Papers / Federal Reserve Bank of Dallas2

Recent works citing George Kapetanios (2020 and 2019)


YearTitle of citing document
2019In search of a job: Forecasting employment growth using Google Trends. (2019). Montes, Erik Christian ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2019-13.

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2019Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach. (2019). Kim, Hyeongwoo ; Ko, Kyunghwan. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2019-03.

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2019Forecasting Dollar Real Exchange Rates and the Role of Real Activity Factors. (2019). Kim, Hyeongwoo ; Behera, Sarthak. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2019-04.

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2020Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968.

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2019Estimating the Exchange Rate Pass-Through: A Time-Varying Vector Auto-Regression with Residual Stochastic Volatility Approach. (2019). Julio-Roman, Juan Manuel. In: Borradores de Economia. RePEc:bdr:borrec:1093.

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2019Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1162.

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2019The Role of Factor Strength and Pricing Errors for Estimation and Inference in Asset Pricing Models. (2019). Smith, Ronald ; Pesaran, M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7919.

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2020Measurement of Factor Strenght: Theory and Practice. (2020). Bailey, Natalia ; Kapetanios, George ; Pesaran, Hashem M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8146.

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2020Contagion of Fear. (2020). Richardson, Gary ; Mitchener, Kris James. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8172.

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2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

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2020Contagion of Fear. (2020). Mitchener, Kris James ; Richardson, Gary. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14510.

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2020Improving forecast accuracy of financial vulnerability: PLS factor model approach. (2020). Kim, Hyeongwoo ; Ko, Kyunghwan. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:341-355.

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2019Forecasting using random subspace methods. (2019). Nibbering, Didier ; Boot, Tom . In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:391-406.

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2020The volatility linkage between energy and agricultural futures markets with external shocks. (2020). Zeng, Hongchao ; Wu, Lei ; Jin, Jiayu ; Han, Liyan. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918305209.

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2019Google data in bridge equation models for German GDP. (2019). Gotz, Thomas B ; Knetsch, Thomas A. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:45-66.

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2019Representation, estimation and forecasting of the multivariate index-augmented autoregressive model. (2019). Guardabascio, Barbara ; Cubadda, Gianluca. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:67-79.

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2020Predicting default risk under asymmetric binary link functions. (2020). Varthalitis, Petros ; Tzavalis, Elias ; Athanasiou, E ; Dendramis, Y. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1039-1056.

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2020Revisiting the pass-through of exchange rate in the transition economies: New evidence from new EU member states. (2020). ben Zaied, Younes ; ben Cheikh, Nidhaleddine. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:100:y:2020:i:c:s0261560618302389.

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2019Analysing of exchange rate and gross domestic product (GDP) by adaptive neuro fuzzy inference system (ANFIS). (2019). Jovic, Srdjan ; Rakic, Goran ; Markovic, Sanja ; Micic, Radmila ; Miladinovic, Jasmina Smigic. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:333-338.

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2019Inside the “Upside Down†: Estimating Ireland’s Output Gap. (2019). Casey, Eddie. In: The Economic and Social Review. RePEc:eso:journl:v:50:y:2019:i:1:p:5-34.

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2019Upstream, Downstream & Common Firm Shocks. (2019). Yung, Julieta ; Grant, Everett. In: Globalization Institute Working Papers. RePEc:fip:feddgw:360.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: Working Papers. RePEc:hae:wpaper:2019-4.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: PSE Working Papers. RePEc:hal:psewpa:halshs-02262202.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine. In: Working Papers. RePEc:hal:wpaper:halshs-02262202.

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2019Testing for Constant Parameters in Nonlinear Models: A Quick Procedure with an Empirical Illustration. (2019). Rivero, C ; Llorente, G ; Hoyo, J. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:1:d:10.1007_s10614-017-9693-5.

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2020Measurement of Factor Strength: Theory and Practice. (2020). Pesaran, M ; Bailey, Natalia ; Kapetanios, George. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-7.

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2019Text Selection. (2019). Moreira, Alan ; Manela, Asaf ; Kelly, Bryan T. In: NBER Working Papers. RePEc:nbr:nberwo:26517.

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2020Contagion of Fear. (2020). Richardson, Gary ; Mitchener, Kris James. In: NBER Working Papers. RePEc:nbr:nberwo:26859.

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2019How Do Carbon Emissions Respond to Economic Shocks? Evidence from Low-, Middle- and High-Income Countries. (2019). Shahbaz, Muhammad ; Khraief, Naceur ; Hammoudeh, Shawkat. In: MPRA Paper. RePEc:pra:mprapa:93976.

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2019Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages. (2019). GUPTA, RANGAN ; Yilmaz, Hasan M ; Guney, Ethem I ; Cepni, Oguzhan. In: Working Papers. RePEc:pre:wpaper:201957.

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2019Estimating the Exchange Rate Pass-Through: A Time-Varying Vector Auto-Regression with Residual Stochastic Volatility Approach. (2019). Julio-Roman, Juan Manuel. In: Working papers. RePEc:rie:riecdt:21.

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2019Limits of regional food price differences and invisible hand. (2019). Shemyakina, Kira ; Skrobotov, Anton ; Perevyshin, Yury ; Dobronravova, Elizaveta. In: Applied Econometrics. RePEc:ris:apltrx:0360.

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2020Forecasting models for the Chinese macroeconomy: the simpler the better?. (2020). Ponomareva, Natalia ; Zhang, Qin ; Heaton, Chris . In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01788-0.

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2020Modeling mechanism of economic growth using threshold autoregression models. (2020). Osinska, Magdalena ; Kufel, Pawel ; Błażejowski, Marcin ; Baejowski, Marcin ; Osiska, Magdalena. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:3:d:10.1007_s00181-018-1560-2.

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2019Exponent of Cross-sectional Dependence for Residuals. (2019). Pesaran, M ; Bailey, Natalia ; Kapetanios, George. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:81:y:2019:i:1:d:10.1007_s13571-019-00196-9.

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2019Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them. (2019). Rossi, Barbara. In: Economics Working Papers. RePEc:upf:upfgen:1711.

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2019Macroeconomic forecast accuracy in a data‐rich environment. (2019). Stevanovic, Dalibor ; Kotchoni, Rachidi ; Leroux, Maxime. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:34:y:2019:i:7:p:1050-1072.

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2020Recession probabilities falling from the STARs. (2020). Noller, Marvin ; Eraslan, Sercan. In: Discussion Papers. RePEc:zbw:bubdps:082020.

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Works by George Kapetanios:


YearTitleTypeCited
2003Rational expectations and fixed-event forecasts: an application to UK inflation In: Bank of England working papers.
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paper15
2003Import prices and exchange rate pass-through: theory and evidence from the United Kingdom In: Bank of England working papers.
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paper36
2003Non-nested Models and the likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap-based Tests In: Cambridge Working Papers in Economics.
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paper2
2003Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests.(2003) In: Working Papers.
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paper
1999Threshold Models for Trended Time Series In: Cambridge Working Papers in Economics.
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paper12
1999Model Selection in Threshold Models In: Cambridge Working Papers in Economics.
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paper29
2018A New Approach for Detecting Shifts in Forecast Accuracy In: Cardiff Economics Working Papers.
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paper0
2002Estimation and Inference in a Non-Linear State Space Model: Durable Consumption In: Royal Economic Society Annual Conference 2002.
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paper0
2001An automatic leading indicator of economic activity: forecasting GDP growth for European countries In: Econometrics Journal.
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article55
2016Big data analytics: a new perspective In: Globalization Institute Working Papers.
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paper1
2016A one-covariate at a time, multiple testing approach to variable selection in high-dimensional linear regression models In: Globalization Institute Working Papers.
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paper13
2015Revisiting useful approaches to data-rich macroeconomic forecasting In: Staff Reports.
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paper63
2009Model selection criteria for factor-augmented regressions In: Staff Reports.
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paper7
2009Parsimonious estimation with many instruments In: Staff Reports.
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paper4
2002Credibility of the Russian Stabilisation Programme in 1995-98 In: National Institute of Economic and Social Research (NIESR) Discussion Papers.
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paper23
2001A Comparison of Personal Sector Saving Rates in the UK, US and Italy In: National Institute of Economic and Social Research (NIESR) Discussion Papers.
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paper9
2001The effect of tuition fees on students demands and expectations: evidence from case studies of four In: National Institute of Economic and Social Research (NIESR) Discussion Papers.
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paper1
2001A Timeless Perspective on Optimality in Forward-Looking Rational Expectations Models In: National Institute of Economic and Social Research (NIESR) Discussion Papers.
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paper44
2001Some evidence on financial factors in the determination of aggregate business investment for the G7 In: National Institute of Economic and Social Research (NIESR) Discussion Papers.
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paper6
2001Balance of payments prospects in EMU In: National Institute of Economic and Social Research (NIESR) Discussion Papers.
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paper115
2001Openness, integration and transition: prospects and policies for economies in transition In: National Institute of Economic and Social Research (NIESR) Discussion Papers.
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paper1
2000Evaluating macroeconomic models of the business cycle In: National Institute of Economic and Social Research (NIESR) Discussion Papers.
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paper1
2000Inward investment and technical progress in the United Kingdom manufacturing sector In: National Institute of Economic and Social Research (NIESR) Discussion Papers.
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paper5
2000Pay settlements in Britain In: National Institute of Economic and Social Research (NIESR) Discussion Papers.
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paper1
2002Unit Root Tests in Three-Regime SETAR Models In: Working Papers.
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paper82
2002Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting In: Working Papers.
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paper6
2002A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models In: Working Papers.
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paper7
2002Bootstrap Statistical Tests of Rank Determination for System Identification In: Working Papers.
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paper0
2002Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks In: Working Papers.
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paper50
2002Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations In: Working Papers.
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paper2
2002Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset In: Working Papers.
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paper24
2002GLS Detrending for Nonlinear Unit Root Tests In: Working Papers.
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paper2
2002Testing for Neglected Nonlinearity in Long Memory Models In: Working Papers.
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paper19
2002Measuring Conditional Persistence in Time Series In: Working Papers.
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paper2
2002A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models In: Working Papers.
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2003A New Nonparametric Test of Cointegration Rank In: Working Papers.
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2003A Note on Joint Estimation of Common Cycles and Common Trends in Nonstationary Multivariate Systems In: Working Papers.
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2003The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests In: Working Papers.
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2003An Investigation of Current Account Solvency in Latin America Using Non Linear Stationarity Tests In: Working Papers.
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paper18
2003A Nonlinear Approach to Public Finance Sustainability in Latin America In: Working Papers.
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paper5
2003A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions In: Working Papers.
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