George Kapetanios : Citation Profile

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

34

H index

107

i10 index

5995

Citations

RESEARCH PRODUCTION:

141

Articles

312

Papers

2

Chapters

RESEARCH ACTIVITY:

   26 years (1999 - 2025). See details.
   Cites by year: 230
   Journals where George Kapetanios has often published
   Relations with other researchers
   Recent citing documents: 376.    Total self citations: 244 (3.91 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pka15
   Updated: 2025-12-27    RAS profile: 2025-06-06    
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Relations with other researchers

Works with:

Marcellino, Massimiliano (7)

Diebold, Francis (7)

Price, Simon (6)

Chronopoulos, Ilias (6)

Pesaran, Mohammad (5)

Chrysikou, Katerina (4)

Bailey, Natalia (4)

Raftapostolos, Aristeidis (4)

shin, yongcheol (3)

Mora, Aaron (2)

Kapadia, Sujit (2)

Turrell, Arthur (2)

Potjagailo, Galina (2)

Mitchell, James (2)

Baillie, Richard (2)

Dendramis, Yiannis (2)

Petrova, Katerina (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 (124)

Marcellino, Massimiliano (85)

GUPTA, RANGAN (81)

Chang, Tsangyao (73)

Chudik, Alexander (59)

Omay, Tolga (58)

Koop, Gary (51)

Kim, Hyeongwoo (49)

Qin, Duo (43)

Cubadda, Gianluca (42)

Korobilis, Dimitris (42)

Cites to:

Reichlin, Lucrezia (213)

Pesaran, Mohammad (190)

Giannone, Domenico (131)

Forni, Mario (105)

Marcellino, Massimiliano (103)

Diebold, Francis (84)

Watson, Mark (80)

Bai, Jushan (76)

shin, yongcheol (68)

Lippi, Marco (68)

Ng, Serena (64)

Main data

Where George Kapetanios has published?

Journals with more than one article published# docs
Economics Letters18
Journal of Econometrics15
Journal of Applied Econometrics10
Journal of Time Series Analysis9
Computational Statistics & Data Analysis8
International Journal of Forecasting8
Journal of Empirical Finance6
Oxford Bulletin of Economics and Statistics5
Econometric Theory5
Journal of Banking & Finance4
Studies in Nonlinear Dynamics & Econometrics4
Econometrics Journal4
Empirical Economics4
Econometric Reviews4
Journal of Economic Dynamics and Control4
Sankhya B: The Indian Journal of Statistics3
Econometrics and Statistics3
Journal of Business & Economic Statistics3
Journal of Business & Economic Statistics2
Journal of Applied Econometrics2
Journal of Forecasting2

Working Papers Series with more than one paper published# docs
Bank of England working papers / Bank of England24
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
Essex Finance Centre Working Papers / University of Essex, Essex Business School7
CESifo Working Paper Series / CESifo7
Working Paper Series / European Central Bank7
Papers / arXiv.org6
Edinburgh School of Economics Discussion Paper Series / Edinburgh School of Economics, University of Edinburgh4
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics3
Economic Statistics Centre of Excellence (ESCoE) Technical Reports / Economic Statistics Centre of Excellence (ESCoE)3
Staff Reports / Federal Reserve Bank of New York3
Working Papers / Department of Economics, City St George's, University of London3
NBER Working Papers / National Bureau of Economic Research, Inc2
SERIES / Dipartimento di Economia e Finanza - Universit degli Studi di Bari "Aldo Moro"2
Economics Working Papers / European University Institute2
IZA Discussion Papers / Institute of Labor Economics (IZA)2
Globalization Institute Working Papers / Federal Reserve Bank of Dallas2
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers / Economic Statistics Centre of Excellence (ESCoE)2

Recent works citing George Kapetanios (2025 and 2024)

YearTitle of citing document
2024What Charge-Off Rates Are Predictable by Macroeconomic Latent Factors?. (2024). Kim, Hyeongwoo ; Son, Jisoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2024-01.

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2024Oil production and ecological footprint in Organization of the Petroleum Exporting Countries (OPEC): the moderating role of institutions. (2024). Hassan, Adewale Samuel. In: International Journal of Business Ecosystem & Strategy (2687-2293). RePEc:adi:ijbess:v:6:y:2024:i:4:p:311-326.

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2024Is there convergence or divergence in per capita energy consumption in sub-Saharan African countries?. (2024). Tıraşoğlu, Muhammed ; Tiraolu, Muhammed. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:2(639):p:129-140.

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2024Time-Varying Parameters as Ridge Regressions. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2009.00401.

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2025Dynamic Heterogeneous Distribution Regression Panel Models, with an Application to Labor Income Processes. (2023). Vella, Francis ; Gao, Wayne ; Fernandez-Val, Ivan ; Liao, Yuan. In: Papers. RePEc:arx:papers:2202.04154.

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2025Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects. (2024). LINTON, OLIVER ; Vogt, Michael ; Walsh, Christopher. In: Papers. RePEc:arx:papers:2206.12152.

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2025Linear Multidimensional Regression with Interactive Fixed-Effects. (2025). Freeman, Hugo. In: Papers. RePEc:arx:papers:2209.11691.

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2024Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2024). van Huellen, Sophie ; Dellaportas, Petros ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2025Cointegration with Occasionally Binding Constraints. (2025). Wycherley, Sam ; Mavroeidis, Sophocles ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

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2024Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2024). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934.

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2025Latent Factor Analysis in Short Panels. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2025Specification testing with grouped fixed effects. (2023). Valentini, Francesco ; Pigini, Claudia ; Pionati, Alessandro. In: Papers. RePEc:arx:papers:2310.01950.

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2024From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2024). Goulet Coulombe, Philippe ; Frenette, Mikael ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333.

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2024Structural Analysis of Vector Autoregressive Models. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2024Robust Estimation in Network Vector Autoregression with Nonstationary Regressors. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2401.04050.

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2024Maximally Forward-Looking Core Inflation. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian ; Klieber, Karin ; Barrette, Christophe. In: Papers. RePEc:arx:papers:2404.05209.

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2024Random Subspace Local Projections. (2024). Wong, Benjamin ; Dinh, Viet Hoang ; Nibbering, Didier. In: Papers. RePEc:arx:papers:2406.01002.

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2025Decision synthesis in monetary policy. (2025). Koop, Gary ; Chernis, Tony ; West, Mike ; Tallman, Emily. In: Papers. RePEc:arx:papers:2406.03321.

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2025Estimating Time-Varying Parameters of Various Smoothness in Linear Models via Kernel Regression. (2025). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2406.14046.

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2024Vector AutoRegressive Moving Average Models: A Review. (2024). Wilms, Ines ; Tsay, Ruey S ; Duker, Marie-Christine ; Matteson, David S. In: Papers. RePEc:arx:papers:2406.19702.

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2025Macroeconomic Forecasting with Large Language Models. (2025). Shekhar, Shubhranshu ; Carriero, Andrea ; Pettenuzzo, Davide. In: Papers. RePEc:arx:papers:2407.00890.

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2024When can weak latent factors be statistically inferred?. (2024). Fan, Jianqing ; Yan, Yuling ; Zheng, Yuheng. In: Papers. RePEc:arx:papers:2407.03616.

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2024Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach. (2024). Wilms, Ines ; Hecq, Alain ; Ricardo, Ivan. In: Papers. RePEc:arx:papers:2407.07973.

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2024Modelling shock propagation and resilience in financial temporal networks. (2024). Rizzini, Giorgio ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.09340.

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2024Bayesian modelling of VAR precision matrices using stochastic block networks. (2024). Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Scheckel, Tobias. In: Papers. RePEc:arx:papers:2407.16349.

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2025Forecasting Credit Ratings: A Case Study where Traditional Methods Outperform Generative LLMs. (2025). Zohren, Stefan ; Pierrehumbert, Janet B ; Drinkall, Felix. In: Papers. RePEc:arx:papers:2407.17624.

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2025EUR-USD Exchange Rate Forecasting Based on Information Fusion with Large Language Models and Deep Learning Methods. (2024). Jiang, Zixiao ; Zhao, Xuanze ; Abdullah, Shamsul Nahar ; Ding, Hongcheng ; Dewi, Deshinta Arrova. In: Papers. RePEc:arx:papers:2408.13214.

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2024Dynamic Link and Flow Prediction in Bank Transfer Networks. (2024). Takahashi, Shu ; Kobayashi, Shumpei ; Kondo, Ryoma ; Hisano, Ryohei ; Yamamoto, Kento. In: Papers. RePEc:arx:papers:2409.08718.

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2024Underlying Core Inflation with Multiple Regimes. (2024). Rodriguez-Rondon, Gabriel. In: Papers. RePEc:arx:papers:2411.12845.

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2025Probabilistic Targeted Factor Analysis. (2025). Montoya-Bland, Santiago ; Herculano, Miguel C. In: Papers. RePEc:arx:papers:2412.06688.

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2025VAR models with an index structure: A survey with new results. (2024). Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2412.11278.

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2024Dual Interpretation of Machine Learning Forecasts. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian ; Klieber, Karin. In: Papers. RePEc:arx:papers:2412.13076.

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2024A large non-Gaussian structural VAR with application to Monetary Policy. (2024). Pruser, Jan. In: Papers. RePEc:arx:papers:2412.17598.

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2025An Adaptive Moving Average for Macroeconomic Monitoring. (2025). Goulet Coulombe, Philippe ; Klieber, Karin. In: Papers. RePEc:arx:papers:2501.13222.

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2025Robust Quantile Factor Analysis. (2025). Feng, Junlong ; Chen, Songnian. In: Papers. RePEc:arx:papers:2501.15761.

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2025Quasi maximum likelihood estimation of high-dimensional approximate dynamic matrix factor models via the EM algorithm. (2025). Barigozzi, Matteo ; Trapin, Luca. In: Papers. RePEc:arx:papers:2502.04112.

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2025Grouped fixed effects regularization for binary choice models. (2025). Valentini, Francesco ; Pionati, Alessandro ; Pigini, Claudia. In: Papers. RePEc:arx:papers:2502.06446.

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2025Large Structural VARs with Multiple Sign and Ranking Restrictions. (2025). Matthes, Christian ; Chan, Joshua ; Yu, Xuewen. In: Papers. RePEc:arx:papers:2503.20668.

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2025Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD Dataset. (2025). Stauskas, Ovidijus ; Morico, Alessandro. In: Papers. RePEc:arx:papers:2504.08455.

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2025On Selection of Cross-Section Averages in Non-stationary Environments. (2025). Ditzen, Jan ; Stauskas, Ovidijus. In: Papers. RePEc:arx:papers:2505.08615.

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2025Large structural VARs with multiple linear shock and impact inequality restrictions. (2025). Berend, Lukas ; Pruser, Jan. In: Papers. RePEc:arx:papers:2505.19244.

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2025A Gibbs Sampler for Efficient Bayesian Inference in Sign-Identified SVARs. (2025). Arias, Jonas E ; Rubio-Ram, Juan F ; Shin, Minchul. In: Papers. RePEc:arx:papers:2505.23542.

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2025Testing Clustered Equal Predictive Ability with Unknown Clusters. (2025). Akgun, Oguzhan ; Urga, Giovanni ; Pirotte, Alain ; Yang, Zhenlin. In: Papers. RePEc:arx:papers:2507.14621.

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2025Binary Response Forecasting under a Factor-Augmented Framework. (2025). Yang, Xuanbin ; Liu, Fei ; Cong, Jiachen ; Cheng, Tingting. In: Papers. RePEc:arx:papers:2507.16462.

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2025A general randomized test for Alpha. (2025). Vallarino, Pierluigi ; Sarno, Lucio ; Trapani, Lorenzo ; Massacci, Daniele. In: Papers. RePEc:arx:papers:2507.17599.

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2025Partitioned Wild Bootstrap for Panel Data Quantile Regression. (2025). Lamarche, Carlos ; Galvao, Antonio ; Parker, Thomas. In: Papers. RePEc:arx:papers:2507.18494.

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2025How weak are weak factors? Uniform inference for signal strength in signal plus noise models. (2025). Sodin, Sasha ; Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2507.18554.

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2025Time-Varying Factor-Augmented Models for Volatility Forecasting. (2025). Chen, Elynn ; Mo, Junyi ; Li, Jiayu ; Zhang, Duo. In: Papers. RePEc:arx:papers:2508.01880.

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2025Two-Way Mean Group Estimators for Heterogeneous Panel Models with Fixed T. (2025). Su, Liangjun ; Lu, Xun. In: Papers. RePEc:arx:papers:2508.10302.

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2025Graph Learning for Foreign Exchange Rate Prediction and Statistical Arbitrage. (2025). Klabjan, Diego ; Hong, Yoonsik. In: Papers. RePEc:arx:papers:2508.14784.

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2025Bias Correction in Factor-Augmented Regression Models with Weak Factors. (2025). Yamagata, Takashi ; Uematsu, Yoshimasa ; Jiang, Peiyun. In: Papers. RePEc:arx:papers:2509.02066.

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2025Recidivism and Peer Influence with LLM Text Embeddings in Low Security Correctional Facilities. (2025). Nath, Shanjukta ; Hong, Jiwon ; Warren, Keith ; Paul, Subhadeep. In: Papers. RePEc:arx:papers:2509.20634.

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2025An alternative bootstrap procedure for factor-augmented regression models. (2025). Yamagata, Takashi ; Jiang, Peiyun. In: Papers. RePEc:arx:papers:2510.00947.

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2025Macroeconomic Forecasting for the G7 countries under Uncertainty Shocks. (2025). Sengupta, Shovon ; Singh, Sunny Kumar ; Chakraborty, Tanujit. In: Papers. RePEc:arx:papers:2510.23347.

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2025Semiparametric Estimation of Fractional Integration: An Evaluation of Local Whittle Methods. (2025). Blevins, Jason R. In: Papers. RePEc:arx:papers:2511.15689.

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2024Les politiques financières et réglementaires face aux enjeux climatiques. (2024). Serra, Damien ; Mlre, Laurent ; Lagarde, Marine ; Chetboun, David ; Kachenoura, Djedjiga. In: Working Paper. RePEc:avg:wpaper:fr17673.

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2024Decision Synthesis in Monetary Policy. (2024). Koop, Gary ; Chernis, Tony ; West, Mike ; Tallman, Emily. In: Staff Working Papers. RePEc:bca:bocawp:24-30.

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2024Machine Learning and Economic Forecasting: the role of international trade networks. (2024). Silva, Thiago ; Berri, Paulo Victor ; Amancio, Diego Raphael. In: Working Papers Series. RePEc:bcb:wpaper:597.

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2025Quantifying Uncertainty in France’s Debt Trajectory: A VAR Based Analysis. (2025). Cochard, Marion ; Baret, KA ; Bec, Frdrique. In: Working papers. RePEc:bfr:banfra:1019.

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2024The Transmission of Supply Shocks in Different Inflation Regimes. (2024). Enders, Zeno ; Arndt, Sarah. In: Working papers. RePEc:bfr:banfra:938.

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2024Should Central Banks Care About Text Mining? A Literature Review. (2024). Meunier, Baptiste ; bricongne, jean-charles ; Caldeira, Raquel. In: Working papers. RePEc:bfr:banfra:950.

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2024Unwinding Quantitative Easing: State Dependency and Household Heterogeneity. (2024). Meichtry, Pascal ; Cantore, Cristiano. In: Working papers. RePEc:bfr:banfra:955.

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2024Forecasting Inflation in Russia Using Gradient Boosting and Neural Networks. (2024). Dzhunkeev, Urmat. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:1:p:53-76.

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2025Forecasting Inflation Using News Indices. (2025). Volgina, Elizaveta. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:84:y:2025:i:1:p:26-59.

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2024Higher‐order moments and asset pricing in the Australian stock market. (2024). Ahadzie, Richard Mawulawoe ; Jeyasreedharan, Nagaratnam. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:75-128.

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2024Forecasting the UK top 1% income share in a shifting world. (2024). Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Economica. RePEc:bla:econom:v:91:y:2024:i:363:p:1047-1074.

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2024Efficient Market Hypothesis on the blockchain: A social‐media‐based index for cryptocurrency efficiency. (2024). Mazur, Mieszko ; Rubbaniy, Ghulame ; Polyzos, Efstathios. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:3:p:807-829.

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2024Economic impacts of the Black Sea Grain Initiative. (2024). Schaefer, K Aleks ; Johnson, Tuff ; Hilburn, Sidany ; Poursina, Davood. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:75:y:2024:i:1:p:457-464.

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2024Audit committee oversight and bank financial reporting quality. (2024). Wilson, John ; Chronopoulos, Dimitris K ; Rempoutsika, Lemonia M. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:51:y:2024:i:1-2:p:657-687.

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2024Euro area inflation in the era of COVID‐19: A permanent or a transitory phenomenon?. (2024). Apergis, Nicholas. In: Manchester School. RePEc:bla:manchs:v:92:y:2024:i:3:p:231-245.

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2025Drivers of COVID-19 in U.S. counties: A wave-level analysis. (2024). Otero, Jesus ; HENRY, MIGUEL ; Garcia-Suaza, Andres ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1067.

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2024Frontier markets sovereign risk: New evidence from spatial econometric models. (2024). Telila, Henok Fasil. In: French Stata Users' Group Meetings 2024. RePEc:boc:fsug24:10.

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2024Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects. (2024). LINTON, OLIVER ; Walsh, C ; Vogt, M ; Raucker, M. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2467.

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2025My neighbours neighbour is not my neighbour: Instrumentation and causality in spatial models. (2025). Ditzen, Jan ; Bailey, Natalia ; Holly, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2501.

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2024Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects. (2024). Walsh, C ; Vogt, M ; Rcker, M ; Linton, O B. In: Janeway Institute Working Papers. RePEc:cam:camjip:2429.

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2024Do Professional Forecasters Follow Uncovered Interest Rate Parity?. (2024). Bürgi, Constantin ; Brgi, Constantin ; Song, Mengdi. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11338.

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2024How to Detect Network Dependence in Latent Factor Models? A Bias-Corrected CD Test. (2024). Pesaran, Hashem M ; Xie, Yimeng. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11470.

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2025The Micro and Macro Effects of Changes in the Potential Benefit Duration. (2025). Jessen, Jonas ; Gałecka-Burdziak, Ewa ; Kluve, Jochen ; Gra, Marek ; Gaecka-Burdziak, Ewa. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11849.

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2024A Vector Multiplicative Error Model with Spillover Effects and Co-movements. (2024). Otranto, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:202404.

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2024Harnessing Machine Learning for Real-Time Inflation Nowcasting. (2024). Schnorrenberger, Richard ; Moura, Guilherme Valle ; Schmidt, Aishameriane. In: Working Papers. RePEc:dnb:dnbwpp:806.

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2025Measuring the Spillovers of US Unconventional Surprises across Monetary Conditions with Local Projections. (2025). Chantaraboontha, Arisa. In: ISER Discussion Paper. RePEc:dpr:wpaper:1276.

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2024A panel data analysis of the long-run effect of environmental taxes on R&D expenditures at the macro-level. (2024). Herzer, Dierk. In: Economics Bulletin. RePEc:ebl:ecbull:eb-24-00331.

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2024The role of comovement and time-varying dynamics in forecasting commodity prices. (2024). Venditti, Fabrizio ; Allayioti, Anastasia. In: Working Paper Series. RePEc:ecb:ecbwps:20242901.

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2024Nowcasting consumer price inflation using high-frequency scanner data: evidence from Germany. (2024). Wieland, Elisabeth ; Menz, Jan-Oliver ; Carstensen, Kai ; Schnorrenberger, Richard ; Beck, Gunter W. In: Working Paper Series. RePEc:ecb:ecbwps:20242930.

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2025Word2Prices: embedding central bank communications for inflation prediction. (2025). Lenza, Michele ; Comazzi, Fabio Alberto ; Araujo, Douglas ; Bokan, Nikola. In: Working Paper Series. RePEc:ecb:ecbwps:20253047.

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2025What can newspaper articles reveal about the euro area economy?. (2025). Saiz, Lorena ; Magro, Manuel Medina. In: Working Paper Series. RePEc:ecb:ecbwps:20253122.

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2024Interaction between Migration and Economic Growth through Unemployment in the Context of Political Instability in the MENA Region. (2024). Mtiraoui, Abderraouf. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-01-18.

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2024Foreign Direct Investment and Domestic Private Investment in WAEMU Countries: Crowding-in or Crowding-out?. (2024). Mano, Hahandou. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-03-7.

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2024Achieving net-zero emission target in Africa: Are sustainable energy innovations and financialization crucial for environmental sustainability of sub-Saharan African state?. (2024). Onifade, Stephen Taiwo ; Musah, Mohammed ; Ankrah, Isaac ; Amoako, George Kofi ; Gyamfi, Bright Akwasi. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005038.

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2025Assessment of the causal links between energy, technologies, and economic growth in China: An application of wavelet coherence and hybrid quantile causality approaches. (2025). Ullah, Assad ; Chen, Yufeng ; Ur, Zia. In: Applied Energy. RePEc:eee:appene:v:377:y:2025:i:pa:s030626192401852x.

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2024Bayesian estimation of large-scale simulation models with Gaussian process regression surrogates. (2024). Barde, Sylvain. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:196:y:2024:i:c:s0167947324000562.

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2024Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999.

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2025Judgment can spur long memory. (2025). Zanetti Chini, Emilio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:170:y:2025:i:c:s0165188924001970.

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2024Regional heterogeneity and the provincial Phillips curve in China. (2024). Tochkov, Kiril ; El-Shagi, Makram. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:81:y:2024:i:c:p:1036-1044.

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2024Analyzing the degree persistence of shocks to energy security of the G7 countries: Evidence using panel SPSM-quantile unit root test. (2024). Fan, YI ; Chang, Tsangyao ; Ranjbar, Omid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:389-399.

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2024Fiscal policy reactions and impact over the labor income distribution. (2024). Murray, James. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:83:y:2024:i:c:p:701-718.

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2024Regulatory Effects of the Combinations of Aggregate and Structural Monetary Policy Instruments: an application of New Keynesian DSGE model to China. (2024). Wang, Li-Hui ; Li, Fu-An. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:84:y:2024:i:c:p:1120-1143.

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2024Extreme time-frequency connectedness between energy sector markets and financial markets. (2024). Belghouthi, Houssem Eddine ; Alomari, Mohammed ; Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:84:y:2024:i:c:p:847-877.

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2024Do tax revenues track economic growth? Comparing panel data estimators. (2024). Corrales, Juan Sebastian ; Angel, Juan Pablo ; Cornevin, Antoine. In: Economic Modelling. RePEc:eee:ecmode:v:140:y:2024:i:c:s0264999324002244.

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2025Do green policies enhance short-term economic growth? Assessing EU Recovery and Resilience Plans through the lens of Sustainable Development Goals. (2025). Mustica, Paolo ; Millemaci, Emanuele ; Limosani, Michele. In: Economic Modelling. RePEc:eee:ecmode:v:147:y:2025:i:c:s0264999325000392.

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2025A multi-factor GDP nowcast model for India. (2025). Ranjan, Abhishek ; Kaustubh, Kaustubh. In: Economic Modelling. RePEc:eee:ecmode:v:147:y:2025:i:c:s0264999325000483.

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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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2022A New Test for Market Efficiency and Uncovered Interest Parity In: Papers.
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2023Deep Neural Network Estimation in Panel Data Models In: Papers.
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2024Heterogeneous Grouping Structures in Panel Data In: Papers.
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2024Investor behavior and multiscale cross-correlations: Unveiling regime shifts in global financial markets 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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2017Large time-varying parameter VARs: a non-parametric approach In: Temi di discussione (Economic working papers).
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2005Testing for Neglected Nonlinearity in Long Memory Models.(2005) In: Working Papers.
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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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2007Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation.(2007) 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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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: 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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2014Generalised Density Forecast Combinations.(2014) In: CAMA Working Papers.
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2014Estimating time-varying DSGE models using minimum distance methods In: Bank of England 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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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: 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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2016On the estimation of short memory components in long memory time series models In: Studies in Nonlinear Dynamics & Econometrics.
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2003Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses In: Studies in Nonlinear Dynamics & Econometrics.
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2007Testing for Strict Stationarity In: Working Papers.
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2007A Test for Serial Dependence Using Neural Networks In: Working Papers.
[Full Text][Citation analysis]		paper0
2007Forecasting Large Datasets with Reduced Rank Multivariate Models In: Working Papers.
[Full Text][Citation analysis]		paper2
2007The Elusive Persistence: Wage and Price Rigidities, the Phillips Curve, and Inflation Dynamics In: Working Papers.
[Full Text][Citation analysis]		paper7
2008Forecasting with Dynamic Models using Shrinkage-based Estimation In: Working Papers.
[Full Text][Citation analysis]		paper1
2010A Nonlinear Panel Model of Cross-sectional Dependence In: Working Papers.
[Full Text][Citation analysis]		paper0
2011Block Bootstrap and Long Memory In: Working Papers.
[Full Text][Citation analysis]		paper4
2015A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models In: Working Papers.
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2019Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model In: Working Papers.
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[Full Text][Citation analysis]		paper0
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[Full Text][Citation analysis]		paper0
2002Unit Root Tests in Three-Regime SETAR Models In: Working Papers.
[Full Text][Citation analysis]		paper46
2002Factor Analysis Using Subspace Factor Models: Some Theoretical Results and an Application to UK Inflation Forecasting In: Working Papers.
[Full Text][Citation analysis]		paper5
2002A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models In: Working Papers.
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2002Bootstrap Statistical Tests of Rank Determination for System Identification In: Working Papers.
[Full Text][Citation analysis]		paper0
2002Unit Root Testing against the Alternative Hypothesis of up to m Structural Breaks In: Working Papers.
[Full Text][Citation analysis]		paper49
2002Testing for Structural Breaks in Nonlinear Dynamic Models Using Artificial Neural Network Approximations In: Working Papers.
[Full Text][Citation analysis]		paper3
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2002Testing for Neglected Nonlinearity in Long Memory Models In: Working Papers.
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[Full Text][Citation analysis]		paper2
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2010A Nonlinear Panel Model of Cross-sectional Dependence In: Working Papers.
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2011Block Bootstrap and Long Memory In: Working Papers.
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2012Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change In: Working Papers.
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2014Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market In: Working Papers.
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2008Breaks in DSGE models In: 2008 Meeting Papers.
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2017Inference for impulse response coefficients from multivariate fractionally integrated processes.(2017) In: Econometric Reviews.
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2003Structural Breaks in Inflation Dynamics In: Computing in Economics and Finance 2003.
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2019Exponent of Cross-sectional Dependence for Residuals.(2019) In: Sankhya B: The Indian Journal of Statistics.
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