George Kapetanios

King's College, London

Professor

30 Aldwych

London, WC2B 4BG

United Kingdom

SCHOLARLY PAPERS

109

DOWNLOADS
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12,133

SSRN CITATIONS
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SSRN RANKINGS

Top 1,733

in Total Papers Citations

248

CROSSREF CITATIONS

491

Scholarly Papers (109)

1.

Assessing the Economy-Wide Effects of Quantitative Easing

Bank of England Working Paper No. 443
Number of pages: 45 Posted: 27 Jan 2012
King's College, London, Bank of EnglandUniversity of London - School of Sciences, Bank of England and Cardiff University
Downloads 723 (46,224)
Citation 49

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

2.

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

U of London Queen Mary Economics Working Paper No. 490
Number of pages: 31 Posted: 09 Jun 2003
George Kapetanios and Melvyn Weeks
King's College, London and University of Cambridge - Faculty of Economics and Politics
Downloads 514 (71,650)
Citation 3

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3.

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

Bank of England Working Paper No. 182
Number of pages: 30 Posted: 03 Sep 2003
Valerie Herzberg, George Kapetanios and Simon Price
Bank of England, King's College, London and Essex Business School
Downloads 439 (86,616)
Citation 19

Abstract:

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Import prices, exchange rates, pass-through, thresholds

4.

Big Data Econometrics: Now Casting and Early Estimates

BAFFI CAREFIN Centre Research Paper No. 2018-82
Number of pages: 53 Posted: 02 Jul 2018
Bocconi University - Department of Economics, Quantf Research, Eurostat, King's College, London and Eurostat, European CommissionEurostat, European Commission
Downloads 385 (100,789)
Citation 2

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Big Data, Nowcasting, Early Estimates, Econometric Methods

5.
Downloads 363 (107,735)
Citation 2

Big Data Analytics: A New Perspective

CESifo Working Paper Series No. 5824
Number of pages: 84 Posted: 21 Apr 2016
Alexander Chudik, George Kapetanios and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, King's College, London and University of Southern California - Department of Economics
Downloads 187 (209,455)

Abstract:

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

Big Data Analytics: A New Perspective

USC-INET Research Paper No. 16-04
Number of pages: 84 Posted: 13 Mar 2016
Alexander Chudik, George Kapetanios and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, King's College, London and University of Southern California - Department of Economics
Downloads 99 (344,471)
Citation 1

Abstract:

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

Big Data Analytics: A New Perspective

Globalization and Monetary Policy Institute Working Paper No. 268
Number of pages: 83 Posted: 03 Mar 2016
Alexander Chudik, George Kapetanios and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, King's College, London and University of Southern California - Department of Economics
Downloads 77 (402,868)

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6.

A Dynamic Factor Analysis of Financial Contagion in Asia

Queen Mary Economics Working Paper No. 498
Number of pages: 17 Posted: 09 Oct 2003
Andrea Cipollini, Andrea Cipollini and George Kapetanios
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and King's College, London
Downloads 332 (118,908)

Abstract:

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Financial contagion, Dynamic factor model

7.

Testing for Cointegration in Nonlinear Star Error Correction Models

U of London Queen Mary Economics Working Paper No. 497
Number of pages: 27 Posted: 31 Aug 2003
George Kapetanios, Yongcheol Shin and Andy Snell
King's College, London, Independent and University of Edinburgh - Economics
Downloads 327 (120,885)
Citation 14

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

8.

Measuring Conditional Persistence in Time Series

U of London Queen Mary Economics Working Paper No. 474
Number of pages: 29 Posted: 03 Feb 2003
George Kapetanios
King's College, London
Downloads 326 (121,282)

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Persistence, Nonparametric Regression, Nonlinear Models, Real Exchange Rates

9.

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

U of London Queen Mary Economics Working Paper No. 489
Number of pages: 53 Posted: 12 May 2003
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and Bocconi University - Department of Economics
Downloads 289 (137,909)
Citation 21

Abstract:

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10.

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

Bank of England Working Paper No. 542
Number of pages: 33 Posted: 16 Aug 2015
Bank of England - Monetary Analysis, Bank of England - Monetary Analysis, King's College, London and Cardiff University
Downloads 262 (152,362)
Citation 23

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

11.

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

Number of pages: 65 Posted: 17 Dec 2013 Last Revised: 29 Jul 2019
King's College, London, University of Manchester - Manchester Business School, Independent and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 254 (157,293)
Citation 2

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

12.

Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis

Journal of Empirical Finance, Vol. 16, No. 2, 2009
Number of pages: 25 Posted: 23 Aug 2005 Last Revised: 18 May 2009
Andrea Cipollini, Andrea Cipollini and George Kapetanios
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS and King's College, London
Downloads 252 (158,538)

Abstract:

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Financial contagion, dynamic factor model

13.

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

U of London Queen Mary Economics Working Paper No. 470
Number of pages: 37 Posted: 15 Jan 2003
George Kapetanios
King's College, London
Downloads 225 (176,751)
Citation 1

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14.

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

U of London Queen Mary Economics Working Paper No. 469
Number of pages: 20 Posted: 15 Jan 2003
George Kapetanios
King's College, London
Downloads 216 (183,669)
Citation 12

Abstract:

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Unit Root, Structural Break

15.

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

Number of pages: 42 Posted: 18 Feb 2005
M. Hashem Pesaran and George Kapetanios
University of Southern California - Department of Economics and King's College, London
Downloads 213 (186,082)
Citation 2

Abstract:

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

16.

Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting

FRB of New York Staff Report No. 327
Number of pages: 46 Posted: 22 May 2008 Last Revised: 28 Sep 2009
Jan J. Groen and George Kapetanios
Federal Reserve Bank of New York and King's College, London
Downloads 203 (194,633)
Citation 22

Abstract:

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

17.

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

U of London Queen Mary Economics Working Paper No. 467
Number of pages: 14 Posted: 15 Jan 2003
George Kapetanios
King's College, London
Downloads 197 (199,955)
Citation 2

Abstract:

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ARMA Models

18.

A Nonlinear Approach to Public Finance Sustainability in Latin America

U of London Queen Mary Economics Working Paper No. 486
Number of pages: 20 Posted: 07 Aug 2003
University of Athens - Faculty of EconomicsUnivesrity of Athens, King's College, London and City University of New York (CUNY) - Brooklyn College & the Graduate Center - Department of Economics
Downloads 195 (201,831)
Citation 2

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19.

Making Text Count: Economic Forecasting Using Newspaper Text

Bank of England Working Paper No. 865
Number of pages: 49 Posted: 01 Jun 2020
King's College London, Bank of England, International Monetary Fund (IMF), King's College, London and Bank of EnglandEuropean Central Bank (ECB)
Downloads 184 (212,583)
Citation 1

Abstract:

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Text, forecasting, machine learning

20.

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

Queen Mary, University of London Economics Working Paper No. 517
Number of pages: 32 Posted: 26 Jul 2004
University of Athens - Faculty of EconomicsUnivesrity of Athens and King's College, London
Downloads 170 (227,492)
Citation 15

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

21.

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

U of London Queen Mary Economics Working Paper No. 466
Number of pages: 25 Posted: 19 Feb 2003
George Kapetanios
King's College, London
Downloads 161 (238,147)
Citation 2

Abstract:

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Factor Models, Subspace Methods, State Space Models

22.

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

Globalization and Monetary Policy Institute Working Paper No. 290
Number of pages: 84 Posted: 22 Nov 2016
Alexander Chudik, George Kapetanios and M. Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas, King's College, London and University of Southern California - Department of Economics
Downloads 155 (245,826)
Citation 10

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Exponent of Cross-Sectional Dependence: Estimation and Inference

CESifo Working Paper Series No. 3722
Number of pages: 46 Posted: 05 Feb 2012
Natalia Bailey, George Kapetanios and M. Hashem Pesaran
Monash University, King's College, London and University of Southern California - Department of Economics
Downloads 115 (310,474)

Abstract:

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

Exponent of Cross-Sectional Dependence: Estimation and Inference

Number of pages: 47 Posted: 12 Feb 2012
Natalia Bailey, George Kapetanios and M. Hashem Pesaran
Monash University, King's College, London and University of Southern California - Department of Economics
Downloads 38 (561,361)
Citation 10

Abstract:

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

24.

Testing for Neglected Nonlinearity in Long Memory Models

U of London Queen Mary Economics Working Paper No. 473
Number of pages: 21 Posted: 14 Jan 2003
George Kapetanios
King's College, London
Downloads 152 (249,938)

Abstract:

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Long Memory, Nonlinearity, Neural Networks, Real Exchange Rates

25.

Measurement of Factor Strenght: Theory and Practice

CESifo Working Paper No. 8146
Number of pages: 106 Posted: 11 Mar 2020
Natalia Bailey, George Kapetanios and M. Hashem Pesaran
Monash University, King's College, London and University of Southern California - Department of Economics
Downloads 150 (252,623)
Citation 1

Abstract:

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factor models, factor strength, measures of pervasiveness, cross-sectional dependence, market factor

26.

Determining the Poolability of Individual Series in Panel Datasets

U of London Queen Mary Economics Working Paper No. 499
Number of pages: 18 Posted: 06 Sep 2003
George Kapetanios
King's College, London
Downloads 147 (256,701)
Citation 6

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Panel datasets, Poolability, Sequential testing

27.
Downloads 142 (263,997)
Citation 2

Estimating the Rank of the Spectral Density Matrix

Number of pages: 30 Posted: 10 Sep 2004
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 118 (304,824)

Abstract:

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tests of rank, spectral density matrix

Estimating the Rank of the Spectral Density Matrix

Number of pages: 12 Posted: 06 Jan 2005
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 24 (650,615)
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Tests of rank, spectral density matrix

A Similarity-Based Approach for Macroeconomic Forecasting

Number of pages: 36 Posted: 17 Feb 2019
University of Cyprus - Department of Accounting and Finance, King's College, London and Bocconi University - Department of Economics
Downloads 141 (266,340)
Citation 1

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

A Similarity-Based Approach for Macroeconomic Forecasting

Number of pages: 33 Posted: 25 Mar 2020
University of Cyprus - Department of Accounting and Finance, King's College, London and Bocconi University - Department of Economics
Downloads 0
Citation 4
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empirical similarity, Forecast comparison, Kernel estimation, Macroeconomic forecasting, parameter time variation

29.
Downloads 141 (265,441)
Citation 17

Unit Root Tests in Three-Regime Setar Models

U of London Queen Mary Economics Working Paper No. 465
Number of pages: 37 Posted: 30 Jan 2003
George Kapetanios and Yongcheol Shin
King's College, London and Independent
Downloads 118 (304,824)
Citation 6

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

Unit Root Tests in Three-Regime Setar Models

Econometrics Journal, Vol. 9, No. 2, pp. 252-278, July 2006
Number of pages: 27 Posted: 03 Jul 2006
George Kapetanios and Yongcheol Shin
King's College, London and Independent
Downloads 23 (658,145)
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30.

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

Bank of England Working Paper No. 311, U of London Queen Mary Economics Working Paper No. 484
Number of pages: 23 Posted: 03 Apr 2003
University of Athens - Faculty of EconomicsUnivesrity of Athens and King's College, London
Downloads 135 (274,588)
Citation 5

Abstract:

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

31.

Testing for Nonstationary Long Memory Against Nonlinear Ergodic Models

U of London Queen Mary Economics Working Paper No. 500
Number of pages: 39 Posted: 21 Aug 2003
George Kapetanios and Yongcheol Shin
King's College, London and Independent
Downloads 132 (279,227)
Citation 6

Abstract:

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Nonlinearity, Long Memory, ESTAR Models, SETAR Models

32.

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

Bank of England Working Paper No. 268
Number of pages: 45 Posted: 19 Oct 2005
George Kapetanios, Vincent Labhard and Simon Price
King's College, London, European Central Bank (ECB) - Directorate General Economics and Essex Business School
Downloads 131 (280,801)
Citation 2

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

33.

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

Bank of England Working Paper No. 323
Number of pages: 49 Posted: 22 Aug 2007
George Kapetanios, Vincent Labhard and Simon Price
King's College, London, European Central Bank (ECB) - Directorate General Economics and Essex Business School
Downloads 130 (282,403)
Citation 8

Abstract:

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Forecasting, forecast combining

34.

Panels with Nonstationary Multifactor Error Structures

Number of pages: 34 Posted: 17 Aug 2006
George Kapetanios, M. Hashem Pesaran and Takashi Yamagata
King's College, London, University of Southern California - Department of Economics and University of Cambridge - Faculty of Economics and Politics
Downloads 127 (287,472)
Citation 3

Abstract:

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

35.

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

University of London, Economics Working Paper No. 471
Number of pages: 21 Posted: 17 May 2003
George Kapetanios
King's College, London
Downloads 126 (289,217)
Citation 4

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36.

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

U of London Queen Mary Economics Working Paper No. 496
Number of pages: 21 Posted: 31 Aug 2003
Andrew P. Blake and George Kapetanios
Bank of England - CCBS and King's College, London
Downloads 122 (296,145)
Citation 1

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Nonlinearity, ARCH, Neural Networks

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

IGIER Working Paper No. 306
Number of pages: 38 Posted: 31 Mar 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and Bocconi University - Department of Economics
Downloads 107 (326,798)

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Factor models, Principal components, Subspace algorithms, Structural

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

Number of pages: 39 Posted: 05 Jul 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and Bocconi University - Department of Economics
Downloads 14 (730,374)
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Factor models, principal components, subspace algorithms, structural identification, structural VAR

38.

Nonlinear Autoregressive Models and Long Memory

Queen Mary, University of London Economics Working Paper No. 516
Number of pages: 15 Posted: 26 Jul 2004
George Kapetanios
King's College, London
Downloads 120 (299,729)

Abstract:

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Long memory, nonlinearity

39.

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

ECB Working Paper No. 850
Number of pages: 41 Posted: 27 Jan 2008
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 115 (308,837)

Abstract:

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multiple time series, model specification, tests of rank

40.

GLS Detrending for Nonlinear Unit Root Tests

U of London Queen Mary Economics Working Paper No. 472
Number of pages: 28 Posted: 15 Jan 2003
George Kapetanios and Yongcheol Shin
King's College, London and Independent
Downloads 115 (308,837)
Citation 2

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41.

Forecasting Euro Area Inflation Using Dynamic Factor Measures of Underlying Inflation

Number of pages: 34 Posted: 13 Dec 2004
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 113 (312,685)

Abstract:

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Core Inflation, Dynamic Factor Models, Forecasting

Detection of Units with Pervasive Effects in Large Panel Data Models

USC-INET Research Paper No. 19-09
Number of pages: 94 Posted: 04 Dec 2018 Last Revised: 26 Apr 2019
George Kapetanios, M. Hashem Pesaran and Simon Reese
King's College, London, University of Southern California - Department of Economics and USC Dornsife Institute for New Economic Thinking
Downloads 78 (399,856)
Citation 5

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

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

CESifo Working Paper No. 7401
Number of pages: 90 Posted: 21 Feb 2019
George Kapetanios, M. Hashem Pesaran and Simon Reese
King's College, London, University of Southern California - Department of Economics and USC Dornsife Institute for New Economic Thinking
Downloads 34 (584,018)

Abstract:

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dominant units, factor models, systemic risk, cross-sectional dependence, networks

43.

A New Nonparametric Test of Cointegration Rank

U of London Queen Mary Economics Working Paper No. 482
Number of pages: 17 Posted: 15 Feb 2003
George Kapetanios
King's College, London
Downloads 109 (320,580)

Abstract:

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Cointegration rank, Nonparametric Analysis

44.

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

U of London Queen Mary Economics Working Paper No. 485
Number of pages: 14 Posted: 29 Mar 2003
University of Athens - Faculty of EconomicsUnivesrity of Athens, King's College, London and City University of New York (CUNY) - Brooklyn College & the Graduate Center - Department of Economics
Downloads 107 (324,734)
Citation 4

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45.

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

Number of pages: 40 Posted: 23 Dec 2015 Last Revised: 11 Jun 2021
Gustavo Fruet Dias and George Kapetanios
University of East Anglia (UEA) - School of Economics and King's College, London
Downloads 105 (328,807)
Citation 1

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

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

IGIER Working Paper No. 305
Number of pages: 34 Posted: 31 Mar 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and Bocconi University - Department of Economics
Downloads 83 (385,246)
Citation 11

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Factor models, Principal components, Subspace algorithms

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

Number of pages: 35 Posted: 05 Jul 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and Bocconi University - Department of Economics
Downloads 21 (673,540)
Citation 1
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factor models, principal components, subspace algorithms

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

Journal of Time Series Analysis, Vol. 30, Issue 2, pp. 208-238, March 2009
Number of pages: 31 Posted: 27 Apr 2009
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and Bocconi University - Department of Economics
Downloads 1 (851,145)
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47.

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

U of London Queen Mary Economics Working Paper No. 494
Number of pages: 40 Posted: 31 Aug 2003
George Kapetanios
King's College, London
Downloads 100 (339,623)
Citation 1

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

quantf research Working Paper Series: WP09/2014
Number of pages: 23 Posted: 02 Jun 2014
European Central Bank (ECB), King's College, London, Quantf Research and National Institute of Economic and Social Research (NIESR)
Downloads 50 (502,230)

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

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

ECB Working Paper No. 1773
Number of pages: 33 Posted: 02 Apr 2015
European Central Bank (ECB), King's College, London, Quantf Research and National Institute of Economic and Social Research (NIESR)
Downloads 42 (540,427)

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

49.

Testing for Exogeneity in Nonlinear Threshold Models

Queen Mary, University of London Economics Working Paper No. 515
Number of pages: 23 Posted: 26 Jul 2004
George Kapetanios
King's College, London
Downloads 90 (363,173)
Citation 1

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Threshold models, endogeneity, bootstrap

50.

Cross-Validation Based Covariance Shrinkage in Portfolio Selection

quantf research Working Paper Series: WP03/2014
Number of pages: 33 Posted: 02 Jun 2014
Fotis Papailias and George Kapetanios
Quantf Research and King's College, London
Downloads 88 (368,247)

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Covariance Matrix, Shrinkage Methods, Portfolio Optimisation

51.

Forecasting with Measurement Errors in Dynamic Models

Number of pages: 27 Posted: 21 Feb 2005
Richard Harrison, George Kapetanios and Anthony Yates
Bank of England - Monetary Analysis, King's College, London and Bank of England - Monetary Analysis
Downloads 88 (368,247)
Citation 3

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52.
Downloads 87 (370,757)
Citation 12

Generalised Density Forecast Combinations

Bank of England Working Paper No. 492
Number of pages: 41 Posted: 05 Apr 2014
Nicholas Fawcett, George Kapetanios, James Mitchell and Simon Price
Bank of England, King's College, London, Federal Reserve Banks - Federal Reserve Bank of Cleveland and Essex Business School
Downloads 53 (489,135)
Citation 14

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Density Forecasting, Model Combination, Scoring Rules

Generalised Density Forecast Combinations

CAMA Working Paper No. 24/2014
Number of pages: 39 Posted: 06 Mar 2014 Last Revised: 07 Mar 2014
Nicholas Fawcett, George Kapetanios, James Mitchell and Simon Price
Bank of England, King's College, London, Federal Reserve Banks - Federal Reserve Bank of Cleveland and Essex Business School
Downloads 34 (584,018)
Citation 6

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Density Forecasting, Model Combination, Scoring Rules

53.

Testing the Rank of the Hankel Matrix: A Statistical Approach

Number of pages: 25 Posted: 26 Feb 2003
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 86 (373,487)

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

54.

Shifts in Volatility Driven by Large Stock Market Shocks

Number of pages: 43 Posted: 08 Apr 2012
Yiannis Dendramis, George Kapetanios and Elias Tzavalis
University of Cyprus - Department of Accounting and Finance, King's College, London and Athens University of Economics and Business - Department of Economics
Downloads 85 (376,178)
Citation 1

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Stochastic volatility, structural breaks

55.

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

Bank of England Working Paper No. 176
Number of pages: 29 Posted: 12 Aug 2003
Hasan Bakhshi, George Kapetanios and Anthony Yates
Bank of England - Monetary Analysis, King's College, London and Bank of England - Monetary Analysis
Downloads 83 (381,550)
Citation 2

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Fixed-event forecasts, rational expectations, forecast efficiency

56.

Spectral Based Methods to Identify Common Trends and Common Cycles

Number of pages: 19 Posted: 20 Feb 2003
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 81 (387,117)

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Tests of Rank, Spectral Density Matrix, Canonical Correlations

57.

A State Space Approach to Extracting the Signal from Uncertain Data

Bank of England Working Paper No. 336
Number of pages: 45 Posted: 03 Jan 2008
Bank of England, Bank of England - Monetary Analysis, Bank of England, King's College, London and European Central Bank (ECB) - Directorate General Economics
Downloads 78 (395,654)
Citation 9

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58.

A Note on Covariance Stationarity Conditions for Dynamic Random Coefficient Models

U of London Queen Mary Economics Working Paper No. 475
Number of pages: 11 Posted: 03 Feb 2003
George Kapetanios
King's College, London
Downloads 75 (404,488)

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Stationarity, Random Coefficient Models

59.

Determining the Stationarity Properties of Individual Series in Panel Datasets

U of London Queen Mary Economics Working Paper No. 495
Number of pages: 28 Posted: 31 Aug 2003
George Kapetanios
King's College, London
Downloads 74 (407,536)
Citation 5

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

Bank of Italy Temi di Discussione (Working Paper) No. 1122
Number of pages: 63 Posted: 28 Aug 2017
King's College, London, Bocconi University - Department of Economics and Bank of Italy
Downloads 71 (421,841)
Citation 21

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

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

Number of pages: 57 Posted: 10 Oct 2016
King's College, London, Bocconi University - Department of Economics and Bank of Italy
Downloads 1 (851,145)
Citation 4
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61.

Forecasting in the Presence of Recent Structural Change

Bank of England Working Paper No. 406
Number of pages: 49 Posted: 05 Dec 2010
Jana Eklund, George Kapetanios and Simon Price
Bank of England - Monetary Analysis, King's College, London and Essex Business School
Downloads 70 (420,030)
Citation 13

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monitoring, recent structural change, forecast combination, robust forecasts

Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change

Bank of England Working Paper No. 490
Number of pages: 38 Posted: 05 Apr 2014
Liudas Giraitis, George Kapetanios and Simon Price
Queen Mary, King's College, London and Essex Business School
Downloads 39 (556,015)
Citation 5

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Recent and ongoing structural change, forecast combination, robust forecasts

63.

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

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 37 Posted: 25 Aug 2011
Konstantinos Baltas and George Kapetanios
University of London - Queen Mary College - School of Economics and Finance and King's College, London
Downloads 68 (426,546)

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

64.

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

quantf research Working Paper Series: WP08/2014
Number of pages: 36 Posted: 02 Jun 2014
King's College, London, Bocconi University - Department of Economics and Quantf Research
Downloads 67 (429,882)
Citation 3

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

65.

Structural Breaks in Stock Returns Driven by Large Shocks

Number of pages: 23 Posted: 28 Sep 2013 Last Revised: 30 Sep 2013
Yiannis Dendramis, George Kapetanios and Elias Tzavalis
University of Cyprus - Department of Accounting and Finance, King's College, London and Athens University of Economics and Business - Department of Economics
Downloads 66 (433,313)

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

66.

Bootstrap Statistical Tests of Rank Determination for System Identification

U of London Queen Mary Economics Working Paper No. 468
Number of pages: 23 Posted: 26 Feb 2003
Gonzalo Camba-Mendez and George Kapetanios
European Central Bank (ECB) and King's College, London
Downloads 66 (433,313)

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

67.
Downloads 40 (436,755)
Citation 3

Exponent of Cross-Sectional Dependence for Residuals

USC-INET Research Paper No. 19-01
Number of pages: 58 Posted: 11 Oct 2018
Natalia Bailey, George Kapetanios and M. Hashem Pesaran
Monash University, King's College, London and University of Southern California - Department of Economics
Downloads 40 (550,740)

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

68.

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

quantf research Working Paper Series: WP04/2014
Number of pages: 21 Posted: 02 Jun 2014
King's College, London, Bocconi University - Department of Economics and Quantf Research
Downloads 64 (440,181)
Citation 2

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Heuristic optimisation, Information criteria, Unbalanced datasets, Model Reduction, Forecasting, PEEI

69.

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

Bank of England Working Paper No. 238
Number of pages: 35 Posted: 21 Feb 2005
George Kapetanios and Anthony Yates
King's College, London and Bank of England - Monetary Analysis
Downloads 62 (447,188)
Citation 2

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

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

Bank of England Working Paper No. 699
Number of pages: 32 Posted: 12 Dec 2017
George Kapetanios, Simon Price and Garry Young
King's College, London, Essex Business School and National Institute of Economic and Social Research
Downloads 45 (525,491)
Citation 1

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

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

CAMA Working Paper No. 58/2017
Number of pages: 32 Posted: 13 Sep 2017
George Kapetanios, Simon Price and Garry Young
King's College, London, Essex Business School and National Institute of Economic and Social Research
Downloads 16 (713,588)

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

71.

Estimating Time-Varying DSGE Models Using Minimum Distance Methods

Bank of England Working Paper No. 507
Number of pages: 39 Posted: 28 Aug 2014
Queen Mary, King's College, London, Cardiff University and University of Bristol
Downloads 59 (458,088)
Citation 9

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

Model Selection Criteria for Factor-Augmented Regressions

FRB of New York Staff Report No. 363
Number of pages: 29 Posted: 24 Feb 2009 Last Revised: 30 May 2012
Jan J. Groen and George Kapetanios
Federal Reserve Bank of New York and King's College, London
Downloads 57 (472,964)
Citation 6

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factor models, information criteria, macroeconomic forecasting

Model Selection Criteria for Factor‐Augmented Regressions

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 1, pp. 37-63, 2013
Number of pages: 27 Posted: 23 Dec 2012
Jan J. Groen and George Kapetanios
Federal Reserve Bank of New York and King's College, London
Downloads 1 (851,145)
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73.

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

U of London Queen Mary Economics Working Paper No. 483
Number of pages: 13 Posted: 15 Feb 2003
George Kapetanios
King's College, London
Downloads 58 (461,879)
Citation 1

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Common cycles and trends, Tests of rank, Cointegration

74.

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

ECB Working Paper No. 1051
Number of pages: 39 Posted: 13 May 2009
Giovanni Caggiano, George Kapetanios and Vincent Labhard
Department of Economics, Monash University, King's College, London and European Central Bank (ECB) - Directorate General Economics
Downloads 56 (469,390)
Citation 1

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Factors, Large Datasets, Forecast Combinations

75.
Downloads 53 (481,045)
Citation 1

Time-varying Cointegration and the UK Great Ratios

Bank of England Working Paper No. 789
Number of pages: 40 Posted: 19 Apr 2019
George Kapetanios, Stephen Millard, Katerina Petrova and Simon Price
King's College, London, Bank of England, University of St Andrews and Essex Business School
Downloads 44 (530,363)
Citation 1

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Time variation, great ratios, cointegration

Time Varying Cointegration and the UK Great Ratios

CAMA Working Paper No. 53/2018
Number of pages: 37 Posted: 23 Oct 2018
George Kapetanios, Stephen Millard, Katerina Petrova and Simon Price
King's College, London, Bank of England, University of St Andrews and Essex Business School
Downloads 9 (773,667)

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Time variation, great ratios, cointegration

76.

Inference for Impulse Response Coefficients from Multivariate Fractionally Integrated Processes

quantf research Working Paper Series: WP13/2014
Number of pages: 41 Posted: 02 Jun 2014
Richard Baillie, George Kapetanios and Fotis Papailias
Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management, King's College, London and Quantf Research
Downloads 49 (497,701)

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ARFIMA Models, Impulse Response, Long Memory

77.

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

Bank of England Working Paper No. 683
Number of pages: 46 Posted: 17 Oct 2017
Sinem Hacioglu Hoke and George Kapetanios
Bank of England and King's College, London
Downloads 46 (510,895)

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

78.

Stock Returns Predictability with Unstable Predictors

Number of pages: 44 Posted: 14 Jan 2022
Fabio Calonaci, George Kapetanios and Simon Price
Queen Mary University of London, King's College, London and Essex Business School
Downloads 45 (515,381)

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returns predictability, long horizons, instability

79.

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

Number of pages: 49 Posted: 19 Feb 2019
Yiannis Dendramis, Liudas Giraitis and George Kapetanios
University of Cyprus - Department of Accounting and Finance, Queen Mary and King's College, London
Downloads 42 (529,447)

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

80.

Forecasting in Factor Augmented Regressions under Structural Change

Number of pages: 18 Posted: 02 Nov 2021
Daniele Massacci and George Kapetanios
King's College London and King's College, London
Downloads 40 (539,118)

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Factor Augmented Regression, Structural Instability, Out-of-Sample Forecasts, Estimation Window, Cross-Sectional Averages.

81.

Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels

SERIES Working papers N. 02/2019
Number of pages: 44 Posted: 18 Jun 2019
George Kapetanios, Laura Serlenga and Yongcheol Shin
King's College, London, Università degli Studi di Bari “Aldo Moro” (UNIBA) - Dipartimento di Economia e Finanza and Independent
Downloads 37 (554,222)

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

82.

Parsimonious Estimation with Many Instruments

FRB of New York Staff Report No. 386
Number of pages: 19 Posted: 03 Sep 2009
Jan J. Groen and George Kapetanios
Federal Reserve Bank of New York and King's College, London
Downloads 37 (554,222)
Citation 5

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instrumental variable estimation, many instruments, factor models

83.

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

Bank of England Working Paper No. 434
Number of pages: 63 Posted: 28 Jul 2011
George Kapetanios and Anthony Yates
King's College, London and Bank of England - Monetary Analysis
Downloads 34 (570,175)

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84.

Measuring Conditional Persistence in Nonlinear Time Series

Oxford Bulletin of Economics and Statistics, Vol. 69, No. 3, pp. 363-386, June 2007
Number of pages: 24 Posted: 24 May 2007
George Kapetanios
King's College, London
Downloads 32 (581,040)
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85.

Forecasting EU Economic Activity Using Financial Condition Indexes

quantf research Working Paper Series: WP06/2014
Number of pages: 13 Posted: 02 Jun 2014
King's College, London, Bocconi University - Department of Economics and Quantf Research
Downloads 31 (586,806)

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Financial Conditions, Forecasting

86.

Forecasting EU Economic Activity Using Summary Indicators

quantf research Working Paper Series: WP07/2014
Number of pages: 51 Posted: 02 Jun 2014
King's College, London, Bocconi University - Department of Economics and Quantf Research
Downloads 31 (586,806)

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

87.

Investigating the Predictive Ability of ONS Big Data-Based Indicators

Number of pages: 21 Posted: 22 Apr 2021 Last Revised: 28 Apr 2021
George Kapetanios and Fotis Papailias
King's College, London and Quantf Research
Downloads 28 (604,981)

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Big Data, Nowcasting, Sparse Regressions, Factor Models

88.

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

SERIES Working papers N. 03/2019
Number of pages: 56 Posted: 18 Jun 2019
George Kapetanios, Laura Serlenga and Yongcheol Shin
King's College, London, Università degli Studi di Bari “Aldo Moro” (UNIBA) - Dipartimento di Economia e Finanza and Independent
Downloads 27 (611,311)
Citation 2

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

89.

Testing for Neglected Nonlinearity in Cointegrating Relationships

Journal of Time Series Analysis, Vol. 28, Issue 6, pp. 807-826, November 2007
Number of pages: 20 Posted: 17 Oct 2007
Andrew P. Blake and George Kapetanios
Bank of England - CCBS and King's College, London
Downloads 27 (611,311)
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90.

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

quantf research Working Paper Series: WP05/2014
Number of pages: 34 Posted: 02 Jun 2014
King's College, London, Bocconi University - Department of Economics and Quantf Research
Downloads 21 (652,460)

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Business Cycles, Recession

91.

State-level wage Phillips curves

CAMA Working Paper No. 8/2020
Number of pages: 17 Posted: 11 Feb 2020
George Kapetanios, Simon Price, Menelaos Tasiou and Alexia Ventouri
King's College, London, Essex Business School, University of Portsmouth and King's College London
Downloads 20 (659,589)

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Wage Phillips curves, state-level data, panel estimation, CCE

92.

A New Approach for Detecting Shifts in Forecast Accuracy

Bank of England Working Paper No. 721
Number of pages: 28 Posted: 18 Apr 2018
Bank of England, Bank of England, King's College, London and Cardiff University
Downloads 18 (674,075)

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Forecast breaks, statistical decision making, central banking

93.

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

Number of pages: 11 Posted: 06 Jan 2005
George Kapetanios
King's College, London
Downloads 18 (674,075)
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Unit root, structural break

94.

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

Number of pages: 64 Posted: 29 Aug 2016 Last Revised: 30 May 2017
Gustavo Fruet Dias and George Kapetanios
University of East Anglia (UEA) - School of Economics and King's College, London
Downloads 17 (681,455)

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

95.

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

Number of pages: 19 Posted: 02 Apr 2004
University of Athens - Faculty of EconomicsUnivesrity of Athens and King's College, London
Downloads 16 (688,929)
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96.

Forecasting Exchange Rates with a Large Bayesian VAR

Number of pages: 33 Posted: 18 Dec 2008
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, King's College, London and Bocconi University - Department of Economics
Downloads 5 (776,331)
Citation 10
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Bayesian VAR, Exchange Rates, Forecasting

97.

Forecasting Government Bond Yields with Large Bayesian Vars

Number of pages: 54 Posted: 19 May 2010
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, King's College, London and Bocconi University - Department of Economics
Downloads 3 (792,454)
Citation 5
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Bayesian methods, Forecasting, Term Structure

98.

Factor-GMM Estimation with Large Sets of Possibly Weak Instruments

Number of pages: 39 Posted: 17 Mar 2010
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and Bocconi University - Department of Economics
Downloads 2 (802,093)
Citation 2
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DSGE models, Factor models, GMM, Instrumental variables, Principal components, weak instruments

99.

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

Oxford Bulletin of Economics and Statistics, Vol. 70, Issue 5, pp. 645-663, October 2008
Number of pages: 19 Posted: 16 Sep 2008
University of Athens - Faculty of EconomicsUnivesrity of Athens, King's College, London and City University of New York (CUNY) - Brooklyn College & the Graduate Center - Department of Economics
Downloads 2 (802,093)
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100.

Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models

Journal of Time Series Analysis, Vol. 39, Issue 2, pp. 129-149, 2018
Number of pages: 21 Posted: 14 Feb 2018
Liudas Giraitis, George Kapetanios and Tony Yates
Queen Mary, King's College, London and University of Bristol
Downloads 1 (814,003)
Citation 14
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Time varying estimation, random coefficient models

101.

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

Journal of Economic Surveys, Vol. 25, Issue 4, pp. 737-768, 2011
Number of pages: 32 Posted: 24 Jul 2011
Christopher Tsoukis, George Kapetanios and Joseph Pearlman
London Metropolitan University - Department of Economics, Finance and International Business (EFIB), King's College, London and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 1 (814,003)
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Inflation equations, Persistence, Price stickiness

102.

Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models

Number of pages: 36 Posted: 07 Oct 2009
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, King's College, London and Bocconi University - Department of Economics
Downloads 1 (814,003)
Citation 4
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Bayesian VARs, factor models, forecasting, reduced rank

103.

Time-Varying Instrumental Variable Estimation

Number of pages: 63 Posted: 12 Sep 2020
Queen Mary, King's College, London and Bocconi University - Department of Economics
Downloads 0 (831,574)
Citation 1
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104.

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

Journal of Financial Markets, Vol. 46, 2019
Posted: 04 Dec 2019
King's College, London, University of Manchester - Manchester Business School, Independent and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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Asymmetric information, co-jump, limit order book market, liquidity, option market, news announcement

105.

Structural Analysis with Multivariate Autoregressive Index Models

Number of pages: 53 Posted: 08 Sep 2015
Queen Mary, University of London, King's College, London and Bocconi University - Department of Economics
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Bayesian VARs, factor models, forecasting, large datasets, Multivariate Autoregressive Index models, Reduced Rank Regressions, structural analysis

106.

Factor Based Identification-Robust Inference in IV Regressions

Number of pages: 50 Posted: 02 Feb 2015
King's College, London, Carleton University and Bocconi University - Department of Economics
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factor model, identification-robust inference, IV regression, new Keynesian model, principle components, weak instruments

107.

Multivariate Methods for Monitoring Structural Change

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

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monitoring, structural change, panel, CUSUM, fluctuation test

108.

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

Economics Letters, Vol. 100, pp. 130–134, 2008
Posted: 16 May 2009
George Kapetanios, Andrea Cipollini and Andrea Cipollini
King's College, London and Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of Palermo - d/SEAS

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Stochastic volatility, Factor models, Principal components

109.

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

Posted: 27 Sep 2001
European Central Bank (ECB), King's College, London, University of Warwick - Department of Economics and National Institute of Economic and Social Research (NIESR)

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