Zobrazeno 1 - 10
of 245
pro vyhledávání: '"George Kapetanios"'
Publikováno v:
Journal of Financial Econometrics.
In this article, we use a deep quantile estimator, based on neural networks and their universal approximation property to examine a non-linear association between the conditional quantiles of a dependent variable and predictors. This methodology is v
Publikováno v:
Empirical Economics.
A large literature on modelling cross-section dependence in panels has been developed through interactive effects. However, there are areas where research has not really caught on yet. One such area is the one concerned with whether the regressors ar
Publikováno v:
Journal of Applied Econometrics. 37:896-919
Publikováno v:
Oxford Bulletin of Economics and Statistics. 84:961-993
Non-pharmaceutical interventions (NPIs) have been the key policy instrument utilized to contain the impact of the COVID-19 pandemic. This paper disentangles the effects of NPIs from that of the virus and looks at the specific channels through which t
Publikováno v:
Chronopoulos, I, Giraitis, L & Kapetanios, G 2022, ' Choosing between persistent and stationary volatility ', ANNALS OF STATISTICS, vol. 50, no. 6, pp. 3466-3483 . https://doi.org/10.1214/22-AOS2236
This paper suggests a multiplicative volatility model where volatility is decomposed into a stationary and a nonstationary persistent part. We provide a testing procedure to determine which type of volatility is prevalent in the data. The persistent
Publikováno v:
Econometrics and Statistics. 20:2-11
The problem of inference in a standard linear regression model with heteroskedastic errors is investigated. A GLS estimator which is based on a nonparametric kernel estimator is proposed for the volatility process. It is shown that the resulting feas
Autor:
George Kapetanios, Fotis Papailias
Publikováno v:
Journal of Forecasting. 41:252-258
This paper investigates the predictive ability of brand new dataset which is based on big unstructured data published by the UK Office for National Statistics as “Faster Indicators of UK Economic Activity”. We consider some indicative ways to be
Publikováno v:
Journal of Applied Econometrics. 36:587-613
This paper proposes an estimator of factor strength and establishes its consistency and asymptotic distribution. The proposed estimator is based on the number of statistically significant factor loadings, taking account of the multiple testing proble
Publikováno v:
Econometric Theory. 37:1100-1134
Time variation is a fundamental problem in statistical and econometric analysis of macroeconomic and financial data. Recently, there has been considerable focus on developing econometric modelling that enables stochastic structural change in model pa