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Economics and Finance

D-Index
47
Citations
11570
World Ranking
1572
National Ranking
174

Overview

George Kapetanios is affiliated with King's College London in the United Kingdom. Their research primarily lies within the fields of Economics, Econometrics, and Finance, with 104 publications recorded in this area. Subfields of focus include Economics and Econometrics, General Economics, Econometrics and Finance, Finance, Management Science and Operations Research, and Statistics and Probability.

The main topics addressed in Kapetanios's work encompass Monetary Policy and Economic Impact, Market Dynamics and Volatility, Spatial and Panel Data Analysis, Financial Markets and Investment Strategies, Forecasting Techniques and Applications, Fiscal Policy and Economic Growth, as well as Complex Systems and Time Series Analysis.

Frequent collaborators of Kapetanios include:

  • Richard T. Baillie
  • Eleni Kalamara
  • Kun Ho Kim
  • Ilias Chronopoulos
  • Massimiliano Marcellino

Kapetanios has published extensively in various venues, with the main publication outlets being:

  • SSRN Electronic Journal (21 publications)
  • arXiv (Cornell University) (6 publications)
  • Journal of Econometrics (4 publications)
  • Journal of Applied Econometrics (3 publications)
  • International Journal of Forecasting (3 publications)

Some of the recent papers authored or co-authored by Kapetanios are:

  • Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure, 2020, Journal of Econometrics
  • Making text count: Economic forecasting using newspaper text, 2022, Journal of Applied Econometrics
  • Making Text Count: Economic Forecasting Using Newspaper Text, 2020, SSRN Electronic Journal
  • Measurement of factor strength: Theory and practice, 2021, Journal of Applied Econometrics
  • Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression, 2023, Journal of Financial Econometrics

Best Publications

  • Testing for a Unit Root in the Nonlinear STAR Framework

    George Kapetanios;Yongcheol Shin;Andy Snell

  • PANELS WITH NONSTATIONARY MULTIFACTOR ERROR STRUCTURES

    George Kapetanios;M. Hashem Pesaran;M. Hashem Pesaran;Takashi Yamagata

  • Assessing the Economy‐wide Effects of Quantitative Easing

    George Kapetanios;Haroon Mumtaz;Ibrahim Stevens;Konstantinos Theodoridis

  • Unit root testing against the alternative hypothesis of up to m structural breaks

    George Kapetanios

  • TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS

    George Kapetanios;Yongcheol Shin;Andy Snell

  • Exponent of Cross-sectional Dependence: Estimation and Inference

    Natalia Bailey;George Kapetanios;M. Hashem Pesaran;M. Hashem Pesaran

  • Getting PPP right: Identifying mean-reverting real exchange rates in panels.

    Georgios Chortareas;George Kapetanios;George Kapetanios

  • Forecasting exchange rates with a large Bayesian VAR

    Andrea Carriero;George Kapetanios;Massimiliano Marcellino;Massimiliano Marcellino

  • Factor-GMM estimation with large sets of possibly weak instruments

    George Kapetanios;Massimiliano Marcellino

  • A bootstrap procedure for panel data sets with many cross‐sectional units

    G. Kapetanios

  • Unit root tests in three-regime SETAR models

    George Kapetanios;Yongcheol Shin

  • Inference on stochastic time-varying coefficient models

    L. Giraitis;G. Kapetanios;Tony Yates

  • A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets

    George Kapetanios

  • An automatic leading indicator of economic activity: forecasting GDP growth for European countries

    Gonzalo Camba‐Mendez;George Kapetanios;Richard J. Smith;Martin R. Weale

  • Revisiting useful approaches to data-rich macroeconomic forecasting

    Jan J.J. Groen;George Kapetanios

  • Forecasting large datasets with Bayesian reduced rank multivariate models

    Andrea Carriero;George Kapetanios;Massimiliano Marcellino;Massimiliano Marcellino

  • Forecast combination and the Bank of England's suite of statistical forecasting models

    George Kapetanios;Vincent Labhard;Simon Price

  • A parametric estimation method for dynamic factor models of large dimensions

    George Kapetanios;Massimiliano Marcellino

  • Nonlinear mean reversion in real exchange rates

    Georgios E. Chortareas;George Kapetanios;Yongcheol Shin

  • Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns

    George Kapetanios;M. Hashem Pesaran

Frequent Co-Authors

Massimiliano Marcellino
Massimiliano Marcellino Bocconi University
Yongcheol Shin
Yongcheol Shin University of York
M. Hashem Pesaran
M. Hashem Pesaran University of Cambridge
Richard T. Baillie
Richard T. Baillie King's College London
Jan Groen
Jan Groen Erasmus University Rotterdam
Adrian Pagan
Adrian Pagan University of Sydney
Alexander Chudik
Alexander Chudik Federal Reserve Bank of Dallas
Martin Weale
Martin Weale King's College London
Richard J. Harrison
Richard J. Harrison University of Cambridge
Haroon Mumtaz
Haroon Mumtaz Queen Mary University of London

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