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George Kapetanios · Study
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Author
George Kapetanios
59 works
· latest 2025
· 8 institutions
cluster: provisional
ORCID 0000-0001-8557-4289
Works
59 shown
Machine Learning for Economic Policy
Journal of Econometrics
·
2025
·
5 authors
4
citations
Forecasting UK inflation bottom up
International Journal of Forecasting
·
2024
·
5 authors
·
Open access
47
citations
Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression
Journal of Financial Econometrics
·
2023
·
3 authors
·
Open access
44
citations
Measurement of factor strength: Theory and practice
Journal of Applied Econometrics
·
2021
·
3 authors
·
Open access
42
citations
Making Text Count: Economic Forecasting Using Newspaper Text
Journal of Applied Econometrics
·
2020
·
5 authors
·
Open access
125
citations
A comprehensive evaluation of macroeconomic forecasting methods
International Journal of Forecasting
·
2019
·
3 authors
·
Open access
48
citations
Large time‐varying parameter VARs: A nonparametric approach
Journal of Applied Econometrics
·
2019
·
3 authors
·
Open access
57
citations
Unconventional monetary policies and the macroeconomy: The impact of the UK's QE2 and funding for lending scheme
The Quarterly Review of Economics and Finance
·
2018
·
3 authors
·
Open access
35
citations
A UK financial conditions index using targeted data reduction: Forecasting and structural identification
Econometrics and Statistics
·
2018
·
2 authors
22
citations
Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
Journal of Time Series Analysis
·
2017
·
3 authors
·
Open access
49
citations
Credit market freedom and cost efficiency in US state banking
Journal of Empirical Finance
·
2016
·
3 authors
·
Open access
53
citations
A time varying DSGE model with financial frictions
Journal of Empirical Finance
·
2016
·
4 authors
24
citations
Comparing logit-based early warning systems: Does the duration of systemic banking crises matter?
Journal of Empirical Finance
·
2016
·
4 authors
·
Open access
54
citations
Structural analysis with Multivariate Autoregressive Index models
Journal of Econometrics
·
2016
·
3 authors
·
Open access
23
citations
Revisiting useful approaches to data-rich macroeconomic forecasting
Computational Statistics & Data Analysis
·
2016
·
2 authors
67
citations
Exponent of Cross‐Sectional Dependence: Estimation and Inference
Journal of Applied Econometrics
·
2015
·
3 authors
·
Open access
274
citations
Generalised density forecast combinations
Journal of Econometrics
·
2015
·
3 authors
83
citations
Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market
Journal of Applied Econometrics
·
2015
·
4 authors
41
citations
Unconventional Monetary Policies and the Macroeconomy: The Impact of the United Kingdom's QE2 and Funding for Lending Scheme
SSRN Electronic Journal
·
2015
·
3 authors
·
preprint
·
Open access
26
citations
Inference on stochastic time-varying coefficient models
Journal of Econometrics
·
2013
·
3 authors
147
citations
Adaptive forecasting in the presence of recent and ongoing structural change
Journal of Econometrics
·
2013
·
2 authors
72
citations
Assessing the Economy‐wide Effects of Quantitative Easing
The Economic Journal
·
2012
·
4 authors
258
citations
Estimation and inference for impulse response functions from univariate strongly persistent processes
Econometrics Journal
·
2012
·
2 authors
19
citations
Forecasting government bond yields with large Bayesian vector autoregressions
Journal of Banking & Finance
·
2012
·
3 authors
91
citations
HOW PUZZLING IS THE PPP PUZZLE? AN ALTERNATIVE HALF‐LIFE MEASURE OF CONVERGENCE TO PPP
Journal of Applied Econometrics
·
2012
·
2 authors
·
Open access
39
citations
Assessing the Economy-Wide Effects of Quantitative Easing
SSRN Electronic Journal
·
2012
·
4 authors
·
preprint
·
Open access
89
citations
Shifts in Volatility Driven by Large Stock Market Shocks
Journal of Economic Dynamics and Control
·
2012
·
3 authors
·
Open access
42
citations
MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE
Journal of Applied Econometrics
·
2011
·
2 authors
·
Open access
42
citations
Forecasting large datasets with Bayesian reduced rank multivariate models
Journal of Applied Econometrics
·
2010
·
3 authors
·
Open access
109
citations
Forecasting exchange rates with a large Bayesian VAR
International Journal of Forecasting
·
2009
·
3 authors
·
Open access
169
citations
Are More Data Always Better for Factor Analysis' Results for the Euro Area, the Six Largest Euro Area Countries and the UK
Journal of Forecasting
·
2009
·
3 authors
·
Open access
64
citations
A real time evaluation of Bank of England forecasts of inflation and growth
International Journal of Forecasting
·
2008
·
2 authors
47
citations
Getting PPP right: Identifying mean-reverting real exchange rates in panels
Journal of Banking & Finance
·
2008
·
2 authors
212
citations
A bootstrap procedure for panel data sets with many cross-sectional units
Econometrics Journal
·
2008
·
1 author
·
Open access
147
citations
GLS detrending-based unit root tests in nonlinear STAR and SETAR models
Economics Letters
·
2008
·
2 authors
71
citations
Forecast combination and the Bank of England's suite of statistical forecasting models
Economic Modelling
·
2008
·
2 authors
80
citations
Forecasting Using Bayesian and Information-Theoretic Model Averaging
Journal of Business and Economic Statistics
·
2007
·
2 authors
64
citations
Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling Asset Returns
Cambridge University Press eBooks
·
2007
·
2 authors
·
chapter
·
Open access
82
citations
Unit root tests in three‐regime SETAR models
Econometrics Journal
·
2006
·
2 authors
·
Open access
138
citations
TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
Econometric Theory
·
2006
·
3 authors
259
citations
Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling
Journal of Econometrics
·
2006
·
3 authors
74
citations
Panels with Nonstationary Multifactor Error Structures
Journal of Econometrics
·
2006
·
2 authors
·
Open access
977
citations
Unit‐root testing against the alternative hypothesis of up to m structural breaks
Journal of Time Series Analysis
·
2005
·
1 author
267
citations
Forecasting euro area inflation using dynamic factor measures of underlying inflation
Journal of Forecasting
·
2005
·
2 authors
27
citations
THE ASYMPTOTIC DISTRIBUTION OF THE COINTEGRATION RANK ESTIMATOR UNDER THE AKAIKE INFORMATION CRITERION
Econometric Theory
·
2004
·
1 author
26
citations
A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset
Economics Letters
·
2004
·
1 author
40
citations
The Yen Real Exchange Rate may be Stationary after all: Evidence from Non‐linear Unit‐root Tests*
Oxford Bulletin of Economics and Statistics
·
2004
·
2 authors
·
Open access
61
citations
An Investigation of Current Account Solvency in Latin America Using Non Linear Nonstationarity Tests
Studies in Nonlinear Dynamics and Econometrics
·
2004
·
3 authors
45
citations
Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels
SSRN Electronic Journal
·
2004
·
2 authors
·
preprint
·
Open access
23
citations
Threshold models for trended time series
Empirical Economics
·
2003
·
1 author
·
Open access
23
citations
Unit Root Testing Against the Alternative Hypothesis of Up to M Structural Breaks
SSRN Electronic Journal
·
2003
·
1 author
·
preprint
·
Open access
64
citations
Import Prices and Exchange Rate Pass-Through: Theory and Evidence from the United Kingdom
SSRN Electronic Journal
·
2003
·
2 authors
·
preprint
·
Open access
46
citations
Testing for Cointegration in Nonlinear Star Error Correction Models
SSRN Electronic Journal
·
2003
·
3 authors
·
preprint
·
Open access
34
citations
Modelling Core Inflation for the UK Using a New Dynamic Factor Estimation Method and a Large Disaggregated Price Index Dataset
SSRN Electronic Journal
·
2003
·
1 author
·
preprint
·
Open access
18
citations
The Yen Real Exchange Rate May Be Stationary After All: Evidence from Nonlinear Unit-Root Tests
SSRN Electronic Journal
·
2003
·
2 authors
·
preprint
·
Open access
18
citations
Testing for a unit root in the nonlinear STAR framework
Journal of Econometrics
·
2002
·
3 authors
1,567
citations
Nonlinear mean reversion in real exchange rates
Economics Letters
·
2002
·
3 authors
102
citations
An automatic leading indicator of economic activity: forecasting GDP growth for European countries*
Econometrics Journal
·
2001
·
4 authors
·
Open access
113
citations
Small sample properties of the conditional least squares estimator in SETAR models
Economics Letters
·
2000
·
1 author
31
citations