Items where Author is "Kapetanios, George"

Article

Chronopoulos, Ilias and Raftapostolos, Aristeidis and Kapetanios, George (2023) Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression. Journal of Financial Econometrics, 22 (3). pp. 636-669. DOI https://doi.org/10.1093/jjfinec/nbad014

Chronopoulos, Ilias Christos and Giraitis, Liudas and Kapetanios, George (2022) Choosing between persistent and stationary volatility. Annals of Statistics, 50 (6). pp. 3466-3483. DOI https://doi.org/10.1214/22-AOS2236

Kapetanios, George and Millard, Stephen and Petrova, Katerina and Price, Simon (2020) Time varying cointegration with an application to the UK Great Ratios. Economics Letters, 193. p. 109213. DOI https://doi.org/10.1016/j.econlet.2020.109213

Kapetanios, George and Price, Simon and Tasiou, Menelaos and Ventouri, Alexia (2020) State-level wage Phillips curves. Econometrics and Statistics. DOI https://doi.org/10.1016/j.ecosta.2020.03.005

Kapetanios, George and Papailias, Fotis and Taylor, AM Robert (2019) A Generalised Fractional Differencing Bootstrap for Long Memory Processes. Journal of Time Series Analysis, 40 (4). pp. 467-492. DOI https://doi.org/10.1111/jtsa.12460

Kapetanios, George and Price, Simon and Young, Garry (2018) A UK financial conditions index using targeted data reduction: forecasting and structural identification. Econometrics and Statistics, 7. pp. 1-17. DOI https://doi.org/10.1016/j.ecosta.2017.12.002

Baltas, Konstantinos N and Kapetanios, George and Tsionas, Efthymios and Izzeldin, Marwan (2017) Liquidity creation through efficient M&As: A viable solution for vulnerable banking systems? Evidence from a stress test under a panel VAR methodology. Journal of Banking and Finance, 83. pp. 36-56. DOI https://doi.org/10.1016/j.jbankfin.2017.05.005

Monograph

Chronopoulos, Ilias and Raftapostolos, Aristeidis and Kapetanios, George (2023) Forecasting Value-at-Risk using deep neural network quantile regression. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Chronopoulos, Ilias and Giraitis, Liudas and Kapetanios, George (2022) Choosing between persistent and stationary volatility. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Calonaci, Fabio and Kapetanios, George and Price, Simon (2022) Stock returns predictability with unstable predictors. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Kapetanios, George and Papailias, Fotis and Taylor, AM Robert (2019) A Generalised Fractional Differencing Bootstrap for Long Memory Processes. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Kapetanios, George and Tasiou, Menelaos and Price, Simon and Ventouri, Alexia (2018) State-level wage Phillips curves. Working Paper. Essex Finance Centre Working Papers, Colchester. (Unpublished)

Kapetanios, George and Millard, Stephen and Price, Simon and Petrova, Katerina (2018) Time varying cointegration and the UK Great Ratios. Working Paper. Essex Finance Centre Working Papers, Colchester.