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A new test for market efficiency and uncovered interest parity

Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - In: Journal of international money and finance 130 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014248790

A New Test for Market Efficiency and Uncovered Interest Parity

Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - National Bureau of Economic Research - 2022

We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach. The method provides consistent and asymptotically efficient parameter estimates, and is not dependent on assumptions of strict exogeneity. This new approach is asymptotically more...

Persistent link: https://www.econbiz.de/10013462687

Resuscitating real interest rate parity : new evidence from panels

Chortareas, Georgios E.; Kapetanios, George; Magkonis, … - In: The European journal of finance 24 (2018) 14, pp. 1176-1189

Persistent link: https://www.econbiz.de/10012258881

Forecasting in factor augmented regressions under structural change

Massacci, Daniele; Kapetanios, George - In: International journal of forecasting 40 (2024) 1, pp. 62-76

Persistent link: https://www.econbiz.de/10014450259

Shifts in volatility driven by large stock market shocks

Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of economic dynamics & control 55 (2015), pp. 130-147

Persistent link: https://www.econbiz.de/10011587216

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - In: Journal of applied econometrics 31 (2016) 6, pp. 929-960

Persistent link: https://www.econbiz.de/10011686163

The impact of heterogeneity of discount factors and asset returns on inequality

Ferreira, Pedro Cavalcanti; Guimarães, Guido Penido - In: Applied economics 50 (2018) 4, pp. 371-388

Persistent link: https://www.econbiz.de/10011846955

Time-varying cointegration with an application to the UK Great Ratios

Kapetanios, George; Millard, Stephen Patrick; Petrova, … - In: Economics letters 193 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012509073

Estimation and inference for multi-dimensional heterogeneous panel datasets with hierarchical multi-factor error structure

Kapetanios, George; Serlenga, Laura; Shin, Yongcheol - In: Journal of econometrics 220 (2021) 2, pp. 504-531

Persistent link: https://www.econbiz.de/10012618527

Detection of units with pervasive effects in large panel data models

Kapetanios, George; Pesaran, M. Hashem; Reese, S. - In: Journal of econometrics 221 (2021) 2, pp. 510-541

Persistent link: https://www.econbiz.de/10012619248