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Nonlinear models for strongly dependent processes with financial applications

Baillie, Richard; Kapetanios, George - In: Journal of econometrics 147 (2008) 1, pp. 60-71

Persistent link: https://www.econbiz.de/10003783785

Estimating time variation in measurement error from data revisions : an application to backcasting and forecasting in dynamic models

Kapetanios, George; Yates, Anthony - In: Journal of applied econometrics 25 (2010) 5, pp. 869-893

Persistent link: https://www.econbiz.de/10008667439

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10009488893

Adaptive forecasting in the presence of recent and ongoing structural change

Giraitis, Luidas; Kapetanios, George; Price, Simon - In: Journal of econometrics 177 (2013) 2, pp. 153-170

Persistent link: https://www.econbiz.de/10010254880

Near unit roots, cointegration, and the term structure of interest rates

Lanne, Markku - In: Journal of applied econometrics 15 (2000) 5, pp. 513-529

Persistent link: https://www.econbiz.de/10001533584

Bayesian model selection and forecasting in noncausal autoregressive models

Lanne, Markku; Luoma, Arto; Luoto, Jani - In: Journal of applied econometrics 27 (2012) 5, pp. 812-830

Persistent link: https://www.econbiz.de/10010219731

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

Noncausal Bayesian vector autoregression

Lanne, Markku; Luoto, Jani - In: Journal of applied econometrics 31 (2016) 7, pp. 1392-1406

Persistent link: https://www.econbiz.de/10011687545

Structural analysis with Multivariate Autoregressive Index models

Carriero, Andrea; Kapetanios, George; Marcellino, … - In: Journal of econometrics 192 (2016) 2, pp. 332-348

Persistent link: https://www.econbiz.de/10011704654

Identification and estimation of non-Gaussian structural vector autoregressions

Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - In: Journal of econometrics 196 (2017) 2, pp. 288-304

Persistent link: https://www.econbiz.de/10011818296