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Level shifts in stock returns driven by large shocks

Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of empirical finance 29 (2014), pp. 41-51

Persistent link: https://www.econbiz.de/10011300506

Modeling structural breaks in economic relationships using large shocks

Kapetanios, George; Tzavalis, Elias - In: Journal of economic dynamics & control 34 (2010) 3, pp. 417-436

Persistent link: https://www.econbiz.de/10003966451

A state space approach to extracting the signal from uncertain data

Cunningham, Alastair W. F.; Eklund, Jana; Jeffery, Chris; … - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 2, pp. 173-180

Persistent link: https://www.econbiz.de/10009657376

Dynamic factor extraction of cross-sectional dependence in panel unit root tests

Kapetanios, George - In: Journal of applied econometrics 22 (2007) 2, pp. 313-338

Persistent link: https://www.econbiz.de/10003455448

Elusive persistence : wage and price rigidities, the New Keynesian Phillips curve and inflation dynamics

Tsoukis, Christopher; Kapetanios, George; Pearlman, Joseph - In: Journal of economic surveys 25 (2011) 4, pp. 737-768

Persistent link: https://www.econbiz.de/10009301155

Time-varying instrumental variable estimation

Giraitis, Liudas; Kapetanios, George; Marcellino, … - In: Journal of econometrics 224 (2021) 2, pp. 394-415

Persistent link: https://www.econbiz.de/10013275394

Bayesian approach to disentangling technical and environmental productivity

Malikov, Emir; Kumbhakar, Subal; Tsionas, Efthymios G. - In: Econometrics : open access journal 3 (2015) 2, pp. 443-465

the traditional (desirable-output-oriented) technical productivity and the undesirable-output-oriented environmental, or … so-called "green", productivity. To measure the latter, we derive a Solow-type Divisia environmental productivity index … which, unlike conventional productivity indices, allows crediting the ceteris paribus reduction in undesirable outputs. Our …

Persistent link: https://www.econbiz.de/10011297619

Proxy variable estimation of productivity and efficiency

Tsionas, Efthymios G.; Kumbhakar, Subal - In: Southern economic journal 89 (2023) 3, pp. 885-923

Persistent link: https://www.econbiz.de/10014309037

Correcting for productivity growth misspecification : a local likelihood estimation in global banking

Mamatzakis, Emmanuel C.; Tsionas, Efthymios G. - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 2300-2316

Persistent link: https://www.econbiz.de/10014533416

Revisiting the returns of public infrastructure in Mexico : a limited information local likelihood estimation

Mamatzakis, Emmanuel C.; Tsionas, Efthymios G. - In: Economic modelling 75 (2018), pp. 132-141

Persistent link: https://www.econbiz.de/10012101457