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Volatility co-movements : a time-scale decomposition analysis

Cipollini, Andrea; Lo Cascio, Iolanda; Muzzioli, Silvia - In: Journal of empirical finance 34 (2015), pp. 34-44

Persistent link: https://www.econbiz.de/10011556988

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

Kapetanios, George (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001920602

Factor analysis using subspace factor models : some theoretical results and an application to UK inflation forecasting

Kapetanios, George (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001867252

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

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

Bootstrap statistical tests of rank determination for system identification

Camba-Méndez, Gonzalo (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001867136

A comparison of estimation methods for dynamic factor models of large dimensions

Kapetanios, George (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001867670

The impact of large structural shocks onn economic relationships : evidence from oil price shocks

Kapetanios, George (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002403201

A state space approach to extracting the signal from uncertain data

Cunningham, Alastair W. F.; Eklund, Jana; Jeffery, Chris - 2009

Most macroeconomic data are uncertain - they are estimates rather than perfect measures of underlying economic variables. One symptom of that uncertainty is the propensity of statistical agencies to revise their estimates in the light of new information or methodological advances. This paper...

Persistent link: https://www.econbiz.de/10003799514

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