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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

Nonlinear modelling of autoregressive structural breaks in a US diffusion index dataset

Kapetanios, George (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002808239

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

Forecasting economic activity from yield curve factors

Argyropoulos, Efthymios; Tzavalis, Elias - In: The North American journal of economics and finance : a … 36 (2016), pp. 293-311

Persistent link: https://www.econbiz.de/10011672685

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

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 (contributor) - 2004 - [Elektronische Ressource]

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

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

Kapetanios, George; Tzavalis, Elias - 2004

This paper introduces a new model of structural breaks which assumes that structural breaks are driven by large economic shocks. The model specifies that both the timing and size of breaks are stochastic and it can be used to investigate the impact of large economic shocks on the stability of...

Persistent link: https://www.econbiz.de/10010284087

Nonlinear modelling of autoregressive structural breaks in a US diffusion index dataset

Kapetanios, George; Tzavalis, Elias - 2005

This paper applies a new model of structural breaks developed by Kapetanios and Tzavalis (2004) to investigate if there exist structural changes in the mean reversion parameter of US macroeconomic series. Ignoring such type of breaks may lead to spurious evidence of unit roots in the...

Persistent link: https://www.econbiz.de/10010284121