
Professor George Kapetanios
Professor of Finance and Econometrics
- Head of Department, Banking & Finance
- Director of Data Analytics for Finance and Macro (DAFM) Research Centre
Research interests
- Banking & Finance
Contact details
Biography
George Kapetanios is Professor of Finance and Econometrics and Head of Department, Banking & Finance at King's Business School. He joined King's in September 2015. He holds an MSc from the London School of Economics and Political Science and a PhD from Cambridge University.
Prior to joining King's he worked at the National Institute of Economic and Social Research and the Bank of England. He was Professor at Queen Mary, University of London, where he was also Head of the School of Economics and Finance between 2007 and 2014.
George's main research focuses are on the econometrics of structural change, the analysis of large data sets and applications of these to empirical finance and macroeconomics. He has published widely in econometrics and finance. He has been, and continues to be, heavily involved in the development of innovative postgraduate degrees in finance with a special focus on graduate employability.
George's Research Excellence Framework 2021 impact case study was called Developing New Forecasting Models at the Bank of England and the European Central Bank. Read the impact feature on this case study here.
An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
Kapetanios, G., Serlenga, L. & Shin, Y., 2024, In: Journal of Business and Economic Statistics. 42, 2, p. 743-761 19 p.Research output: Contribution to journal › Article › peer-review
Assessing the economy using faster indicators
Kapetanios, G. & Papailias, F., Jan 2024, In: JOURNAL OF FORECASTING. 43, 1, p. 208-223 16 p.Research output: Contribution to journal › Article › peer-review
Forecasting in factor augmented regressions under structural change
Massacci, D. & Kapetanios, G., 1 Jan 2024, In: INTERNATIONAL JOURNAL OF FORECASTING. 40, 1, p. 62-76 15 p.Research output: Contribution to journal › Article › peer-review
Forecasting UK inflation bottom up
Joseph, A., Potjagailo, G., Chakraborty, C. & Kapetanios, G., 1 Oct 2024, In: INTERNATIONAL JOURNAL OF FORECASTING. 40, 4, p. 1521-1538 18 p.Research output: Contribution to journal › Article › peer-review
A new test for market efficiency and uncovered interest parity
Baillie, R. T., Diebold, F. X., Kapetanios, G. & Kim, K. H., Feb 2023, In: JOURNAL OF INTERNATIONAL MONEY AND FINANCE. 130, 102765.Research output: Contribution to journal › Article › peer-review
Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression
Chronopoulos, I., Raftapostolos, A. & Kapetanios, G., 15 May 2023, In: Journal of Financial Econometrics.Research output: Contribution to journal › Article › peer-review
Mean group instrumental variable estimation of time-varying large heterogeneous panels with endogenous regressors
Bai, Y., Marcellino, M. & Kapetanios, G., 2023, (Accepted/In press) In: Econometrics and Statistics.Research output: Contribution to journal › Article › peer-review
Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects
Kapetanios, G., Serlenga, L. & Shin, Y., Jun 2023, In: Empirical Economics. 64, 6, p. 2611-2659 49 p.Research output: Contribution to journal › Article › peer-review
Choosing between persistent and stationary volatility
Chronopoulos, I., Giraitis, L. & Kapetanios, G., 31 Dec 2022, In: ANNALS OF STATISTICS. 50, 6, p. 3466-3483 18 p.Research output: Contribution to journal › Article › peer-review
Hierarchical Time-Varying Estimation of Asset Pricing Models
Baillie, R. T., Calonaci, F. & Kapetanios, G., Jan 2022, In: Journal of Risk and Financial Management. 15, 1, 14.Research output: Contribution to journal › Article › peer-review
How did consumers react to the COVID-19 pandemic over time?
Kapetanios, G., Neuteboom, N., Ritsema, F. & Ventouri, A., Oct 2022, In: OXFORD BULLETIN OF ECONOMICS AND STATISTICS. 84, 5, p. 961-993 33 p.Research output: Contribution to journal › Article › peer-review
Making text count: Economic forecasting using newspaper text
Kalamara, E., Turrell, A., Redl, C., Kapetanios, G. & Kapadia, S., Aug 2022, In: JOURNAL OF APPLIED ECONOMETRICS. 37, 5, p. 896-919 24 p.Research output: Contribution to journal › Article › peer-review
Detection of Units with Pervasive Effects in Large Panel Data Models
Kapetanios, G., Pesaran, M. H. & Reese, S., Apr 2021, In: JOURNAL OF ECONOMETRICS. 221, 2Research output: Contribution to journal › Article › peer-review
Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure
Kapetanios, G., Serlenga, L. & Shin, Y., Feb 2021, In: JOURNAL OF ECONOMETRICS. 220, 2, 504 p.Research output: Contribution to journal › Article › peer-review
Estimation of Time-Varying Covariance Matrices for Large Datasets
Dendramis, Y., Giraitis, L. & Kapetanios, G., 8 Dec 2021, In: ECONOMETRIC THEORY. 37, 6, p. 1100-1134 35 p.Research output: Contribution to journal › Article › peer-review
Investigating the predictive ability of ONS big data-based indicators
Kapetanios, G. & Papailias, F., 26 Aug 2021, (E-pub ahead of print) In: JOURNAL OF FORECASTING. 41, 2Research output: Contribution to journal › Article › peer-review
Measurement of factor strength: Theory and practice
Bailey, N., Kapetanios, G. & Pesaran, M. H., Aug 2021, In: JOURNAL OF APPLIED ECONOMETRICS. 36, 5, p. 587-613 27 p.Research output: Contribution to journal › Article › peer-review
Time-Varying Instrumental Variable Estimation
Giraitis, L., Kapetanios, G. & Marcellino, M., 24 Aug 2021, (E-pub ahead of print) In: JOURNAL OF ECONOMETRICS. 224, 2, p. 394-415Research output: Contribution to journal › Article › peer-review
A similarity-based approach for macroeconomic forecasting
Dendramis, Y., Kapetanios, G. & Marcellino, M., 1 Jun 2020, In: Journal of the Royal Statistical Society. Series A: Statistics in Society. 183, 3, p. 801-827 27 p.Research output: Contribution to journal › Article › peer-review
Common correlated effect cross-sectional dependence corrections for nonlinear conditional mean panel models
Hacıoğlu Hoke, S. & Kapetanios, G., 17 Aug 2020, (E-pub ahead of print) In: JOURNAL OF APPLIED ECONOMETRICS.Research output: Contribution to journal › Article › peer-review
State-level wage Phillips curves
Kapetanios, G., Price, S., Tasiou, M. & Ventouri, A., 1 Jan 2020, (Accepted/In press) In: Econometrics and Statistics.Research output: Contribution to journal › Article › peer-review
Time-varying cointegration with an application to the UK Great Ratios
Kapetanios, G., Millard, S., Petrova, K. & Price, S., Aug 2020, In: ECONOMICS LETTERS. 193, 109213.Research output: Contribution to journal › Article › peer-review
A comprehensive evaluation of macroeconomic forecasting methods
Carriero, A., Galvão, A. B. & Kapetanios, G., 2019, In: INTERNATIONAL JOURNAL OF FORECASTING. 35, 4, p. 1226-1239 14 p.Research output: Contribution to journal › Article › peer-review
A new approach for detecting shifts in forecast accuracy
Chiu, C. W., Hayes, S., Kapetanios, G. & Theodoridis, K., 1 Oct 2019, In: INTERNATIONAL JOURNAL OF FORECASTING. 35, 4, p. 1596-1612 17 p.Research output: Contribution to journal › Article › peer-review
A time-varying parameter structural model of the UK economy
Kapetanios, G., Masolo, R. M., Petrova, K. & Waldron, M., Sept 2019, In: Journal of Economic Dynamics and Control. 106, 103705.Research output: Contribution to journal › Article › peer-review
Exponent of Cross-sectional Dependence for Residuals
Bailey, N., Kapetanios, G. & Pesaran, M. H., 1 Sept 2019, In: Sankhya B. 81, p. 46-102 57 p.Research output: Contribution to journal › Article › peer-review
Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market
Kapetanios, G., Konstantinidi, E., Neumann, M. & Skiadopoulos, G., 1 Nov 2019, In: JOURNAL OF FINANCIAL MARKETS. 46, 100506.Research output: Contribution to journal › Article › peer-review
Kernel-based Volatility Generalised Least Squares
Chronopoulos, I., Kapetanios, G. & Petrova, K., 1 Dec 2019, In: Econometrics and Statistics.Research output: Contribution to journal › Article › peer-review
Large time-varying parameter VARs: A nonparametric approach
Kapetanios, G., Marcellino, M. & Venditti, F., 1 Nov 2019, In: JOURNAL OF APPLIED ECONOMETRICS. 34, 7, p. 1027-1049 23 p.Research output: Contribution to journal › Article › peer-review
A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models
Chudik, A., Kapetanios, G. & Pesaran, M. H., 2018, In: Econometrica. 86, 4, p. 1479-1512Research output: Contribution to journal › Article › peer-review
A UK financial conditions index using targeted data reduction: Forecasting and structural identification
Kapetanios, G., Price, S. & Young, G., 1 Jul 2018, In: Econometrics and Statistics. 7, 17 p.Research output: Contribution to journal › Article › peer-review
Estimation and forecasting in vector autoregressive moving average models for rich datasets
Dias, G. F. & Kapetanios, G., Jan 2018, In: JOURNAL OF ECONOMETRICS. 202, 1, p. 75-91Research output: Contribution to journal › Article › peer-review
Time-varying Lasso
Kapetanios, G. & Zikes, F., 3 May 2018, (E-pub ahead of print) In: ECONOMICS LETTERS.Research output: Contribution to journal › Article › peer-review
Unconventional Monetary Policies and the Macroeconomy: The Impact of the UK's QE2 and Funding for Lending Scheme
Churm, R., Joyce, M., Kapetanios, G. & Theodoridis, K., 24 Oct 2018, (E-pub ahead of print) In: QUARTERLY REVIEW OF ECONOMICS AND FINANCE.Research output: Contribution to journal › Article › peer-review
Inference for impulse response coefficients from multivariate fractionally integrated processes
Baillie, R. T., Kapetanios, G. & Papailias, F., 16 Mar 2017, In: ECONOMETRIC REVIEWS. 36, 1-3, p. 60-84Research output: Contribution to journal › Article › peer-review
Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
Giraitis, L., Kapetanios, G. & Yates, T., 5 Dec 2017, (E-pub ahead of print) In: JOURNAL OF TIME SERIES ANALYSIS. 21 p.Research output: Contribution to journal › Article › peer-review
Liquidity Creation Through Efficient M&As: A Viable Solution for Vulnerable Banking Systems? Evidence From a Stress Test Under a Panel VAR methodology
Baltas, K. N., Kapetanios, G., Tsionas, E. & Izzeldin, M., 6 Jun 2017, (E-pub ahead of print) In: Journal of Banking and Finance. 83, p. 36-56Research output: Contribution to journal › Article › peer-review
Modelling in the presence of cross-sectional error dependence
Kapetanios, G., Mastromarco, C., Serlenga, L. & Shin, Y., 1 Jan 2017, Advanced Studies in Theoretical and Applied Econometrics. SPRINGER, p. 291-322 32 p. (Advanced Studies in Theoretical and Applied Econometrics; vol. 50).Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review
Regulatory capture and financial crisis: Comment on “Modelling human behavior in economics and social science” by Marina Dolfin, Leone Leonida, and Nisrina Outada
Kapetanios, G. & Muzzupappa, E., 8 Sept 2017, (E-pub ahead of print) In: Physics Of Life Reviews.Research output: Contribution to journal › Article › peer-review
Resuscitating real interest rate parity: new evidence from panels
Chortareas, G., Kapetanios, G. & Magkonis, G., 29 Nov 2017, (E-pub ahead of print) In: European Journal Of Finance. p. 1-17 17 p.Research output: Contribution to journal › Article › peer-review
A new summary measure of inflation expectations
Kapetanios, G., Maule, B. & Young, G., 1 Dec 2016, In: ECONOMICS LETTERS. 149, p. 83-85 3 p.Research output: Contribution to journal › Article › peer-review
A time varying DSGE model with financial frictions
Galvão, A. B., Giraitis, L., Kapetanios, G. & Petrova, K., 1 Sept 2016, In: Journal of Empirical Finance. 38, Part B, p. 690-716 27 p.Research output: Contribution to journal › Article › peer-review
Comparing logit-based early warning systems: Does the duration of systemic banking crises matter?
Caggiano, G., Calice, P., Leonida, L. & Kapetanios, G., 1 Jun 2016, In: Journal of Empirical Finance. 37, 0, p. 104-116Research output: Contribution to journal › Article › peer-review
Credit Market Freedom and Cost Efficiency in US state banking
Chortareas, G., Kapetanios, G. & Ventouri, A., 1 Jun 2016, In: Journal of Empirical Finance. 37, 0, p. 173-185Research output: Contribution to journal › Article › peer-review
Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market
Giratis, L., Kapetanios, G., Wetherilt, A. & Zikes, F., 8 Feb 2016, (E-pub ahead of print) In: JOURNAL OF ECONOMETRICS. 31, 1Research output: Contribution to journal › Article › peer-review
Exponent of Cross-Sectional Dependence: Estimation and Inference
Bailey, N., Kapetanios, G. & Hashem Pesaran, M., 2 Oct 2016, (E-pub ahead of print) In: JOURNAL OF APPLIED ECONOMETRICS. 31, 6Research output: Contribution to journal › Article › peer-review
Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
Kapetanios, G., Marcellino, M. & Papailias, F., 1 Aug 2016, In: COMPUTATIONAL STATISTICS AND DATA ANALYSIS. 100, 0, p. 369-382Research output: Contribution to journal › Article › peer-review
Revisiting useful approaches to data-rich macroeconomic forecasting
Groen, J. & Kapetanios, G., 21 Jan 2016, (E-pub ahead of print) In: COMPUTATIONAL STATISTICS AND DATA ANALYSIS. 100Research output: Contribution to journal › Article › peer-review
Structural analysis with Multivariate Autoregressive Index models
Carriero, A., Kapetanios, G. & Marcellino, M., 1 Jun 2016, In: JOURNAL OF ECONOMETRICS. 192, 2, p. 332-348 17 p.Research output: Contribution to journal › Article › peer-review
A new approach to multi-step forecasting using dynamic stochastic general equilibrium models
Kapetanios, G., Price, S. & Theodoridis, K., 1 Nov 2015, In: ECONOMICS LETTERS. 136, p. 237-242 6 p.Research output: Contribution to journal › Article › peer-review
Research

Data Analytics for Finance and Macro
Forecasting trends is more important now than it has ever been. Our quantitative financial and macroeconomic research helps central banks and statistical agencies better understand their markets.

Qatar Centre for Global Banking & Finance
The Qatar Centre for Global Banking & Finance is a research centre dedicated to the study of central banks and the challenges they face in the global environment. It aims to develop cutting-edge research in all areas of central bank policy making, ranging from monetary policy to financial stability and regulation.
News
Spring School in Monetary & Financial Policy Analysis
The global economy is undergoing profound change, from the impact of climate change to the growth of digital currencies. At the same time, we are seeing rapid...

Understanding consumer behaviour during Covid-19 lockdowns
Case rate at a local level is an important influence

New COVID-19 relating forecasting tool for central banks
New approach and COVID-19 case forecasts to help central banks with pandemic-related economic forecasting.

DAFM Research Centre launch
On 19 April, King's Business School invited the Chief Economist of the Bank of England, Andy Haldane, to help launch the Data Analytics for Finance and Macro...

Events

ECONDAT 2023 spring meeting: Economics with non-traditional data and analytical tools
King's Business School welcomes you to the ECONDAT Conference 2023, hosted by Data Analytics for Finance and Macro research centre.
Please note: this event has passed.

History and Policy Making Conference with Bank of England
A two-day event bringing together senior officials and academics to consider the contribution of historically informed inquiry to central bank policy making.
Please note: this event has passed.
Spotlight
Helping develop more responsive forecasting models for the Bank of England and European Central Bank
King's Business School research helps address the challenge of constant and sometimes sudden change

An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
Kapetanios, G., Serlenga, L. & Shin, Y., 2024, In: Journal of Business and Economic Statistics. 42, 2, p. 743-761 19 p.Research output: Contribution to journal › Article › peer-review
Assessing the economy using faster indicators
Kapetanios, G. & Papailias, F., Jan 2024, In: JOURNAL OF FORECASTING. 43, 1, p. 208-223 16 p.Research output: Contribution to journal › Article › peer-review
Forecasting in factor augmented regressions under structural change
Massacci, D. & Kapetanios, G., 1 Jan 2024, In: INTERNATIONAL JOURNAL OF FORECASTING. 40, 1, p. 62-76 15 p.Research output: Contribution to journal › Article › peer-review
Forecasting UK inflation bottom up
Joseph, A., Potjagailo, G., Chakraborty, C. & Kapetanios, G., 1 Oct 2024, In: INTERNATIONAL JOURNAL OF FORECASTING. 40, 4, p. 1521-1538 18 p.Research output: Contribution to journal › Article › peer-review
A new test for market efficiency and uncovered interest parity
Baillie, R. T., Diebold, F. X., Kapetanios, G. & Kim, K. H., Feb 2023, In: JOURNAL OF INTERNATIONAL MONEY AND FINANCE. 130, 102765.Research output: Contribution to journal › Article › peer-review
Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression
Chronopoulos, I., Raftapostolos, A. & Kapetanios, G., 15 May 2023, In: Journal of Financial Econometrics.Research output: Contribution to journal › Article › peer-review
Mean group instrumental variable estimation of time-varying large heterogeneous panels with endogenous regressors
Bai, Y., Marcellino, M. & Kapetanios, G., 2023, (Accepted/In press) In: Econometrics and Statistics.Research output: Contribution to journal › Article › peer-review
Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects
Kapetanios, G., Serlenga, L. & Shin, Y., Jun 2023, In: Empirical Economics. 64, 6, p. 2611-2659 49 p.Research output: Contribution to journal › Article › peer-review
Choosing between persistent and stationary volatility
Chronopoulos, I., Giraitis, L. & Kapetanios, G., 31 Dec 2022, In: ANNALS OF STATISTICS. 50, 6, p. 3466-3483 18 p.Research output: Contribution to journal › Article › peer-review
Hierarchical Time-Varying Estimation of Asset Pricing Models
Baillie, R. T., Calonaci, F. & Kapetanios, G., Jan 2022, In: Journal of Risk and Financial Management. 15, 1, 14.Research output: Contribution to journal › Article › peer-review
How did consumers react to the COVID-19 pandemic over time?
Kapetanios, G., Neuteboom, N., Ritsema, F. & Ventouri, A., Oct 2022, In: OXFORD BULLETIN OF ECONOMICS AND STATISTICS. 84, 5, p. 961-993 33 p.Research output: Contribution to journal › Article › peer-review
Making text count: Economic forecasting using newspaper text
Kalamara, E., Turrell, A., Redl, C., Kapetanios, G. & Kapadia, S., Aug 2022, In: JOURNAL OF APPLIED ECONOMETRICS. 37, 5, p. 896-919 24 p.Research output: Contribution to journal › Article › peer-review
Detection of Units with Pervasive Effects in Large Panel Data Models
Kapetanios, G., Pesaran, M. H. & Reese, S., Apr 2021, In: JOURNAL OF ECONOMETRICS. 221, 2Research output: Contribution to journal › Article › peer-review
Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure
Kapetanios, G., Serlenga, L. & Shin, Y., Feb 2021, In: JOURNAL OF ECONOMETRICS. 220, 2, 504 p.Research output: Contribution to journal › Article › peer-review
Estimation of Time-Varying Covariance Matrices for Large Datasets
Dendramis, Y., Giraitis, L. & Kapetanios, G., 8 Dec 2021, In: ECONOMETRIC THEORY. 37, 6, p. 1100-1134 35 p.Research output: Contribution to journal › Article › peer-review
Investigating the predictive ability of ONS big data-based indicators
Kapetanios, G. & Papailias, F., 26 Aug 2021, (E-pub ahead of print) In: JOURNAL OF FORECASTING. 41, 2Research output: Contribution to journal › Article › peer-review
Measurement of factor strength: Theory and practice
Bailey, N., Kapetanios, G. & Pesaran, M. H., Aug 2021, In: JOURNAL OF APPLIED ECONOMETRICS. 36, 5, p. 587-613 27 p.Research output: Contribution to journal › Article › peer-review
Time-Varying Instrumental Variable Estimation
Giraitis, L., Kapetanios, G. & Marcellino, M., 24 Aug 2021, (E-pub ahead of print) In: JOURNAL OF ECONOMETRICS. 224, 2, p. 394-415Research output: Contribution to journal › Article › peer-review
A similarity-based approach for macroeconomic forecasting
Dendramis, Y., Kapetanios, G. & Marcellino, M., 1 Jun 2020, In: Journal of the Royal Statistical Society. Series A: Statistics in Society. 183, 3, p. 801-827 27 p.Research output: Contribution to journal › Article › peer-review
Common correlated effect cross-sectional dependence corrections for nonlinear conditional mean panel models
Hacıoğlu Hoke, S. & Kapetanios, G., 17 Aug 2020, (E-pub ahead of print) In: JOURNAL OF APPLIED ECONOMETRICS.Research output: Contribution to journal › Article › peer-review
State-level wage Phillips curves
Kapetanios, G., Price, S., Tasiou, M. & Ventouri, A., 1 Jan 2020, (Accepted/In press) In: Econometrics and Statistics.Research output: Contribution to journal › Article › peer-review
Time-varying cointegration with an application to the UK Great Ratios
Kapetanios, G., Millard, S., Petrova, K. & Price, S., Aug 2020, In: ECONOMICS LETTERS. 193, 109213.Research output: Contribution to journal › Article › peer-review
A comprehensive evaluation of macroeconomic forecasting methods
Carriero, A., Galvão, A. B. & Kapetanios, G., 2019, In: INTERNATIONAL JOURNAL OF FORECASTING. 35, 4, p. 1226-1239 14 p.Research output: Contribution to journal › Article › peer-review
A new approach for detecting shifts in forecast accuracy
Chiu, C. W., Hayes, S., Kapetanios, G. & Theodoridis, K., 1 Oct 2019, In: INTERNATIONAL JOURNAL OF FORECASTING. 35, 4, p. 1596-1612 17 p.Research output: Contribution to journal › Article › peer-review
A time-varying parameter structural model of the UK economy
Kapetanios, G., Masolo, R. M., Petrova, K. & Waldron, M., Sept 2019, In: Journal of Economic Dynamics and Control. 106, 103705.Research output: Contribution to journal › Article › peer-review
Exponent of Cross-sectional Dependence for Residuals
Bailey, N., Kapetanios, G. & Pesaran, M. H., 1 Sept 2019, In: Sankhya B. 81, p. 46-102 57 p.Research output: Contribution to journal › Article › peer-review
Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market
Kapetanios, G., Konstantinidi, E., Neumann, M. & Skiadopoulos, G., 1 Nov 2019, In: JOURNAL OF FINANCIAL MARKETS. 46, 100506.Research output: Contribution to journal › Article › peer-review
Kernel-based Volatility Generalised Least Squares
Chronopoulos, I., Kapetanios, G. & Petrova, K., 1 Dec 2019, In: Econometrics and Statistics.Research output: Contribution to journal › Article › peer-review
Large time-varying parameter VARs: A nonparametric approach
Kapetanios, G., Marcellino, M. & Venditti, F., 1 Nov 2019, In: JOURNAL OF APPLIED ECONOMETRICS. 34, 7, p. 1027-1049 23 p.Research output: Contribution to journal › Article › peer-review
A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models
Chudik, A., Kapetanios, G. & Pesaran, M. H., 2018, In: Econometrica. 86, 4, p. 1479-1512Research output: Contribution to journal › Article › peer-review
A UK financial conditions index using targeted data reduction: Forecasting and structural identification
Kapetanios, G., Price, S. & Young, G., 1 Jul 2018, In: Econometrics and Statistics. 7, 17 p.Research output: Contribution to journal › Article › peer-review
Estimation and forecasting in vector autoregressive moving average models for rich datasets
Dias, G. F. & Kapetanios, G., Jan 2018, In: JOURNAL OF ECONOMETRICS. 202, 1, p. 75-91Research output: Contribution to journal › Article › peer-review
Time-varying Lasso
Kapetanios, G. & Zikes, F., 3 May 2018, (E-pub ahead of print) In: ECONOMICS LETTERS.Research output: Contribution to journal › Article › peer-review
Unconventional Monetary Policies and the Macroeconomy: The Impact of the UK's QE2 and Funding for Lending Scheme
Churm, R., Joyce, M., Kapetanios, G. & Theodoridis, K., 24 Oct 2018, (E-pub ahead of print) In: QUARTERLY REVIEW OF ECONOMICS AND FINANCE.Research output: Contribution to journal › Article › peer-review
Inference for impulse response coefficients from multivariate fractionally integrated processes
Baillie, R. T., Kapetanios, G. & Papailias, F., 16 Mar 2017, In: ECONOMETRIC REVIEWS. 36, 1-3, p. 60-84Research output: Contribution to journal › Article › peer-review
Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
Giraitis, L., Kapetanios, G. & Yates, T., 5 Dec 2017, (E-pub ahead of print) In: JOURNAL OF TIME SERIES ANALYSIS. 21 p.Research output: Contribution to journal › Article › peer-review
Liquidity Creation Through Efficient M&As: A Viable Solution for Vulnerable Banking Systems? Evidence From a Stress Test Under a Panel VAR methodology
Baltas, K. N., Kapetanios, G., Tsionas, E. & Izzeldin, M., 6 Jun 2017, (E-pub ahead of print) In: Journal of Banking and Finance. 83, p. 36-56Research output: Contribution to journal › Article › peer-review
Modelling in the presence of cross-sectional error dependence
Kapetanios, G., Mastromarco, C., Serlenga, L. & Shin, Y., 1 Jan 2017, Advanced Studies in Theoretical and Applied Econometrics. SPRINGER, p. 291-322 32 p. (Advanced Studies in Theoretical and Applied Econometrics; vol. 50).Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review
Regulatory capture and financial crisis: Comment on “Modelling human behavior in economics and social science” by Marina Dolfin, Leone Leonida, and Nisrina Outada
Kapetanios, G. & Muzzupappa, E., 8 Sept 2017, (E-pub ahead of print) In: Physics Of Life Reviews.Research output: Contribution to journal › Article › peer-review
Resuscitating real interest rate parity: new evidence from panels
Chortareas, G., Kapetanios, G. & Magkonis, G., 29 Nov 2017, (E-pub ahead of print) In: European Journal Of Finance. p. 1-17 17 p.Research output: Contribution to journal › Article › peer-review
A new summary measure of inflation expectations
Kapetanios, G., Maule, B. & Young, G., 1 Dec 2016, In: ECONOMICS LETTERS. 149, p. 83-85 3 p.Research output: Contribution to journal › Article › peer-review
A time varying DSGE model with financial frictions
Galvão, A. B., Giraitis, L., Kapetanios, G. & Petrova, K., 1 Sept 2016, In: Journal of Empirical Finance. 38, Part B, p. 690-716 27 p.Research output: Contribution to journal › Article › peer-review
Comparing logit-based early warning systems: Does the duration of systemic banking crises matter?
Caggiano, G., Calice, P., Leonida, L. & Kapetanios, G., 1 Jun 2016, In: Journal of Empirical Finance. 37, 0, p. 104-116Research output: Contribution to journal › Article › peer-review
Credit Market Freedom and Cost Efficiency in US state banking
Chortareas, G., Kapetanios, G. & Ventouri, A., 1 Jun 2016, In: Journal of Empirical Finance. 37, 0, p. 173-185Research output: Contribution to journal › Article › peer-review
Estimating the Dynamics and Persistence of Financial Networks, with an Application to the Sterling Money Market
Giratis, L., Kapetanios, G., Wetherilt, A. & Zikes, F., 8 Feb 2016, (E-pub ahead of print) In: JOURNAL OF ECONOMETRICS. 31, 1Research output: Contribution to journal › Article › peer-review
Exponent of Cross-Sectional Dependence: Estimation and Inference
Bailey, N., Kapetanios, G. & Hashem Pesaran, M., 2 Oct 2016, (E-pub ahead of print) In: JOURNAL OF APPLIED ECONOMETRICS. 31, 6Research output: Contribution to journal › Article › peer-review
Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods
Kapetanios, G., Marcellino, M. & Papailias, F., 1 Aug 2016, In: COMPUTATIONAL STATISTICS AND DATA ANALYSIS. 100, 0, p. 369-382Research output: Contribution to journal › Article › peer-review
Revisiting useful approaches to data-rich macroeconomic forecasting
Groen, J. & Kapetanios, G., 21 Jan 2016, (E-pub ahead of print) In: COMPUTATIONAL STATISTICS AND DATA ANALYSIS. 100Research output: Contribution to journal › Article › peer-review
Structural analysis with Multivariate Autoregressive Index models
Carriero, A., Kapetanios, G. & Marcellino, M., 1 Jun 2016, In: JOURNAL OF ECONOMETRICS. 192, 2, p. 332-348 17 p.Research output: Contribution to journal › Article › peer-review
A new approach to multi-step forecasting using dynamic stochastic general equilibrium models
Kapetanios, G., Price, S. & Theodoridis, K., 1 Nov 2015, In: ECONOMICS LETTERS. 136, p. 237-242 6 p.Research output: Contribution to journal › Article › peer-review
Research

Data Analytics for Finance and Macro
Forecasting trends is more important now than it has ever been. Our quantitative financial and macroeconomic research helps central banks and statistical agencies better understand their markets.

Qatar Centre for Global Banking & Finance
The Qatar Centre for Global Banking & Finance is a research centre dedicated to the study of central banks and the challenges they face in the global environment. It aims to develop cutting-edge research in all areas of central bank policy making, ranging from monetary policy to financial stability and regulation.
News
Spring School in Monetary & Financial Policy Analysis
The global economy is undergoing profound change, from the impact of climate change to the growth of digital currencies. At the same time, we are seeing rapid...

Understanding consumer behaviour during Covid-19 lockdowns
Case rate at a local level is an important influence

New COVID-19 relating forecasting tool for central banks
New approach and COVID-19 case forecasts to help central banks with pandemic-related economic forecasting.

DAFM Research Centre launch
On 19 April, King's Business School invited the Chief Economist of the Bank of England, Andy Haldane, to help launch the Data Analytics for Finance and Macro...

Events

ECONDAT 2023 spring meeting: Economics with non-traditional data and analytical tools
King's Business School welcomes you to the ECONDAT Conference 2023, hosted by Data Analytics for Finance and Macro research centre.
Please note: this event has passed.

History and Policy Making Conference with Bank of England
A two-day event bringing together senior officials and academics to consider the contribution of historically informed inquiry to central bank policy making.
Please note: this event has passed.
Spotlight
Helping develop more responsive forecasting models for the Bank of England and European Central Bank
King's Business School research helps address the challenge of constant and sometimes sudden change
