George Kapetanios is Professor of Finance and Econometrics at King's Business School. Professor George Kapetanios Academics Supervisors Professor of Finance and Econometrics Head of Department, Banking & Finance. Director of Data Analytics for Finance and Macro (DAFM) Research Centre. Research subject areas Banking & Finance Contact details george.kapetanios@kcl.ac.uk +44 (0)20 7836 5454 4951
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. DOIs: https://doi.org/10.1016/j.jimonfin.2022.102765 Forecasting in factor augmented regressions under structural change Massacci, D. & Kapetanios, G., 2023, (Accepted/In press) In: INTERNATIONAL JOURNAL OF FORECASTING. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1016/j.ijforecast.2022.12.004 Choosing between persistent and stationary volatility Chronopoulos, I., Giraitis, L. & Kapetanios, G., 1 Dec 2022, In: ANNALS OF STATISTICS. 50, 6, p. 3466-3483 18 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1214/22-AOS2236 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. DOIs: https://doi.org/10.1111/obes.12507 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. DOIs: https://doi.org/10.1002/jae.2907 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. DOIs: https://doi.org/10.3390/jrfm15010014 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, 2 Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1002/for.2805 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. DOIs: https://doi.org/10.1002/jae.2830 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. DOIs: https://doi.org/10.1002/jae.2799 Time-Varying Instrumental Variable Estimation Giraitis, L., Kapetanios, G. & Marcellino, M., 3 Aug 2020, (Accepted/In press) In: JOURNAL OF ECONOMETRICS. Research output: Contribution to journal › Article › peer-review View all publications
Banking & Finance Data Analytics for Finance and Macro (DAFM) Qatar Centre for Global Banking & Finance
9 May 2018 DAFM Research Centre launch On 19 April, King's Business School invited the Chief Economist of the Bank of England, Andy…