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
Machine Learning for Economic Policy Nonparametric Time Varying IV-SVARs: Estimation and Inference Reducing labour market flexibility: A causal inference study on reform in The Netherlands Unlocking the Regression Space An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects Assessing the economy using faster indicators Forecasting in factor augmented regressions under structural change Forecasting UK inflation bottom up Forecasting with Machine Learning methods and multiple large datasets Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects A new test for market efficiency and uncovered interest parity Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression Mean group instrumental variable estimation of time-varying large heterogeneous panels with endogenous regressors Testing for correlation between the regressors and factor loadings in heterogeneous panels with interactive effects Choosing between persistent and stationary volatility Hierarchical Time-Varying Estimation of Asset Pricing Models How did consumers react to the COVID-19 pandemic over time? Making text count: Economic forecasting using newspaper text Detection of Units with Pervasive Effects in Large Panel Data Models Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure Estimation of Time-Varying Covariance Matrices for Large Datasets Investigating the predictive ability of ONS big data-based indicators Measurement of factor strength: Theory and practice Time-Varying Instrumental Variable Estimation A similarity-based approach for macroeconomic forecasting Common correlated effect cross-sectional dependence corrections for nonlinear conditional mean panel models State-level wage Phillips curves Time-varying cointegration with an application to the UK Great Ratios A comprehensive evaluation of macroeconomic forecasting methods A new approach for detecting shifts in forecast accuracy A time-varying parameter structural model of the UK economy Exponent of Cross-sectional Dependence for Residuals Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market Kernel-based Volatility Generalised Least Squares Large time-varying parameter VARs: A nonparametric approach A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models A UK financial conditions index using targeted data reduction: Forecasting and structural identification Estimation and forecasting in vector autoregressive moving average models for rich datasets Time-varying Lasso Unconventional Monetary Policies and the Macroeconomy: The Impact of the UK's QE2 and Funding for Lending Scheme Inference for impulse response coefficients from multivariate fractionally integrated processes Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models Liquidity Creation Through Efficient M&As: A Viable Solution for Vulnerable Banking Systems? Evidence From a Stress Test Under a Panel VAR methodology Modelling in the presence of cross-sectional error dependence Regulatory capture and financial crisis: Comment on “Modelling human behavior in economics and social science” by Marina Dolfin, Leone Leonida, and Nisrina Outada Resuscitating real interest rate parity: new evidence from panels A new summary measure of inflation expectations A time varying DSGE model with financial frictions Comparing logit-based early warning systems: Does the duration of systemic banking crises matter? Credit Market Freedom and Cost Efficiency in US state banking View all publications
9 May 2018 DAFM Research Centre launch On 19 April, King's Business School invited the Chief Economist of the Bank of England, Andy…