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Bivariate garch estimation of the optimal commodity futures hedge
Baillie, Richard - In: Journal of applied econometrics 6 (1991) 2, pp. 109-124
Persistent link: https://www.econbiz.de/10001107425
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Analysing inflation by the fractionally integrated ARFIMA-GARCH model
Baillie, Richard - In: Journal of applied econometrics 11 (1996) 1, pp. 23-40
Persistent link: https://www.econbiz.de/10001196179
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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
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HOW PUZZLING IS THE PPP PUZZLE? AN ALTERNATIVE HALF‐LIFE MEASURE OF CONVERGENCE TO PPP
Chortareas, Georgios; Kapetanios, George - In: Journal of applied econometrics 28 (2013) 3, pp. 435-457
Persistent link: https://www.econbiz.de/10010096156
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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/10007723966
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MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE
Groen, Jan J. J.; Kapetanios, George; Price, Simon - In: Journal of applied econometrics 28 (2013) 2, pp. 250-274
Persistent link: https://www.econbiz.de/10010083578
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Estimating time variation in measurement error from data revisions: an application to backcasting and forecasting in dynamic models
Kapetanios, George; Yates, Tony - In: Journal of applied econometrics 25 (2010) 5, pp. 869-894
Persistent link: https://www.econbiz.de/10008433215
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Estimating time variation in measurement error from data revisions : an application to backcasting and forecasting in dynamic models
Kapetanios, George; Yates, Anthony - In: Journal of applied econometrics 25 (2010) 5, pp. 869-893
Persistent link: https://www.econbiz.de/10008667439
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Forecasting large datasets with Bayesian reduced rank multivariate models
Carriero, Andrea; Kapetanios, George; Marcellino, … - In: Journal of applied econometrics 26 (2011) 5, pp. 735-761
Persistent link: https://www.econbiz.de/10009408921
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How puzzling is the PPP puzzle? : an alternative half-life measure of convergence to PPP
Chortareas, Georgios E.; Kapetanios, George - In: Journal of applied econometrics 28 (2013) 3, pp. 435-457
Persistent link: https://www.econbiz.de/10009756501