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A stochastic variance factor model for large datasets and an application to S&P data
Cipollini, Andrea (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001920657
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A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data
Kapetanios, George - 2009
The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We suggest the use of the principal component methodology of Stock and Watson [Stock, J.H., Watson, M.W., 2002. Macroeconomic forecasting using diffusion indices. Journal of Business...
Persistent link: https://www.econbiz.de/10013159687
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A stochastic variance factor model for large datasets and an application to S&P data
Cipollini, Andrea; Kapetanios, George - In: Economics letters 100 (2008) 1, pp. 130-134
Persistent link: https://www.econbiz.de/10003747500
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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
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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
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A comparison of estimation methods for dynamic factor models of large dimensions
Kapetanios, George (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001867670
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A new method for determining the number of factors in factor models with large datasets
Kapetanios, George (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002403209
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A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset
Kapetanios, George - In: Economics letters 85 (2004) 1, pp. 63-69
Persistent link: https://www.econbiz.de/10002215537
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
The tensions between books and book markets as expressions of culture and books as products in profit-making businesses are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for books through laws concerning prices of books, grants...
Persistent link: https://www.econbiz.de/10002734112
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808264