Estimating Deterministically Time-Varying Variances in Regression Models
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- Kapetanios, George, 2007. "Estimating deterministically time-varying variances in regression models," Economics Letters, Elsevier, vol. 97(2), pages 97-104, November.
References listed on IDEAS
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Cited by:
- Giraitis, Liudas & Kapetanios, George & Price, Simon, 2013.
"Adaptive forecasting in the presence of recent and ongoing structural change,"
Journal of Econometrics, Elsevier, vol. 177(2), pages 153-170.
- Liudas Giraitis & George Kapetanios & Simon Price, 2012. "Adaptive Forcasting in the Presence of Recent and Ongoing Structural Change," CAMA Working Papers 2012-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Giraitis, Liudas & Kapetanios, George & Price, Simon, 2014. "Adaptive forecasting in the presence of recent and ongoing structural change," Bank of England working papers 490, Bank of England.
- Liudas Giraitis & George Kapetanios & Simon Price, 2012. "Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change," Working Papers 691, Queen Mary University of London, School of Economics and Finance.
- Henrik Jensen & Ivan Petrella & Søren Hove Ravn & Emiliano Santoro, 2020.
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American Economic Journal: Macroeconomics, American Economic Association, vol. 12(1), pages 245-281, January.
- Petrella, Ivan & Jensen, Henrik & Ravn, Søren Hove & Santoro, Emiliano, 2017. "Leverage and Deepening Business Cycle Skewness," CEPR Discussion Papers 12239, C.E.P.R. Discussion Papers.
- Jensen, Henrik & Petrella, Ivan & Ravn, Soren & Santoro, Emiliano, 2019. "Leverage and Deepening Business Cycle Skewness," EMF Research Papers 21, Economic Modelling and Forecasting Group.
- Mogens Fosgerau & Jinwon Kim & Abhishek Ranjan, 2017. "Vickrey Meets Alonso: Commute Scheduling and Congestion in a Monocentric City," Discussion Papers 17-25, University of Copenhagen. Department of Economics.
- Henrik Jensen & Ivan Petrella & Søren Hove Ravn & Emiliano Santoro, 2017. "Leverage and deepening business cycle skewness," Working Papers 1732, Banco de España.
- Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan, 2008. "Nonparametric estimation of conditional beta pricing models," DEE - Working Papers. Business Economics. WB wb082403, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Eklund, Jana & Kapetanios, George & Price, Simon, 2010.
"Forecasting in the presence of recent structural change,"
Bank of England working papers
406, Bank of England.
- Eklund, J. & Kapetanios, G. & Price, S., 2011. "Forecasting in the presence of recent structural change," Working Papers 11/05, Department of Economics, City University London.
- Jana Eklund & George Kapetanios & Simon Price, 2011. "Forecasting in the presence of recent structural change," CAMA Working Papers 2011-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan, 2011.
"Conditional beta pricing models: A nonparametric approach,"
Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3362-3382.
- Ferreira García, María Eva & Gil Bazo, Javier & Orbe Mandaluniz, Susan, 2010. "Conditional beta pricing models: A nonparametric approach," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
- George Kapetanios & Tony Yates, 2014.
"Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change,"
Empirical Economics, Springer, vol. 47(1), pages 305-345, August.
- Kapetanios, George & Yates, Tony, 2011. "Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change," Bank of England working papers 434, Bank of England.
- repec:cty:dpaper:12/02 is not listed on IDEAS
- George Kapetanios, 2005.
"Tests for Deterministic Parametric Structural Change in Regression Models,"
Working Papers
539, Queen Mary University of London, School of Economics and Finance.
- George Kapetanios, 2005. "Tests for Deterministic Parametric Structural Change in Regression Models," Working Papers 539, Queen Mary University of London, School of Economics and Finance.
- Giraitis, Liudas & Kapetanios, George & Price, Simon, 2013.
"Adaptive forecasting in the presence of recent and ongoing structural change,"
Journal of Econometrics, Elsevier, vol. 177(2), pages 153-170.
- Liudas Giraitis & George Kapetanios & Simon Price, 2012. "Adaptive Forcasting in the Presence of Recent and Ongoing Structural Change," CAMA Working Papers 2012-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Liudas Giraitis & George Kapetanios & Simon Price, 2012. "Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change," Working Papers 691, Queen Mary University of London, School of Economics and Finance.
- Giraitis, Liudas & Kapetanios, George & Price, Simon, 2014. "Adaptive forecasting in the presence of recent and ongoing structural change," Bank of England working papers 490, Bank of England.
- Liudas Giraitis & George Kapetanios & Simon Price, 2012. "Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change," Working Papers 691, Queen Mary University of London, School of Economics and Finance.
- George Kapetanios, 2007.
"Testing for Strict Stationarity,"
Working Papers
602, Queen Mary University of London, School of Economics and Finance.
- George Kapetanios, 2007. "Testing for Strict Stationarity," Working Papers 602, Queen Mary University of London, School of Economics and Finance.
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More about this item
Keywords
Structural change; Non-stationarity; Deterministic time-variation;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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