Research

Journal Articles:

1. Choosing between persistent and stationary volatility, with L. Giraitis and G. Kapetanios, Annals of Statistics, 2022, Vol. 50, pp. 3466-3483

2. Kernel-Based Volatility Generalised Least Squares, with G. Kapetanios and K. Petrova, Econometrics and Statistics, 2021, Vol. 20, pp. 2-11

Working Papers:

1. Deep Quantile Regression, with A. Raftapostolos and G. Kapetanios (second revise and resubmit, Journal of Financial Econometrics)

2. High-dimensional generalised penalised least squares, with K. Chrysikou and G. Kapetanios (submitted)

3. Sieve-type GLS inference for panel data models, with G. Kapetanios 

4. A generalised Lp-norm filter for time-varying coefficient models, with G. Kapetanios and K. Petrova 

5. Non-linear nuclear norm penalised inference, with G. Kapetanios and A. Raftapostolos

6. On statistical time series methods for forecasting the 2020 CoViD pandemic, with K. Chrysikou, G. Kapetanios, A. Raftapostolos and M. Weale (preliminary draft attached)

Work in Progress:

1. Time-varying estimation in panel data models

2. Choosing between persistent and stationary large dimensional volatility, with Y. Dendramis and G. Kapetanios

3. A two-step semi-parametric volatility estimator for conditional volatility of asset returns, with L. Giraitis and G. Kapetanios

4. Regularisation of large covariances by nearest-neighbour thresholding, with D. Georgiadis and G. Kapetanios