Research

Journal Articles:

1. Forecasting Value-at-Risk using deep neural network quantile regression, with A. Raftapostolos and G. Kapetanios, Journal of Financial Econometrics, 2023
   *Formerly circulated as Deep Quantile Regression

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

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

Working Papers:

1. High-Dimensional Generalised Penalised Least Squares, with K. Chrysikou and G. Kapetanios (Revise and Resubmit at Econometric Theory)

2. Deep Neural Network Estimation in Panel Data Models, with K. Chrysikou, G. Kapetanios, J. Mitchell and A. Raftapostolos (Reject with option to Resubmit at Journal of Econometrics)

3. Forecasting with Deep Pooled Panel Neural Networks, with K. Chrysikou, G. Kapetanios, J. Mitchell and A. Raftapostolos (Revised and resubmitted at Econometric Reviews)

4. Uniform Inference in Penalised Linear Models, with K. Chrysikou,  G. Kapetanios and Y. Zhang

5. Non-linear Nuclear Norm Penalised Inference, with G. Kapetanios and A. Raftapostolos

6. Time Varying Generalised Penalised Least Squares, with K. Chrysikou, L. Giraitis and  G. Kapetanios 

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