King's College London

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Banking & Finance

Organisational unit: Division

  1. THE RELATIONSHIP BETWEEN COVID-19 AND THE FINANCIAL MARKET

    Massacci, D., 1 Jun 2022, Contributions to Economic Analysis. Emerald Group Holdings Ltd., p. 71-84 14 p. (Contributions to Economic Analysis; vol. 296).

    Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

  2. Making text count: Economic forecasting using newspaper text

    Kalamara, E., Turrell, A., Redl, C., Kapetanios, G. & Kapadia, S., 11 May 2022, (E-pub ahead of print) In: JOURNAL OF APPLIED ECONOMETRICS.

    Research output: Contribution to journalArticlepeer-review

  3. Sentiment and speculation in a market with heterogeneous beliefs

    Martin, I. W. R. & Papadimitriou, D., 11 Mar 2022, (E-pub ahead of print) In: AMERICAN ECONOMIC REVIEW.

    Research output: Contribution to journalArticlepeer-review

  4. Hierarchical Time-Varying Estimation of Asset Pricing Models

    Baillie, R. T., Calonaci, F. & Kapetanios, G., Jan 2022, In: Journal of Risk and Financial Management. 15, 1, 14.

    Research output: Contribution to journalArticlepeer-review

  5. US and EA yield curve persistence during the COVID-19 pandemic

    Papailias, F., Jan 2022, In: Finance research letters. 44, 102087.

    Research output: Contribution to journalArticlepeer-review

  6. Britain and BrExit: Is the UK more attractive to supervisors? An analysis of the wage premium to supervision across the EU

    Leonida, L., Giangreco, A., Scicchitano, S. & Biagetti, M., 2022, (Accepted/In press) In: British Journal of Industrial Relations.

    Research output: Contribution to journalArticlepeer-review

  7. How did consumers react to the COVID-19 pandemic over time?

    Kapetanios, G., Neuteboom, N., Ritsema, F. & Ventouri, A., 2022, (Accepted/In press) In: OXFORD BULLETIN OF ECONOMICS AND STATISTICS.

    Research output: Contribution to journalArticlepeer-review

  8. Financial advice and gender: Wealthy individual investors in the UK

    Baeckström, Y., Marsh, I. W. & Silvester, J., Dec 2021, In: Journal of Corporate Finance. 71, 101882.

    Research output: Contribution to journalArticlepeer-review

  9. Informal Institutions and Corporate Reputational Exposure: The Role of Public Environmental Perceptions

    Gaganis, C., Papadimitri, P., Pasiouras, F. & Ventouri, A., Oct 2021, In: British Journal of Management. 32, 4, p. 1027-1061 35 p.

    Research output: Contribution to journalArticlepeer-review

  10. Forecasting stock returns with large dimensional factor models

    Giovannelli, A., Massacci, D. & Soccorsi, S., Sep 2021, In: Journal of Empirical Finance. 63, p. 252-269 18 p.

    Research output: Contribution to journalArticlepeer-review

  11. Investigating the predictive ability of ONS big data-based indicators

    Kapetanios, G. & Papailias, F., 26 Aug 2021, (E-pub ahead of print) In: JOURNAL OF FORECASTING. 41, 2

    Research output: Contribution to journalArticlepeer-review

  12. Measurement of factor strength: Theory and practice

    Bailey, N., Kapetanios, G. & Pesaran, M. H., Aug 2021, In: JOURNAL OF APPLIED ECONOMETRICS. 36, 5, p. 587-613 27 p.

    Research output: Contribution to journalArticlepeer-review

  13. Variations in investment advice provision: A study of financial advisors of millionaire investors

    Baeckström, Y., Marsh, I. W. & Silvester, J., Aug 2021, In: Journal of Economic Behavior and Organization. 188, p. 716-735 20 p.

    Research output: Contribution to journalArticlepeer-review

  14. Direction-of-change forecasting in commodity futures markets

    Liu, J., Papailias, F. & Quinn, B., Mar 2021, In: International Review of Financial Analysis. 74, 101677.

    Research output: Contribution to journalArticlepeer-review

  15. Return signal momentum

    Papailias, F., Liu, J. & Thomakos, D. D., Mar 2021, In: Journal of Banking and Finance. 124, 106063.

    Research output: Contribution to journalArticlepeer-review

  16. A kinetic theory model of the dynamics of liquidity profiles on interbank networks

    Dolfin, M., Leonida, L. & Muzzupappa, E., Feb 2021, In: Symmetry. 13, 2, p. 1-17 17 p., 363.

    Research output: Contribution to journalArticlepeer-review

  17. Does higher unemployment lead to greater criminality? Revisiting the debate over the business cycle

    Jawadi, F., Mallick, S. K., Idi Cheffou, A. & Augustine, A., Feb 2021, In: Journal of Economic Behavior and Organization. 182, p. 448-471 24 p.

    Research output: Contribution to journalArticlepeer-review

  18. Time series reversal in trend-following strategies

    Liu, J. & Papailias, F., 2021, (Accepted/In press) In: European Financial Management.

    Research output: Contribution to journalArticlepeer-review

  19. Why are fiscal multipliers asymmetric? The role of credit constraints

    McManus, R., Ozkan, F. G. & Trzeciakiewicz, D., 3 Dec 2020, In: ECONOMICA. 88, 349, p. 32-69 38 p.

    Research output: Contribution to journalArticle

  20. Common correlated effect cross-sectional dependence corrections for nonlinear conditional mean panel models

    Hacıoğlu Hoke, S. & Kapetanios, G., 17 Aug 2020, (E-pub ahead of print) In: JOURNAL OF APPLIED ECONOMETRICS.

    Research output: Contribution to journalArticlepeer-review

  21. Time-Varying Instrumental Variable Estimation

    Giraitis, L., Kapetanios, G. & Marcellino, M., 3 Aug 2020, (Accepted/In press) In: JOURNAL OF ECONOMETRICS.

    Research output: Contribution to journalArticlepeer-review

  22. The effects of board of directors’ education on firms’ credit ratings

    Papadimitri, P., Pasiouras, F., Tasiou, M. & Ventouri, A., Aug 2020, In: Journal of Business Research. 116, p. 294-313 20 p.

    Research output: Contribution to journalArticlepeer-review

  23. Time-varying cointegration with an application to the UK Great Ratios

    Kapetanios, G., Millard, S., Petrova, K. & Price, S., Aug 2020, In: ECONOMICS LETTERS. 193, 109213.

    Research output: Contribution to journalArticlepeer-review

  24. A similarity-based approach for macroeconomic forecasting

    Dendramis, Y., Kapetanios, G. & Marcellino, M., 1 Jun 2020, In: Journal of the Royal Statistical Society. Series A: Statistics in Society. 183, 3, p. 801-827 27 p.

    Research output: Contribution to journalArticlepeer-review

  25. Detection of Units with Pervasive Effects in Large Panel Data Models

    Kapetanios, G., Pesaran, M. H. & Reese, S., 24 May 2020, (Accepted/In press) In: JOURNAL OF ECONOMETRICS.

    Research output: Contribution to journalArticlepeer-review

  26. Governing death. Organizing end-of-life situations

    Le Theule, M-A., Lambert, C. & Morales, J., 1 Apr 2020, In: Organization Studies. 41, 4, p. 523-542 20 p.

    Research output: Contribution to journalArticlepeer-review

  27. Estimation and Inference for Multi-dimensional Heterogeneous Panel Datasets with Hierarchical Multi-factor Error Structure

    Kapetanios, G., Serlenga, L. & Shin, Y., 21 Jan 2020, (Accepted/In press) In: JOURNAL OF ECONOMETRICS.

    Research output: Contribution to journalArticlepeer-review

  28. Local Public Corruption and Bank Lending Activity in the United States

    Bermpei, T., Kalyvas, A. N. & Leonida, L., 3 Jan 2020, (E-pub ahead of print) In: JOURNAL OF BUSINESS ETHICS. 0, 0, p. 1-26 26 p.

    Research output: Contribution to journalArticlepeer-review

  29. State-level wage Phillips curves

    Kapetanios, G., Price, S., Tasiou, M. & Ventouri, A., 1 Jan 2020, (Accepted/In press) In: Econometrics and Statistics.

    Research output: Contribution to journalArticlepeer-review

  30. Credit, financial conditions, and the monetary transmission mechanism

    Aikman, D., Lehnert, A., Liang, N. & Modugno, M., 2020, (Accepted/In press) In: International journal of central banking.

    Research output: Contribution to journalArticlepeer-review

  31. Failure of capital requirements regulation in the banking industry: Evidence from a bank-based financial system

    Muzzupappa, E., Leonida, L. & Limosani, M., 2020, In: Journal of Public Finance and Public Choice. 35, 1, p. 63-79 17 p.

    Research output: Contribution to journalArticlepeer-review

  32. Kernel-based Volatility Generalised Least Squares

    Chronopoulos, I., Kapetanios, G. & Petrova, K., 1 Dec 2019, In: Econometrics and Statistics.

    Research output: Contribution to journalArticlepeer-review

  33. Unstable Diffusion Indexes: With an Application to Bond Risk Premia

    Massacci, D., Dec 2019, In: OXFORD BULLETIN OF ECONOMICS AND STATISTICS. 81, 6, p. 1376-1400 25 p.

    Research output: Contribution to journalArticlepeer-review

  34. Expansionary contractions and fiscal free lunches: too good to be true?

    McManus, R., Ozkan, F. G. & Trzeciakiewicz, D., 4 Nov 2019, 1 ed., Scandinavian Journal of Economics, p. 32-54, 23 p. (Scandinavian Journal of Economics).

    Research output: Working paper/PreprintWorking paper

  35. Fiscal consolidations and distributional effects: which form of fiscal austerity is least harmful?

    McManus, R., Ozkan, F. G. & Trzeciakiewicz, D., 4 Nov 2019, (E-pub ahead of print) In: Oxford Economic Papers.

    Research output: Contribution to journalArticle

  36. Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market

    Kapetanios, G., Konstantinidi, E., Neumann, M. & Skiadopoulos, G., 1 Nov 2019, In: JOURNAL OF FINANCIAL MARKETS. 46, 100506.

    Research output: Contribution to journalArticlepeer-review

  37. Large time-varying parameter VARs: A nonparametric approach

    Kapetanios, G., Marcellino, M. & Venditti, F., 1 Nov 2019, In: JOURNAL OF APPLIED ECONOMETRICS. 34, 7, p. 1027-1049 23 p.

    Research output: Contribution to journalArticlepeer-review

  38. A new approach for detecting shifts in forecast accuracy

    Chiu, C. W. J., Hayes, S., Kapetanios, G. & Theodoridis, K., 1 Oct 2019, In: INTERNATIONAL JOURNAL OF FORECASTING. 35, 4, p. 1596-1612 17 p.

    Research output: Contribution to journalArticlepeer-review

  39. Forecasting the UK economy with a medium-scale Bayesian VAR

    Domit, S., Monti, F. & Sokol, A., 1 Oct 2019, In: INTERNATIONAL JOURNAL OF FORECASTING. 35, 4, p. 1669-1678 10 p.

    Research output: Contribution to journalArticlepeer-review

  40. Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power?

    Andrikogiannopoulou, A. & Papakonstantinou, F., 1 Oct 2019, In: JOURNAL OF FINANCE. 74, 5, p. 2667-2688 22 p.

    Research output: Contribution to journalArticlepeer-review

  41. Exponent of Cross-sectional Dependence for Residuals

    Bailey, N., Kapetanios, G. & Pesaran, M. H., 1 Sep 2019, In: Sankhya B. 81, p. 46-102 57 p.

    Research output: Contribution to journalArticlepeer-review

  42. A time-varying parameter structural model of the UK economy

    Kapetanios, G., Masolo, R. M., Petrova, K. & Waldron, M., Sep 2019, In: Journal of Economic Dynamics and Control. 106, 103705.

    Research output: Contribution to journalArticlepeer-review

  43. Rethinking financial stability

    Aikman, D., Haldane, A., Hinterschweiger, M. & Kapadia, S., 2019, Evolution or Revolution. Blanchard, O. & Summers, L. (eds.). MIT Press, p. 143-194

    Research output: Chapter in Book/Report/Conference proceedingChapter

  44. Would Macroprudential Regulation Have Prevented the Last Crisis?

    Aikman, D., Bridges, J., Kashyap, A. & Siegert, C., 2019, In: JOURNAL OF ECONOMIC PERSPECTIVES. 33, 1, p. 107-130

    Research output: Contribution to journalArticlepeer-review

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