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econ.GN2024★ 1 cited
Investor behavior and multiscale cross-correlations: Unveiling regime shifts in global financial markets
Marina Dolfin, George Kapetanios, Leone Leonida +1
We propose an algorithm to capture emergent patterns in the cross-correlations of financial markets, highlighting regime changes on a global scale. In our approach, financial marke…
econ.EM2024
Heterogeneous Grouping Structures in Panel Data
Katerina Chrysikou, George Kapetanios
In this paper we examine the existence of heterogeneity within a group, in panels with latent grouping structure. The assumption of within group homogeneity is prevalent in this li…