1 citations · 1 across the 8 of their papers we have counts for
8 papers · 1 filter
The Anatomy of Commodity Risk: Micro, Market, and Economy-Wide Sources
Nektarios Aslanidis, Aurelio Bariviera, George Kapetanios +2
We study the anatomy of commodity risk by distinguishing micro, market-level, and economy-wide sources. We develop a two-stage "divide-and-conquer" framework that allows sensitivit…
Nonlinear Boosting with Multiple Testing in High-Dimensional Generalised Linear Models with Binary Responses
Charisios Grivas, George Kapetanios, Zacharias Psaradakis +3
This paper proposes a nonlinear boosting with multiple testing (BMT) approach to variable selection in high-dimensional generalised linear models with binary responses. At each sta…
Estimation and Inference for Latent Dual Networks Using High-Dimensional IV Screening
Arturas Juodis, George Kapetanios, Vasilis Sarafidis
We develop a novel methodology for estimation and inference in high-dimensional panel network models with latent dual structures. The framework allows outcomes to be affected simul…
Model Selection in High-Dimensional Linear Regression using Boosting with Multiple Testing
George Kapetanios, Vasilis Sarafidis, Alexia Ventouri
High-dimensional regression specification and analysis is a complex and active area of research in statistics, machine learning, and econometrics. This paper proposes a new approac…
Chasing Opportunity: Spillovers and Drivers of U.S. State Population Growth
Sebastian Kripfganz, Vasilis Sarafidis
We study the drivers and spatial diffusion of U.S. state population growth using a dynamic spatial model for 49 states, 1965-2017. Methodologically, we recover the spatial network…
Heterogeneous Exposures to Systematic and Idiosyncratic Risk across Crypto Assets: A Divide-and-Conquer Approach
Nektarios Aslanidis, Aurelio Bariviera, George Kapetanios +1
This paper analyzes realized return behavior across a broad set of crypto assets by estimating heterogeneous exposures to idiosyncratic and systematic risk. A key challenge arises…
Residual Income Valuation and Stock Returns: Evidence from a Value-to-Price Investment Strategy
Ahmad Haboub, Aris Kartsaklas, Vasilis Sarafidis
We hypothesize that portfolio sorts based on the V/P ratio generate excess returns and consist of companies that are undervalued for prolonged periods. Results, for the US market s…
IV Estimation of Heterogeneous Spatial Dynamic Panel Models with Interactive Effects
Jia Chen, Guowei Cui, Vasilis Sarafidis +1
This paper develops a Mean Group Instrumental Variables (MGIV) approach for spatial dynamic panel data models with interactive effects, under large N and T asymptotics. Unlike exis…