5 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…
Grow and Pollute but Invest and Clean: Dynamic Associations between Parent Firm Characteristics and Facility Toxic Releases
George Kapetanios, Steven Ongena, Alexia Ventouri +1
This paper examines how relationships between parent-firm characteristics and facility-level toxic releases evolve over time. Using 238,304 observations for 7,447 U.S. manufacturin…
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…
Unlocking the Regression Space
Liudas Giraitis, George Kapetanios, Yufei Li +1
This paper introduces and analyzes a framework that accommodates general heterogeneity in regression modeling. It demonstrates that regression models with fixed or time-varying par…