Research

Journal Articles:

1. Forecasting Value-at-Risk using deep neural network quantile regression, with I. Chronopoulos and G. Kapetanios (Accepted, Journal of Financial Econometrics). Previously circulated Deep Quantile Regression.

Working Papers:

1. Deep Neural Network Estimation in Panel Data Models, with I. Chronopoulos, K. Chrysikou, G. Kapetanios and J. Mitchell (submitted)

2. Monthly GDP Growth Estimates for the U.S. States, with G. Koop, S. McIntyre and J. Mitchell

Work in Progress:

1. ”Nuclear norm penalised non-linear modelling for asset pricing”, with I. Chronopoulos and G. Kapetanios

2.  ”Nowcasting US inflation using a deep Bayesian neural network ”

Other :

1. On statistical time series methods for forecasting the 2020 CoViD pandemic, with I.Chronopoulos, K. Chrysikou, G. Kapetanios and M. Weale (preliminary draft attached)