Selected Publications(since 2013):
- G. Kapetanios, Y. Dendramis and E. Tzavalis 2014. Level Shifts in Stock Returns Driven by Large Shocks. Journal of Empirical Finance
- Jeremy Chiu, Haroon Mumtaz and Gabor Pinter 2014. "Fat-tails in VAR Models," Working Papers 714, Queen Mary, University of London, School of Economics and Finance
- Ana B. Galvao, A. Carriero and M. P. Clements. Forecasting with Bayesian Multivariate Vintage-Based VARs. International Journal Of Forecasting forthcoming.
- Piergiorgio Alessandri & Haroon Mumtaz, 2014. Financial conditions and density forecasts for US Output and inflation, Working Papers 715, Queen Mary, University of London, School of Economics and Finance.
- Alina Barnett, Haroon Mumtaz, Konstantinos Theodoridis, "Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters", International Journal of Forecasting, Volume 30, Issue 1, January–March 2014
- Breedon, F & Ranaldo A. Intraday Patterns in FX returns and Order Flow,2013. Journal of Money Credit and Banking. Volume 45, Issue 5 pages 953-965.
- Giraitis, Liudas & Kapetanios, George & Price, Simon, 2013. Adaptive forecasting in the presence of recent and ongoing structural change, Journal of Econometrics, Elsevier, vol. 177(2), pages 153-170.
- Carriero, Andrea & Clark, Todd & Marcellino, Massimiliano, 2013. Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility, CEPR Discussion Papers 9312.
- Ana B Galvao and M. P. Clements. "Forecasting with Vector Autoregressive Models of Data Vintages: US output Growth and Inflation" International Journal Of Forecasting (2013)