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A multivariate dynamic statistical model of the global carbon budget 1959–2020.
- Published in:
- Journal of the Royal Statistical Society: Series A (Statistics in Society), 2023, v. 186, n. 1, p. 20, doi. 10.1093/jrsssa/qnac014
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- Publication type:
- Article
Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies*.
- Published in:
- Oxford Bulletin of Economics & Statistics, 2022, v. 84, n. 1, p. 57, doi. 10.1111/obes.12459
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- Publication type:
- Article
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction.
- Published in:
- Journal of Applied Econometrics, 2021, v. 36, n. 5, p. 614, doi. 10.1002/jae.2831
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- Publication type:
- Article
Using rapid damage observations from social media for Bayesian updating of hurricane vulnerability functions: A case study of Hurricane Dorian.
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- Natural Hazards & Earth System Sciences Discussions, 2020, p. 1, doi. 10.5194/nhess-2020-282
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- Publication type:
- Article
Multiyear Statistical Prediction of ENSO Enhanced by the Tropical Pacific Observing System.
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- Journal of Climate, 2020, v. 33, n. 1, p. 163, doi. 10.1175/JCLI-D-18-0877.1
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- Publication type:
- Article
Trend analysis of the airborne fraction and sink rate of anthropogenically released CO2.
- Published in:
- Biogeosciences, 2019, v. 16, n. 18, p. 3651, doi. 10.5194/bg-16-3651-2019
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- Publication type:
- Article
Modified efficient importance sampling for partially non‐Gaussian state space models.
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- Statistica Neerlandica, 2019, v. 73, n. 1, p. 44, doi. 10.1111/stan.12128
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- Publication type:
- Article
El Niño Predictability and The Western Pacific Heat Buildup.
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- Geophysical Research Abstracts, 2019, v. 21, p. 1
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- Publication type:
- Article
Dynamic discrete copula models for high‐frequency stock price changes.
- Published in:
- Journal of Applied Econometrics, 2018, v. 33, n. 7, p. 966, doi. 10.1002/jae.2645
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- Publication type:
- Article
Trend analysis of the airborne fraction and sink rate of anthropogenically released CO<sub>2</sub>.
- Published in:
- Biogeosciences Discussions, 2018, p. 1, doi. 10.5194/bg-2018-402
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- Publication type:
- Article
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes.
- Published in:
- Journal of Financial Econometrics, 2018, v. 16, n. 3, p. 384, doi. 10.1093/jjfinec/nby010
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- Publication type:
- Article
Joint Bayesian Analysis of Parameters and States in Nonlinear non-Gaussian State Space Models.
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- Journal of Applied Econometrics, 2017, v. 32, n. 5, p. 1003, doi. 10.1002/jae.2533
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- Publication type:
- Article
Time-Varying Transition Probabilities for Markov Regime Switching Models.
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- Journal of Time Series Analysis, 2017, v. 38, n. 3, p. 458, doi. 10.1111/jtsa.12211
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- Publication type:
- Article
Global Credit Risk: World, Country and Industry Factors.
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- Journal of Applied Econometrics, 2017, v. 32, n. 2, p. 296, doi. 10.1002/jae.2521
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- Publication type:
- Article
Testing for Parameter Instability across Different Modeling Frameworks.
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- Journal of Financial Econometrics, 2017, v. 15, n. 2, p. 223, doi. 10.1093/jjfinec/nbw008
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- Publication type:
- Article
PREDICTING TIME-VARYING PARAMETERS WITH PARAMETER-DRIVEN AND OBSERVATION-DRIVEN MODELS.
- Published in:
- Review of Economics & Statistics, 2016, v. 98, n. 1, p. 97, doi. 10.1162/REST_a_00533
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- Publication type:
- Article
Likelihood-based dynamic factor analysis for measurement and forecasting.
- Published in:
- Econometrics Journal, 2015, v. 18, n. 2, p. C1, doi. 10.1111/ectj.12029
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- Publication type:
- Article
A dynamic bivariate Poisson model for analysing and forecasting match results in the English Premier League.
- Published in:
- Journal of the Royal Statistical Society: Series A (Statistics in Society), 2015, v. 178, n. 1, p. 167, doi. 10.1111/rssa.12042
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- Publication type:
- Article
OBSERVATION-DRIVEN MIXED-MEASUREMENT DYNAMIC FACTOR MODELS WITH AN APPLICATION TO CREDIT RISK.
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- Review of Economics & Statistics, 2014, v. 96, n. 5, p. 898, doi. 10.1162/REST_a_00393
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- Publication type:
- Article
FORECASTING INTEREST RATES WITH SHIFTING ENDPOINTS.
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- Journal of Applied Econometrics, 2014, v. 29, n. 5, p. 693, doi. 10.1002/jae.2358
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- Publication type:
- Article
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES.
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- Journal of Applied Econometrics, 2014, v. 29, n. 1, p. 65, doi. 10.1002/jae.2319
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- Publication type:
- Article
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS.
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- Journal of Applied Econometrics, 2013, v. 28, n. 5, p. 777, doi. 10.1002/jae.1279
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- Publication type:
- Article
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures.
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- Journal of Financial Econometrics, 2012, v. 11, n. 1, p. 76, doi. 10.1093/jjfinec/nbs016
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- Publication type:
- Article
Obituary: James Durbin, FBA, 1923-2012.
- Published in:
- Journal of the Royal Statistical Society: Series A (Statistics in Society), 2012, v. 175, n. 4, p. 1060
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- Publication type:
- Article
Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing.
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- Journal of Financial Econometrics, 2012, v. 10, n. 2, p. 354, doi. 10.1093/jjfinec/nbr013
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- Publication type:
- Article
Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra.
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- Journal of Forecasting, 2011, v. 30, n. 1, p. 147, doi. 10.1002/for.1203
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- Publication type:
- Article
Likelihood functions for state space models with diffuse initial conditions.
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- Journal of Time Series Analysis, 2010, v. 31, n. 6, p. 407, doi. 10.1111/j.1467-9892.2010.00673.x
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- Publication type:
- Article
Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter.
- Published in:
- Journal of Applied Econometrics, 2010, v. 25, n. 4, p. 695, doi. 10.1002/jae.1185
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- Publication type:
- Article
Multivariate non-linear time series modelling of exposure and risk in road safety research.
- Published in:
- Journal of the Royal Statistical Society: Series C (Applied Statistics), 2010, v. 59, n. 1, p. 145, doi. 10.1111/j.1467-9876.2009.00690.x
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- Publication type:
- Article
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment.
- Published in:
- Oxford Bulletin of Economics & Statistics, 2009, v. 71, n. 5, p. 683, doi. 10.1111/j.1468-0084.2009.00557.x
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- Publication type:
- Article
Seasonality with trend and cycle interactions in unobserved components models.
- Published in:
- Journal of the Royal Statistical Society: Series C (Applied Statistics), 2009, v. 58, n. 4, p. 427, doi. 10.1111/j.1467-9876.2009.00661.x
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- Publication type:
- Article
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US.
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- Oxford Bulletin of Economics & Statistics, 2008, v. 70, n. 1, p. 23, doi. 10.1111/j.1468-0084.2007.00489.x
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- Publication type:
- Article
Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model.
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- Statistica Neerlandica, 2008, v. 62, n. 1, p. 104, doi. 10.1111/j.1467-9574.2007.00375.x
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- Publication type:
- Article
Model-based measurement of latent risk in time series with applications.
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- Journal of the Royal Statistical Society: Series A (Statistics in Society), 2008, v. 171, n. 1, p. 265, doi. 10.1111/j.1467-985X.2007.00496.x
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- Publication type:
- Article
Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models.
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- Biometrika, 2007, v. 94, n. 4, p. 827, doi. 10.1093/biomet/asm074
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- Publication type:
- Article
A non-Gaussian generalization of the Airline model for robust seasonal adjustment.
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- Journal of Forecasting, 2006, v. 25, n. 5, p. 325, doi. 10.1002/for.991
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- Publication type:
- Article
Business and default cycles for credit risk.
- Published in:
- Journal of Applied Econometrics, 2005, v. 20, n. 2, p. 311, doi. 10.1002/jae.833
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- Publication type:
- Article
CONVERGENCE IN EUROPEAN GDP SERIES: A MULTIVARIATE COMMON CONVERGING TREND-CYCLE DECOMPOSITION.
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- Journal of Applied Econometrics, 2004, v. 19, n. 5, p. 611, doi. 10.1002/jae.785
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- Publication type:
- Article
Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers.
- Published in:
- Studies in Nonlinear Dynamics & Econometrics, 2004, v. 8, n. 2, p. 0, doi. 10.2202/1558-3708.1210
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- Publication type:
- Article
Time Series Modelling of Daily Tax Revenues.
- Published in:
- Statistica Neerlandica, 2003, v. 57, n. 4, p. 439, doi. 10.1111/1467-9574.00239
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- Publication type:
- Article
THE STOCHASTIC VOLATILITY IN MEAN MODEL: EMPIRICAL EVIDENCE FROM INTERNATIONAL STOCK MARKETS.
- Published in:
- Journal of Applied Econometrics, 2002, v. 17, n. 6, p. 667, doi. 10.1002/jae.652
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- Publication type:
- Article
Signal extraction and the formulation of unobserved components models.
- Published in:
- Econometrics Journal, 2000, v. 3, n. 1, p. 84, doi. 10.1111/1368-423X.00040
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- Publication type:
- Article
Statistical algorithms for models in state space using SsfPack 2.2.
- Published in:
- Econometrics Journal, 1999, v. 2, n. 1, p. 107, doi. 10.1111/1368-423X.00023
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- Publication type:
- Article
Book reviews.
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- 1997
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- Publication type:
- Book Review
Structural time series models in medicine.
- Published in:
- 1996
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- Publication type:
- journal article
Disturbance smoother for state space models.
- Published in:
- Biometrika, 1993, v. 80, n. 1, p. 117
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- Publication type:
- Article
Miscellanea.
- Published in:
- Biometrika, 1992, v. 79, n. 4, p. 823
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- Publication type:
- Article