|
2024
|
Observation-driven filtering of time-varying parameters using moment conditions
|
Journal of Econometrics
|
A
|
4
|
|
2024
|
A robust Beveridge–Nelson decomposition using a score-driven approach with an application
|
Economics Letters
|
C
|
4
|
|
2024
|
Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions
|
Journal of Econometrics
|
A
|
4
|
|
2023
|
Time-Varying Parameters in Econometrics: The editor’s foreword
|
Journal of Econometrics
|
A
|
4
|
|
2023
|
Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects
|
Journal of Econometrics
|
A
|
2
|
|
2022
|
Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies
|
Oxford Bulletin of Economics and Statistics
|
B
|
3
|
|
2022
|
A time-varying parameter model for local explosions
|
Journal of Econometrics
|
A
|
3
|
|
2022
|
Maximum likelihood estimation for score-driven models
|
Journal of Econometrics
|
A
|
4
|
|
2021
|
Missing observations in observation-driven time series models
|
Journal of Econometrics
|
A
|
3
|
|
2021
|
Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors
|
Energy Economics
|
A
|
3
|
|
2021
|
Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data
|
International Journal of Forecasting
|
B
|
4
|
|
2021
|
Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction
|
Journal of Applied Econometrics
|
B
|
2
|
|
2020
|
The dynamic factor network model with an application to international trade
|
Journal of Econometrics
|
A
|
2
|
|
2020
|
Long-term forecasting of El Niño events via dynamic factor simulations
|
Journal of Econometrics
|
A
|
4
|
|
2020
|
Partially censored posterior for robust and efficient risk evaluation
|
Journal of Econometrics
|
A
|
4
|
|
2019
|
Accelerating score-driven time series models
|
Journal of Econometrics
|
A
|
3
|
|
2019
|
Forecasting football match results in national league competitions using score-driven time series models
|
International Journal of Forecasting
|
B
|
2
|
|
2019
|
Forecasting economic time series using score-driven dynamic models with mixed-data sampling
|
International Journal of Forecasting
|
B
|
3
|
|
2018
|
Dynamic discrete copula models for high‐frequency stock price changes
|
Journal of Applied Econometrics
|
B
|
4
|
|
2017
|
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model
|
Journal of the American Statistical Association
|
B
|
3
|
|
2017
|
Empirical Bayes Methods for Dynamic Factor Models
|
Review of Economics and Statistics
|
A
|
2
|
|
2017
|
Global Credit Risk: World, Country and Industry Factors
|
Journal of Applied Econometrics
|
B
|
3
|
|
2017
|
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models
|
Journal of Applied Econometrics
|
B
|
4
|
|
2016
|
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
|
International Journal of Forecasting
|
B
|
4
|
|
2016
|
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
|
Journal of Econometrics
|
A
|
4
|
|
2016
|
Spillover dynamics for systemic risk measurement using spatial financial time series models
|
Journal of Econometrics
|
A
|
4
|
|
2016
|
Forecasting and nowcasting economic growth in the euro area using factor models
|
International Journal of Forecasting
|
B
|
3
|
|
2016
|
Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area
|
Economics Letters
|
C
|
4
|
|
2016
|
Intervention time series analysis of crime rates: The case of sentence reform in Virginia
|
Economic Modeling
|
C
|
3
|
|
2016
|
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
|
Review of Economics and Statistics
|
A
|
3
|
|
2015
|
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models
|
Journal of Business & Economic Statistics
|
A
|
3
|
|
2014
|
Forecasting macroeconomic variables using collapsed dynamic factor analysis
|
International Journal of Forecasting
|
B
|
2
|
|
2014
|
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
|
Review of Economics and Statistics
|
A
|
4
|
|
2014
|
Generalized dynamic panel data models with random effects for cross-section and time
|
Journal of Econometrics
|
A
|
2
|
|
2014
|
Nowcasting and forecasting global financial sector stress and credit market dislocation
|
International Journal of Forecasting
|
B
|
3
|
|
2014
|
SMOOTH DYNAMIC FACTOR ANALYSIS WITH APPLICATION TO THE US TERM STRUCTURE OF INTEREST RATES
|
Journal of Applied Econometrics
|
B
|
3
|
|
2014
|
Forecasting interest rates with shifting endpoints
|
Journal of Applied Econometrics
|
B
|
4
|
|
2013
|
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
|
Journal of Applied Econometrics
|
B
|
3
|
|
2013
|
Forecasting the US term structure of interest rates using a macroeconomic smooth dynamic factor model
|
International Journal of Forecasting
|
B
|
2
|
|
2013
|
Modelling trigonometric seasonal components for monthly economic time series
|
Applied Economics
|
C
|
4
|
|
2012
|
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008
|
Journal of Business & Economic Statistics
|
A
|
3
|
|
2011
|
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
|
Journal of Business & Economic Statistics
|
A
|
3
|
|
2011
|
Maximum likelihood estimation for dynamic factor models with missing data
|
Journal of Economic Dynamics and Control
|
B
|
3
|
|
2011
|
Modeling frailty-correlated defaults using many macroeconomic covariates
|
Journal of Econometrics
|
A
|
3
|
|
2010
|
Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments
|
International Journal of Forecasting
|
B
|
2
|
|
2009
|
Testing the assumptions behind importance sampling
|
Journal of Econometrics
|
A
|
3
|
|
2009
|
Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment*
|
Oxford Bulletin of Economics and Statistics
|
B
|
3
|
|
2008
|
Measuring Synchronization and Convergence of Business Cycles for the Euro area, UK and US*
|
Oxford Bulletin of Economics and Statistics
|
B
|
2
|
|
2008
|
The multi-state latent factor intensity model for credit rating transitions
|
Journal of Econometrics
|
A
|
3
|
|
2008
|
An hourly periodic state space model for modelling French national electricity load
|
International Journal of Forecasting
|
B
|
5
|
|
2005
|
Empirical credit cycles and capital buffer formation
|
Journal of Banking & Finance
|
B
|
3
|
|
2005
|
Business and default cycles for credit risk
|
Journal of Applied Econometrics
|
B
|
2
|
|
2003
|
Computing observation weights for signal extraction and filtering
|
Journal of Economic Dynamics and Control
|
B
|
2
|
|
2002
|
Constructing Seasonally Adjusted Data with Time‐varying Confidence Intervals
|
Oxford Bulletin of Economics and Statistics
|
B
|
2
|
|
2002
|
The stochastic volatility in mean model: empirical evidence from international stock markets
|
Journal of Applied Econometrics
|
B
|
2
|
|
1998
|
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
|
Journal of Econometrics
|
A
|
2
|
|
1997
|
Detecting shocks: Outliers and breaks in time series
|
Journal of Econometrics
|
A
|
3
|