| Publication | Date of Publication | Type |
|---|
| The analysis and forecasting of tennis matches by using a high dimensional dynamic model | 2025-01-22 | Paper |
| A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations | 2025-01-20 | Paper |
| Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 | 2025-01-20 | Paper |
| Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models | 2025-01-20 | Paper |
| Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors | 2025-01-16 | Paper |
| A dynamic bivariate Poisson model for analysing and forecasting match results in the English premier league | 2025-01-02 | Paper |
| A robust Beveridge-Nelson decomposition using a score-driven approach with an application | 2024-05-07 | Paper |
| Maximum likelihood estimation for non-stationary location models with mixture of normal distributions | 2024-02-13 | Paper |
| Observation-driven filtering of time-varying parameters using moment conditions | 2024-02-13 | Paper |
| Modified efficient importance sampling for partially non‐Gaussian state space models | 2024-01-16 | Paper |
| Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects | 2023-11-17 | Paper |
| Estimation of final standings in football competitions with a premature ending: the case of COVID-19 | 2023-07-03 | Paper |
| Likelihood‐based dynamic factor analysis for measurement and forecasting | 2022-07-27 | Paper |
| Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models | 2022-06-07 | Paper |
| A time-varying parameter model for local explosions | 2022-03-16 | Paper |
| Maximum likelihood estimation for score-driven models | 2022-03-16 | Paper |
| Nonlinear autoregressive models with optimality properties | 2022-03-04 | Paper |
| Missing observations in observation-driven time series models | 2021-03-24 | Paper |
| Partially censored posterior for robust and efficient risk evaluation | 2020-06-18 | Paper |
| The dynamic factor network model with an application to international trade | 2020-04-22 | Paper |
| Long-term forecasting of El Niño events via dynamic factor simulations | 2019-12-19 | Paper |
| Accelerating score-driven time series models | 2019-10-23 | Paper |
| Amendments and Corrections | 2018-12-10 | Paper |
| Long memory with stochastic variance model: a recursive analysis for US inflation | 2018-11-23 | Paper |
| Measuring financial cycles in a model-based analysis: empirical evidence for the United States and the Euro area | 2018-09-05 | Paper |
| Feasible invertibility conditions and maximum likelihood estimation for observation-driven models | 2018-04-25 | Paper |
| Time‐Varying Transition Probabilities for Markov Regime Switching Models | 2017-05-26 | Paper |
| Spillover dynamics for systemic risk measurement using spatial financial time series models | 2016-11-03 | Paper |
| Modeling frailty-correlated defaults using many macroeconomic covariates | 2016-08-12 | Paper |
| Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data | 2016-07-12 | Paper |
| Testing the assumptions behind importance sampling | 2016-07-04 | Paper |
| The multi-state latent factor intensity model for credit rating transitions | 2016-06-03 | Paper |
| Information-theoretic optimality of observation-driven time series models for continuous responses | 2015-06-26 | Paper |
| Stationarity and ergodicity of univariate generalized autoregressive score processes | 2014-09-05 | Paper |
| Generalized dynamic panel data models with random effects for cross-section and time | 2014-06-04 | Paper |
| Exact maximum likelihood estimation for non-stationary periodic time series models | 2014-04-14 | Paper |
| Stella Vivian Cunliffe; James Durbin; John N. R. Jeffers; Francis Henry Charles Marriott; Rod McDonald; George Vaughan Dyke; Wilfred J. Corlett | 2013-01-21 | Paper |
| Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling | 2012-12-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2906604 | 2012-09-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2891271 | 2012-06-14 | Paper |
| Likelihood functions for state space models with diffuse initial conditions | 2011-11-26 | Paper |
| Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra | 2011-07-27 | Paper |
| Maximum likelihood estimation for dynamic factor models with missing data | 2011-07-13 | Paper |
| Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters | 2011-04-13 | Paper |
| Model-Based Measurement of Actual Volatility in High-Frequency Data | 2010-06-30 | Paper |
| Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility | 2009-11-27 | Paper |
| Forecasting daily time series using periodic unobserved components time series models | 2009-04-06 | Paper |
| Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models | 2009-02-26 | Paper |
| Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model | 2008-09-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3498093 | 2008-05-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5429729 | 2007-12-04 | Paper |
| Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices | 2007-09-18 | Paper |
| Chapter 8 Trend-Cycle Decomposition Models with Smooth-Transition Parameters: Evidence from U.S. Economic Time Series | 2007-07-23 | Paper |
| Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models | 2006-08-28 | Paper |
| Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers | 2006-01-27 | Paper |
| Time Series Modelling of Daily Tax Revenues | 2004-06-15 | Paper |
| A simple and efficient simulation smoother for state space time series analysis | 2004-03-16 | Paper |
| Filtering and smoothing of state vector for diffuse state-space models | 2003-10-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2760417 | 2002-01-01 | Paper |
| Bootstrap tests when parameters of nonstationary time series models lie on the boundary of the parameter space | 2001-03-11 | Paper |
| Fast Filtering and Smoothing for Multivariate State Space Models | 2001-03-01 | Paper |
| Fast Filtering and Smoothing for Multivariate State Space Models | 2000-05-01 | Paper |
| Statistical algorithms for models in state space using SsfPack 2.2 | 1999-11-25 | Paper |
| Detecting shocks: Outliers and breaks in time series | 1999-10-05 | Paper |
| Estimation of stochastic volatility models via Monte Carlo maximum likelihood | 1999-09-22 | Paper |
| Monte Carlo maximum likelihood estimation for non-Gaussian state space models | 1998-06-02 | Paper |
| Exact Initial Kalman Filtering and Smoothing for Nonstationary Time Series Models | 1998-02-08 | Paper |
| Disturbance smoother for state space models | 1993-07-21 | Paper |
