A simple and efficient simulation smoother for state space time series analysis
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- The dynamic factor network model with an application to international trade
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- On the evolution of the monetary policy transmission mechanism
- Long-term forecasting of El Niño events via dynamic factor simulations
- Time series of count data: a review, empirical comparisons and data analysis
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- Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting
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- Mixed effects state-space models with Student-t errors
- Model-based approach for scenario design: stress test severity and banks' resiliency
- A survey of sequential Monte Carlo methods for economics and finance
- A simulation smoother for long memory time series with correlated and heteroskedastic additive noise
- Statistical modeling of computer malware propagation dynamics in cyberspace
- Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes
- Applying state space models to stochastic claims reserving
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- Bayesian modeling of temporal dependence in large sparse contingency tables
- Locally adaptive Bayes nonparametric regression via nested Gaussian processes
- Time varying VARs with inequality restrictions
- Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
- Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
- Efficient semiparametric Bayesian estimation of multivariate discrete proportional hazards model with random effects
- Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints
- A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
- Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
- Full‐information estimation of heterogeneous agent models using macro and micro data
- Estimating aggregated nutrient fluxes in four Finnish rivers via Gaussian state space models
- Precision-based sampling for state space models that have no measurement error
- Modified efficient importance sampling for partially non‐Gaussian state space models
- Additive growth? Not always
- High-dimensional conditionally Gaussian state space models with missing data
- Detecting and measuring financial cycles in heterogeneous agents models: an empirical analysis
- Time-dependent shrinkage of time-varying parameter regression models
- A dynamic causal modeling of the second outbreak of COVID-19 in Italy
- Bayesian mixed-frequency quantile vector autoregression: eliciting tail risks of monthly US GDP
- Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
- The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling
- A Class of Non-Gaussian State Space Models With Exact Likelihood Inference
- Bayesian Inference in Common Microeconometric Models With Massive Datasets by Double Marginalized Subsampling
- A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank
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- Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations
- Scalable spatio-temporal smoothing via hierarchical sparse Cholesky decomposition
- Functional Autoregression for Sparsely Sampled Data
- Inequality Constrained State-Space Models
- Constructing high frequency economic indicators by imputation
- Conditional forecasts in large Bayesian VARs with multiple equality and inequality constraints
- A multivariate dynamic statistical model of the global carbon budget 1959--2020
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