What explains the persistence of unemployment? The literature on hysteresis, which is based on unit root testing in autoregressive models, consists of a vast number of univariate studies, i.e. that analyze unemployment series in isolation, but few multivariate analyses that focus on the sources...

Attack and defense strengths of football teams vary over time due to changes in the teams of players or their managers. We develop a statistical model for the analysis and forecasting of football match results which are assumed to come from a bivariate Poisson distribution with intensity...

Accepted for the <I>Journal of the Royal Statistical Society Series A</A> (2014).<P> Attack and defense strengths of football teams vary over time due to changes in the teams of players or their managers. We develop a statistical model for the analysis and forecasting of football match results which are...</p></i>

A new multivariate random walk model with slowly changing drift and cross-correlations for multivariate processes is introduced and investigated in detail. In the model, not only the drifts and the cross-covariances but also the cross-correlations between single series are allowed to change...

This paper deals with the factor modeling for high-dimensional time series based on a dimension-reduction viewpoint. Under stationary settings, the inference is simple in the sense that both the number of factors and the factor loadings are estimated in terms of an eigenanalysis for a...

In the increasingly globalized economy these days, the major crude oil markets worldwide are seeing higher level of integration, which results in higher level of dependency and transmission of risks among different markets. Thus the risk of the typical multi-asset crude oil portfolio is...