This discussion paper led to an article in <I>Statistica Neerlandica</I> (2003). Vol. 57, issue 4, pages 439-469.<P> The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this...</p></i>

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Double barrier options have become popular instruments in derivative markets. Several papers_new have already analyseddouble knock-out call and put options using different methods. In a recent paper, Geman and Yor (1996) deriveexpressions for the Laplace transform of the double barrrier option...

We introduce a dynamic statistical model for Skellam distributed random variables. The Skellam distribution can be obtained by taking differences between two Poisson distributed random variables. We treat cases where observations are measured over time and where possible serial correlation is...

This discussion paper resulted in a publication in the <I>International Journal of Forecasting</I> (2010). Vol. 26(2), 231-247.<P> An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures in a Bayesian framework. This consists of a new...</p></i>

We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...

This paper resulted in a publication in the <I>Journal of Econometrics</I> (2014). Volume 180, pages 127-140.<P> An exact maximum likelihood method is developed for the estimation of parameters in a nonlinear non-Gaussian dynamic panel data model with unobserved random individual-specific and time-varying...</p></i>

Accepted for an article forthcoming in the <I>Review of Economics and Statics</I>. Volume 97, 2015.<P> We study whether and when parameter-driven time-varying parameter models lead to forecasting gains over observation-driven models. We consider dynamic count, intensity, duration, volatility and copula...</p></i>

This discussion paper was published in the <I>Journal of Econometrics</I> (2012). Vol. 171(2), 101-120.<p> A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed methods are robust in the sense that they can handle target distributions that...</p></i>

We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...