Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions...

This discussion paper led to an article in the <I>Oxford Bulletin of Economics and Statistics</I> (2009). Vol. 71, pages 683-713.<P> This paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic...</p></i>

Accepted by the <Journal of Empirical Finance</I>.<P> We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time series while being robust to...</p></journal>

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

This discussion paper led to a publication in <A href="http://www.tandfonline.com/doi/abs/10.1198/jbes.2011.10070">'Journal of Business & Economic Statistics'</A>, 29(4), 552-63.<P>We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts...</p></a>