Time series of daily data for Greek sovereign risk have been compiled and analysed statistically to shed light on the way that historical events, including political and institutional changes, determined the creditworthiness of the Greek government on the London stock market from the start of...

Time series of daily data for Greek sovereign risk have been compiled and analysed statistically to shed light on the way that historical events, including political and institutional changes, determined the creditworthiness of the Greek government on the London stock market from the start of...

Time series of daily data for Greek sovereign risk have been compiled and analysed statistically to shed light on the way that historical events, including political and institutional changes, determined the creditworthiness of the Greek government on the London stock market from the start of...

We propose a refinement of the criterion by Bai and Ng [2002] for determining the number of static factors in factor models with large data-sets. It consists in multiplying the penalty function by a constant which tunes the penalizing power of the function itself as in the Hallin and Liska...

We propose a hybrid approach for the modeling and the short-term forecasting of electricity loads. Two building blocks of our approach are (1) modeling the overall trend and seasonality by fitting a generalized additive model to the <italic>weekly</italic> averages of the load and (2) modeling the dependence...

We propose a hybrid approach for the modeling and the short-term forecasting of electricity loads. Two building blocks of our approach are (1) modeling the overall trend and seasonality by fitting a generalized additive model to the weekly averages of the load and (2) modeling the dependence...

Low-frequency financial returns can be modelled as centered around piecewise-constant trend functions which change at certain points in time. We propose a new stochastic time series framework which captures this feature. The main ingredient of our model is a hierarchically-ordered oscillatory...