We propose a basic high-dimensional dynamic model for tennis match results with time varying player-specific abilities for different court surface types. Our statistical model can be treated in a likelihood-based analysis and is capable of handling high-dimensional datasets while the number of...

We introduce a mixed-frequency score-driven dynamic model for multiple time series where the score contributions from high-frequency variables are transformed by means of a mixed-data sampling weighting scheme. The resulting dynamic model delivers a flexible and easy-to-implement framework for...

We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...

Increasingly, professional forecasters and academic researchers present model-based and subjective or judgment-based forecasts in economics which are accompanied by some measure of uncertainty. In its most complete form this measure is a probability density function for future values of the...

We formally link insurance markets with product markets and identify a demand effect of insurance: if risk-averse consumers can buy insurance against possible product failure, there will be some additional consumers that buy the product because they can also purchase protection. The concomitant...

This paper applies a fractional integration framework to analyse the stochastic behaviour of two Russian stock market volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period 2010-2018. The empirical findings are consistent...

The potential relationship between domestic environmental regulation and internationalcompetitiveness has evoked various speculations. The common neoclassical train of thought is thatstrict environmental regulation is detrimental to the competitiveness of industry, and that itinduces phenomena...

The empirical economic growth literature is criticized for its lack ofrobustness. For different definitions of robustness, conclusions vary from 'almost everycorrelation is fragile' to 'a substantial number of explanatory variables are robust.' Were-analyze the empirical results of the economic...

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 paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...