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...

The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this paper we explore a generalisation of the basic structural time series model in which the time-varying trigonometric terms associated with different seasonal...

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 generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...

This paper analyzes the possibilities to relieve congestion using rewards instead of taxes, as well as combinations of rewards and taxes. The model considers a Vickrey-ADL model of bottleneck congestion with endogenous scheduling. With inelastic demand, a fine (time-varying) reward is equivalent...

This paper models strategic interactions between a product supplier, a provider of information about product quality, and end users, in the context of road transportation. Using a game-theoretical analysis of suppliers' pricing strategies, we assess the social welfare effects of traffic...

We advocate the use of absolute moment ratio statistics in conjunctionwith standard variance ratio statistics in order to disentangle lineardependence, non-linear dependence, and leptokurtosis in financial timeseries. Both statistics are computed for multiple return horizonssimultaneously, and...

This paper discusses a number of issues that will become increasingly important nowthat the concept of marginal external cost pricing becomes more likely to be implementedas a policy strategy in transport in reality. The first part of the paper deals with thelong-run efficiency of marginal...