A new hidden Markov model for the space-time evolution of daily rainfall is developed which models precipitation within hidden regional weather types by censored power-transformed Gaussian distributions. The latter provide flexible and interpretable multivariate models for the mixed...

Evolving volatility is a dominant feature observed in most financial time series and a key parameter used in option pricing and many other financial risk analyses. A number of methods for non-parametric scale estimation are reviewed and assessed with regard to the stylized features of financial...

The variance of New Zealand's real GDP has fallen by a third since the mid 1980s. Decomposing the variance of chain-weighted estimates of production-based real GDP growth since 1977 into sector shares, sector growth rate variances and co-variances, this paper concludes that the principal reason...