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 determine the magnitude and nature of systematic default risk using 1971{2009) default data from Moody's. We disentangle systematic risk factors due to business cycle effects, common default dynamics (frailty), and industry-specific dynamics (including contagion). To quantify the contribution...

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...

type="main" xml:id="rssa12042-abs-0001" <title type="main">Summary</title> <p>We develop a statistical model for the analysis and forecasting of football match results which assumes a bivariate Poisson distribution with intensity coefficients that change stochastically over time. The dynamic model is a novelty in the...</p>

We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis. Key economic variables are modeled jointly with principal components from a large time series panel of macroeconomic indicators using a multivariate unobserved components time...

Risk is at the centre of many policy decisions in companies, governments and other institutions. The risk of road fatalities concerns local governments in planning countermeasures, the risk and severity of counterparty default concerns bank risk managers daily and the risk of infection has...

In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM model incorporates the unobserved volatility as an explanatory variable in the mean equation. The same extension is...

We provide a detailed discussion of the time series modelling of daily tax revenues. The main feature of daily tax revenue series is the pattern within calendar months. Standard seasonal time series techniques cannot be used since the number of banking days per calendar month varies and because...

In this paper we compare the predictive abilility of Stochastic Volatility (SV) models to that of volatility forecasts implied by option prices. We develop an SV model with implied volatility as an exogeneous var able in the variance equation which facilitates the use of statistical tests for...