Exponential Smoothing, Long Memory and Volatility Prediction

CEIS Research Paper, 319, July 2014

Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach

CEIS Research Paper, 325, August 2014

Generalised Linear Spectral Models

CEIS Research Paper, 290, October 2013

EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries

CEIS Research Paper, 287, October 2013

On the Selection of Common Factors for Macroeconomic Forecasting

CEIS Research paper, 332, March 2015

EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area

CEIS Research Paper, 340, April 2015

Seasonal Changes in Central England Temperatures

CEIS Research Paper, 347, June 2015

A Data–Cleaning Augmented Kalman Filter for Robust Estimation of State Space Models

CEIS Research Paper, 374, March 2016

Generalised partial autocorrelations and the mutual information between past and future

CEIS Research Paper, 344, June 2015

A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices

CEIS Research Paper, 410, July 2017

Spikes and Memory in (Nord Pool) Electricity Price Spot Prices

CEIS Research Paper, 422, December 2017

Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects

CEIS Research Paper, 450, February 2019

Predictability, Real Time Estimation, and the Formulation of Unobserved Components Models

CEIS Research Paper, 455, March 2019

Nowcasting Monthly GDP with Big Data: a Model Averaging Approach

CEIS Research Paper, 482, May 2020

Nowcasting GDP and its Components in a Data-rich Environment: the Merits of the Indirect Approach

CEIS Research Paper, 489, May 2020

Peaks, Gaps, and Time Reversibility of Economic Time Series

CEIS Research Paper, 492, June 2020

Efficient Nonparametric Estimation of Generalized Autocovariances

CEIS Research Paper, 515, October 2021

Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process

CEIS Research Paper, 518, October 2021

Band-Pass Filtering with High-Dimensional Time Series

CEIS Research Paper, 559, June 2023

Ups and (Draw)Downs

CEIS Research Paper, 576, May 2024

On the Estimation of Climate Normals and Anomalies

CEIS Research Paper, 602, June 2025