LSE creators

Number of items: 7.
2009
  • Tripodis, Yorghos, Penzer, Jeremy (2009). Modelling time series with season-dependent autocorrelation structure. Journal of Forecasting, 28(7), 559-574. https://doi.org/10.1002/for.1106
  • Penzer, Jeremy, Wang, Mingjin, Yao, Qiwei (2009). Approximating volatilities by asymmetric power GARCH functions. Australian and New Zealand Journal of Statistics, 51(2), 201-225. https://doi.org/10.1111/j.1467-842X.2009.00542.x
    • 2006
  • Penzer, Jeremy (2006). Diagnosing seasonal shifts in time series using state space models. Statistical Methodology, 3(3), 193-210. https://doi.org/10.1016/j.stamet.2005.09.012
  • Penzer, Jeremy, Jewson, Stephen (2006). Estimating trends in weather series: consequences for pricing derivatives. Studies in Nonlinear Dynamics and Econometrics, 10(3), article 9.
    • 2005
  • Komaki, Toru, Penzer, Jeremy (2005). Estimation of time-varying price elasticity in 1970-1997 Japanese raw milk supply by structural time-series model. Agricultural Economics, 32(1), 1-14. https://doi.org/10.1111/j.0169-5150.2005.00001.x
    • 2004
  • Christodoulaki, Olga, Penzer, Jeremy (2004). News from London: Greek government bonds on the London Stock Exchange, 1914-1929. (Economic History Working Papers 86/04). Department of Economic History, London School of Economics and Political Science.
  • Penzer, Jeremy, de Jong, Piet (2004). The ARMA model in state space form. Statistics and Probability Letters, 70(1), 119-125. https://doi.org/10.1016/j.spl.2004.08.006