Penzer, Jeremy
Number of items: 7.
Article
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
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.
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
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