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Tripodis, Yorghos and Penzer, Jeremy (2009) Modelling time series with season-dependent autocorrelation structure. Journal of Forecasting, 28 (7). pp. 559-574. ISSN 0277-6693
Penzer, Jeremy, Wang, Mingjin and Yao, Qiwei (2009) Approximating volatilities by asymmetric power GARCH functions. Australian and New Zealand Journal of Statistics, 51 (2). pp. 201-225. ISSN 1369-1473
Penzer, Jeremy (2006) Diagnosing seasonal shifts in time series using state space models. Statistical Methodology, 3 (3). pp. 193-210. ISSN 1572-3127
Penzer, Jeremy and Jewson, Stephen (2006) Estimating trends in weather series: consequences for pricing derivatives. Studies in Nonlinear Dynamics and Econometrics, 10 (3). article 9. ISSN 1558-3708
Komaki, Toru and 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). pp. 1-14. ISSN 0169-5150
Christodoulaki, Olga and 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, London, UK.
Penzer, Jeremy and de Jong, Piet (2004) The ARMA model in state space form. Statistics and Probability Letters, 70 (1). pp. 119-125. ISSN 0167-7152