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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
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
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.