Jeremy Penzer: search on Z-Library

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1

Measuring large comovements in financial markets

Penzer, Jeremy, Schmid, Friedrich, Schmidt, Rafael

Journal:

Quantitative Finance

Year:

2012

Language:

english

File:

PDF, 416 KB

english, 2012

2

The ARMA model in state space form

Piet de Jong, Jeremy Penzer

Journal:

Statistics & Probability Letters

Year:

2004

Language:

english

File:

PDF, 197 KB

english, 2004

3

Weather Derivative Pricing and the Interpretation of Linear Trend Models

Jewson, Stephen, Penzer, Jeremy

Journal:

SSRN Electronic Journal

Year:

2004

Language:

english

File:

PDF, 120 KB

english, 2004

4

State space models for time series with patches of unusual observations

Journal:

Journal of Time Series Analysis

Year:

2007

Language:

english

File:

PDF, 595 KB

english, 2007

5

Estimation of Time-Series Regressions with Autoregressive Disturbances and Missing Observations

José A. F. Machado , J. Roderick McCrorie and Jeremy Penzer

Journal:

Econometric Theory

Year:

1998

Language:

english

File:

PDF, 315 KB

english, 1998

6

Modelling time series with season-dependent autocorrelation structure

Yorghos Tripodis, Jeremy Penzer

Journal:

Journal of Forecasting

Year:

2009

Language:

english

File:

PDF, 225 KB

english, 2009

7

APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS

Jeremy Penzer, Mingjin Wang, Qiwei Yao

Journal:

Australian & New Zealand Journal of Statistics

Year:

2009

Language:

english

File:

PDF, 311 KB

english, 2009

8

Diagnosing Shocks in Time Series

Piet de Jong and Jeremy Penzer

Journal:

Journal of the American Statistical Association

Year:

1998

Language:

english

File:

PDF, 1.22 MB

english, 1998

9

Optimal Year Ahead Forecasting of Temperature in the Presence of a Linear Trend, and the Pricing of Weather Derivatives

Jewson, Stephen, Penzer, Jeremy

Journal:

SSRN Electronic Journal

Year:

2004

Language:

english

File:

PDF, 160 KB

english, 2004

10

Weather Derivative Pricing and a Preliminary Investigation into a Decision Rule for Detrending

Jewson, Stephen, Penzer, Jeremy

Journal:

SSRN Electronic Journal

Year:

2004

Language:

english

File:

PDF, 129 KB

english, 2004

11

Diagnosing seasonal shifts in time series using state space models

Journal:

Statistical Methodology

Year:

2006

Language:

english

File:

PDF, 611 KB

english, 2006

12

Weather Derivative Pricing and the Detrending of Meteorological Data: Closed-Form Solutions for the Behaviour of a Simple Decision Rule

Jewson, Stephen, Penzer, Jeremy

Journal:

SSRN Electronic Journal

Year:

2004

Language:

english

File:

PDF, 140 KB

english, 2004

13

Finite sample prediction and interpolation for ARIMA models with missing data

Jeremy Penzer, Brian Shea

Journal:

Journal of Forecasting

Year:

1999

Language:

english

File:

PDF, 133 KB

english, 1999

14

The Exact Likelihood of an Autoregressive-Moving Average Model with Incomplete Data

Jeremy Penzer and Brian Shea

Journal:

Year:

1997

Language:

english

File:

PDF, 803 KB

english, 1997

15

Diagnosing Shocks in Time Series

de Jong, Piet, Penzer, Jeremy

Journal:

Journal of the American Statistical Association

Year:

1998

Language:

english

File:

PDF, 925 KB

english, 1998

16

Estimating Trends in Weather Series: Consequences for Pricing Derivatives

Jewson, Stephen, Penzer, Jeremy

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

2006

Language:

english

File:

PDF, 257 KB

english, 2006

17

Weather Derivative Pricing and the Impact of El Nino on US Temperature: The Statistics of Optimal Categorical Predictions

Jewson, Stephen, Penzer, Jeremy

Journal:

SSRN Electronic Journal

Year:

2005

Language:

english

File:

PDF, 130 KB

english, 2005

18

Single-season heteroscedasticity in time series

Yorghos Tripodis, Jeremy Penzer

Journal:

Journal of Forecasting

Year:

2007

Language:

english

File:

PDF, 206 KB

english, 2007

19

Estimation of time-varying price elasticity in 1970–1997 Japanese raw milk supply by structural time-series model

Toru Komaki, Jeremy Penzer

Journal:

Agricultural Economics

Year:

2005

Language:

english

File:

PDF, 237 KB

english, 2005

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