We assess the yield impact of asset purchases within the European Central Bank׳ s (ECB)
Securities Markets Programme (SMP) in five euro area sovereign bond markets from 2010 …

We assess the yield impact of asset purchases within the ECB's Securities Markets
Programme in five euro area sovereign bond markets during 2010-11. Identification is non …

We present new results for the likelihood‐based analysis of the dynamic factor model. The
latent factors are modelled by linear dynamic stochastic processes. The idiosyncratic …

We present new results for the likelihood-based analysis of the dynamic factor model that
possibly includes intercepts and explanatory variables. The latent factors are modelled by …

Panel data, also known as longitudinal data, consist of a collection of time series. Each time
series, which could itself be multivariate, comprises a sequence of measurements taken on …

We introduce a dynamic network model with probabilistic link functions that depend on
stochastically time-varying parameters. We adopt a blockmodel framework and allow the …

Objectives We seek evidence for economic and social mechanisms that aim to explain the
relationship between employment and crime. We use the distinctive features of social …

We introduce a dynamic network model with probabilistic link functions that depend on
stochastically time-varying parameters. We adopt the widely used blockmodel framework …

We consider the dynamic factor model where the loading matrix, the dynamic factors, and
the disturbances are treated as latent stochastic processes. We present empirical Bayes …

We develop an econometric methodology for the study of the yield curve and its interactions
with measures of non-standard monetary policy during possibly turbulent times. The yield …