Bayesian algorithm for averaging over rank reduced VARs.
Using a copula model for browsing behaviour (page views and duration spent on website) and purchasing behaviour (purchase incidence and sales amount).
Develops pair copula constructions for multivariate discrete data.
Selection of skewness in multivariate distributions. Applications to electricity spot prices.
Density forecasts of Australian electricity spot prices.
Estimation and selection of non-linear functions in additive models. Application to electricity load modelling.