Details about Tore Selland Kleppe

Access statistics for papers by Tore Selland Kleppe.

Last updated 2022-02-21. Update your information in the RePEc Author Service.

Short-id: pkl71

Working Papers

2019

1. Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility
   Papers, arXiv.org

2015

2. Trade with Endogenous Transportation Costs: The Value of LNG Exports
   UiS Working Papers in Economics and Finance, University of Stavanger View citations (2)
   Also in CESifo Working Paper Series, CESifo (2015) View citations (2)

2012

3. Simulated Maximum Likelihood Estimation for Latent Diffusion Models
   Working Papers, Singapore Management University, School of Economics
   Also in Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics (2011)
   Working Papers, Singapore Management University, School of Economics (2011)

2011

4. Efficient high-dimensional importance sampling in mixture frameworks
   Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics View citations (3)

2010

5. Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time
   Working Papers, Singapore Management University, School of Economics View citations (1)

2009

6. Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
   Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics View citations (1)
   Also in Working Papers, Singapore Management University, School of Economics (2009)

2008

7. Simulated maximum likelihood for general stochastic volatility models: a change of variable approach
   MPRA Paper, University Library of Munich, Germany

Journal Articles

2021

1. Estimating the Competitive Storage Model with Stochastic Trends in Commodity Prices
   Econometrics, 2021, 9, (4), 1-24

2020

2. Time Commitments in LNG Shipping and Natural Gas Price Convergence
   The Energy Journal, 2020, Volume 41, (Number 2), 29-46 View citations (1)

2019

3. Can limits‐to‐arbitrage from bounded storage improve commodity term‐structure modeling?
   Journal of Futures Markets, 2019, 39, (7), 865-889 View citations (2)
4. The Gibbs sampler with particle efficient importance sampling for state-space models*
   Econometric Reviews, 2019, 38, (10), 1152-1175 View citations (3)

2017

5. Estimating the competitive storage model: A simulated likelihood approach
   Econometrics and Statistics, 2017, 4, (C), 39-56 View citations (2)
6. On the behavior of commodity prices when speculative storage is bounded
   Journal of Economic Dynamics and Control, 2017, 75, (C), 52-69 View citations (12)
7. Price Dynamics in Biological Production Processes Exposed to Environmental Shocks
   American Journal of Agricultural Economics, 2017, 99, (5), 1246-1264 View citations (9)

2016

8. Adaptive Step Size Selection for Hessian-Based Manifold Langevin Samplers
   Scandinavian Journal of Statistics, 2016, 43, (3), 788-805 View citations (1)
9. How regular are directional movements in commodity and asset prices? A Wald test
   Journal of Empirical Finance, 2016, 38, (PA), 290-306
10. Trade with endogenous transportation costs: The case of liquefied natural gas
    Energy Economics, 2016, 59, (C), 138-148 View citations (5)

2014

11. Efficient importance sampling in mixture frameworks
    Computational Statistics & Data Analysis, 2014, 76, (C), 449-463 View citations (2)
12. Introducing localgauss, an R Package for Estimating and Visualizing Local Gaussian Correlation
    Journal of Statistical Software, 2014, 056, (i12) View citations (10)
13. Maximum likelihood estimation of partially observed diffusion models
    Journal of Econometrics, 2014, 180, (1), 73-80 View citations (2)

2012

14. Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
    Computational Statistics & Data Analysis, 2012, 56, (11), 3105-3119 View citations (6)

2008

15. Building and Fitting Non‐Gaussian Latent Variable Models via the Moment‐Generating Function
    Scandinavian Journal of Statistics, 2008, 35, (4), 664-676