1. Introduction ; 2. The Development of a Time Series Methodology: from Recursive Residuals to Dynamic Conditional Score Models ; 3. A State-Dependent Model for Inflation Forecasting ; 4. Measuring the Tracking Error of Exchange Traded Funds ; 5. Measuring the Dynamics of Global Business Cycle Connectedness ; 6. Inferring and Predicting Global Temperature Trends ; 7. Forecasting the Boat Race ; 8. Tests for Serial Dependence in Static, Non-Gaussian Factor Models ; 9. Inference for Models with Asymmetric alpha-Stable Noise Processes ; 10. Martingale Unobserved Component Models ; 11. More is Not Always Better: Kalman Filtering in Dynamic Factor Models ; 12. On Detecting End-of-Sample Instabilities ; 13. Improved Frequentist Prediction Intervals for Autoregressive Models by Simulation ; 14. The Superiority of the LM Test in a Class of Econometric Models Where the Wald Test Performs Poorly ; 15. Generalised Linear Spectral Models.