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Data-driven particle filters for Particle Markov Chain Monte Carlo
Leung, Patrick; Forbes, Catherine Scipione; Martin, Gael M. - 2016
Persistent link: https://www.econbiz.de/10011781784
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Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2010
Persistent link: https://www.econbiz.de/10009009831
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Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - 2013
Persistent link: https://www.econbiz.de/10010245443
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Bayesian analysis of the stochastic conditional duration model
Strickland, Chris M.; Forbes, Catherine Scipione; … - 2003
Persistent link: https://www.econbiz.de/10001854434
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Bayesian estimation of a stochastic volatility model using option and spot prices : application of a Bivariate Kalman Filter
Forbes, Catherine Scipione; Martin, Gael M.; Wright, Jill - 2003
Persistent link: https://www.econbiz.de/10001854495
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Bayesian soft target zones
Forbes, Catherine Scipione; Kofman, Paul - 2000
Persistent link: https://www.econbiz.de/10001479237
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Model selection criteria for segmented time series from a Bayesian approach to information compression
Hanlon, Brian; Forbes, Catherine Scipione - 2002
Persistent link: https://www.econbiz.de/10001704960
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Bayesian estimation of a stochastic volatility model using option and spot prices
Forbes, Catherine Scipione; Martin, Gael M.; Wright, Jill - 2002
Persistent link: https://www.econbiz.de/10001704968
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Implicit Bayesian inference using option prices
Martin, Gael M.; Forbes, Catherine Scipione; Martin, Vance - 2000
Persistent link: https://www.econbiz.de/10001506963
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Bayesian exponential smoothing
Forbes, Catherine Scipione; Snyder, Ralph D.; Shami, … - 2000
Persistent link: https://www.econbiz.de/10001506975