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Parameterisation and efficient MCMC estimation of non-Gaussian state space models
Strickland, Chris; Martin, Gael M.; Forbes, Catherine … - 2006
Persistent link: https://www.econbiz.de/10003433826
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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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Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 171 (2012) 2, pp. 217-236
Persistent link: https://www.econbiz.de/10009691156
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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 continuous time models of the Australian short rate
Sanford, Andrew D.; Martin, Gael M. - 2004
Persistent link: https://www.econbiz.de/10002121846
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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 analysis of a fractional cointegration model
Martin, Gael M. - In: Econometric reviews 20 (2001) 2, pp. 217-234
Persistent link: https://www.econbiz.de/10001596591
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Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2018
Persistent link: https://www.econbiz.de/10012583570
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Forecasting observables with particle filters : any filter will do!
Leung, Patrick; Forbes, Catherine Scipione; Martin, Gael M. - 2019
Persistent link: https://www.econbiz.de/10012606152
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Computing Bayes : Bayesian computation from 1763 to the 21st century
Martin, Gael M.; Frazier, David T.; Robert, Christian P. - 2020
Persistent link: https://www.econbiz.de/10012607643