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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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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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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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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2020 - (Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
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Updating variational Bayes : fast sequential posterior inference
Tomasetti, Nathaniel; Forbes, Catherine Scipione; … - 2020
Persistent link: https://www.econbiz.de/10012608357
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Updating Variational Bayes : fast sequential posterior inference
Tomasetti, Nathaniel; Forbes, Catherine Scipione; … - 2019
Persistent link: https://www.econbiz.de/10012592824
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
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Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - In: Journal of applied econometrics 32 (2017) 3, pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
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Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - 2014
Persistent link: https://www.econbiz.de/10011781063