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Bayesian analysis of the stochastic conditional duration model
Strickland, Chris M.
;
Forbes, Catherine Scipione
; …
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2003
Persistent link: https://www.econbiz.de/10001854434
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2
Parameterisation and efficient MCMC estimation of non-Gaussian state space models
Strickland, Chris
;
Martin, Gael M.
;
Forbes, Catherine …
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2006
Persistent link: https://www.econbiz.de/10003433826
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3
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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4
Forecasting observables with particle filters : any filter will do!
Leung, Patrick
;
Forbes, Catherine Scipione
;
Martin, Gael M.
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2019
Persistent link: https://www.econbiz.de/10012606152
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5
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
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2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
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6
Updating variational Bayes : fast sequential posterior inference
Tomasetti, Nathaniel
;
Forbes, Catherine Scipione
; …
-
2020
Persistent link: https://www.econbiz.de/10012608357
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7
Updating Variational Bayes : fast sequential posterior inference
Tomasetti, Nathaniel
;
Forbes, Catherine Scipione
; …
-
2019
Persistent link: https://www.econbiz.de/10012592824
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8
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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9
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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10
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
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