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The determinants of bank loan recovery rates in good times and bad : new evidence
Wang, Hong; Forbes, Catherine Scipione; Fenech, Jean-Pierre - In: Journal of economic behavior & organization : JEBO 177 (2020), pp. 875-897
Persistent link: https://www.econbiz.de/10012437899
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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
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Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - 2016 - Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
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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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Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2017
Persistent link: https://www.econbiz.de/10011782238
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Robust Bayesian exponentially tilted empirical likelihood method
Liu, Zhichao; Forbes, Catherine Scipione; Anderson, … - 2017
Persistent link: https://www.econbiz.de/10011782265
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In-sample confidence bands and out-of-sample forecast bands for time-varying parameters : some comments
Forbes, Catherine Scipione - In: International journal of forecasting 32 (2016) 3, pp. 888-890
Persistent link: https://www.econbiz.de/10011621862
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Rejoinder to the discussion "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models"
Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - In: International journal of forecasting 32 (2016) 3, pp. 893-894
Persistent link: https://www.econbiz.de/10011621879
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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