Catherine Scipione Forbes : Citation Profile


Are you Catherine Scipione Forbes?

Monash University

11

H index

11

i10 index

240

Citations

RESEARCH PRODUCTION:

16

Articles

42

Papers

RESEARCH ACTIVITY:

   26 years (1994 - 2020). See details.
   Cites by year: 9
   Journals where Catherine Scipione Forbes has often published
   Relations with other researchers
   Recent citing documents: 10.    Total self citations: 22 (8.4 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfo214
   Updated: 2024-01-16    RAS profile: 2022-02-25    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Catherine Scipione Forbes.

Is cited by:

Huber, Florian (11)

McCabe, Brendan (11)

Martin, Gael (10)

Maheu, John (10)

Teräsvirta, Timo (6)

Snyder, Ralph (5)

Koop, Gary (5)

Martin, Vance (4)

SHIM, ILHYOCK (4)

Kole, Erik (4)

Szafarz, Ariane (4)

Cites to:

Bollerslev, Tim (41)

Martin, Gael (35)

Shephard, Neil (27)

Andersen, Torben (27)

Bauwens, Luc (25)

Tauchen, George (20)

Diebold, Francis (19)

Corsi, Fulvio (14)

Veredas, David (14)

pan, jun (13)

Geweke, John (13)

Main data


Where Catherine Scipione Forbes has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis2
Journal of Econometrics2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics35
Papers / arXiv.org3
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney2

Recent works citing Catherine Scipione Forbes (2024 and 2023)


YearTitle of citing document
2023Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

Full description at Econpapers || Download paper

2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

Full description at Econpapers || Download paper

2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

Full description at Econpapers || Download paper

2023Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

Full description at Econpapers || Download paper

2023Elliptical and Skew-Elliptical Regression Models and Their Applications to Financial Data Analytics. (2023). Ma, Tiefeng ; Liu, Yonghui ; Dewick, Paul R. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:7:p:310-:d:1180762.

Full description at Econpapers || Download paper

2023Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-1.

Full description at Econpapers || Download paper

2023ABC-based Forecasting in State Space Models. (2023). Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben ; Weerasinghe, Chaya. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-12.

Full description at Econpapers || Download paper

2023Information shocks, market returns and volatility: a comparative analysis of developed equity markets in Asia. (2023). Khan, Muhammad Zeb ; Ahmed, Shakeel ; Maqsood, Huma ; Zada, Hassan. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00417-w.

Full description at Econpapers || Download paper

2023Investor sentiment and volatility of exchange?traded funds: Evidence from China. (2023). Chi, Jun ; Yang, Chunpeng. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:668-680.

Full description at Econpapers || Download paper

2023Analysis of default risk in microfinance institutions under the Basel III framework. (2023). Navarrogalera, Andres ; Lararubio, Juan ; Durangogutierrez, Maria Patricia. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1261-1278.

Full description at Econpapers || Download paper

Works by Catherine Scipione Forbes:


YearTitleTypeCited
2016Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures In: Papers.
[Full Text][Citation analysis]
paper15
2013Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures.(2013) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15
paper
2014Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures.(2014) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15
paper
2016Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures.(2016) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15
paper
2017Inference on Self?Exciting Jumps in Prices and Volatility Using High?Frequency Measures.(2017) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15
article
2020High-Frequency Jump Tests: Which Test Should We Use? In: Papers.
[Full Text][Citation analysis]
paper11
2020High-frequency jump tests: Which test should we use?.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11
article
2020High-Frequency Jump Tests: Which Test Should We Use?.(2020) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11
paper
2018The determinants of bank loan recovery rates in good times and bad - new evidence In: Papers.
[Full Text][Citation analysis]
paper4
2020The determinants of bank loan recovery rates in good times and bad – New evidence.(2020) In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4
article
2018The determinants of bank loan recovery rates in good times and bad -- new evidence.(2018) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4
paper
1999Bayesian Arbitrage Threshold Analysis. In: Journal of Business & Economic Statistics.
[Citation analysis]
article19
1997Bayesian Arbitrage Threshold Analysis..(1997) In: Monash Econometrics and Business Statistics Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 19
paper
2005Implicit Bayesian Inference Using Option Prices In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article12
2000Implicit Bayesian Inference Using Option Prices..(2000) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12
paper
2003Implicit Bayesian Inference Using Option Prices.(2003) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12
paper
2003Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article1
2002Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series.(2002) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1
paper
2004Bayesian Estimation of Non-Gausian Time Series with Applicaitons to Transaction Data In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]
paper0
2000Bayesian Target Zones In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
paper9
2000Bayesian Target Zones.(2000) In: Research Paper Series.
[Citation analysis]
This paper has nother version. Agregated cites: 9
paper
2006Bayesian analysis of the stochastic conditional duration model In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article26
2003Bayesian Analysis of the Stochastic Conditional Duration Model.(2003) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26
paper
2008Parameterisation and efficient MCMC estimation of non-Gaussian state space models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article17
2006Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models.(2006) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17
paper
2011Worker time and the cost of stability In: Children and Youth Services Review.
[Full Text][Citation analysis]
article1
2011Worker time and the cost of stability.(2011) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1
paper
2012Probabilistic forecasts of volatility and its risk premia In: Journal of Econometrics.
[Full Text][Citation analysis]
article13
2010Probabilistic Forecasts of Volatility and its Risk Premia.(2010) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13
paper
2008Increasing correlations or just fat tails? In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article43
2013Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models In: International Journal of Forecasting.
[Full Text][Citation analysis]
article6
2011Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models.(2011) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6
paper
1994Bayesian Statistical Variable Selection: A Review. In: Monash Econometrics and Business Statistics Working Papers.
[Citation analysis]
paper0
1995A Small Sample Variable Selection Procedure. In: Monash Econometrics and Business Statistics Working Papers.
[Citation analysis]
paper2
1996Improved Small Sample Midel selection Procedures. In: Monash Econometrics and Business Statistics Working Papers.
[Citation analysis]
paper0
1997Bayesian Approaches to Segmenting A Simple Time Series In: Monash Econometrics and Business Statistics Working Papers.
[Citation analysis]
paper0
1999Understanding the Kalman Filter: an Object Oriented Programming Perspective. In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
paper0
2000A structural Time Series Model with Markov Switching. In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
paper2
2000Bayesian Soft Target Zones. In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
paper11
2000Bayesian Target Zones.(2000) In: Research Paper Series.
[Citation analysis]
This paper has nother version. Agregated cites: 11
paper
2000Bayesian Exponential Smoothing. In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
paper6
2002Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices. In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
paper4
2002Non-linear Modelling of the Australian Business Cycle using a Leading Indicator In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
paper0
2002Model Selection Criteria for Segmented Time Series from a Bayesian Approach to Information Compression In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
paper0
2003Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
paper2
2003Diversification Meltdown or the Impact of Fat tails on Conditional Correlation? In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
paper7
2006Measuring the cost of leaving care in Victoria In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
paper0
2016Data-driven particle Filters for particle Markov Chain Monte Carlo In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
paper0
2017Dynamic asset price jumps and the performance of high frequency tests and measures In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
paper0
2017Robust Bayesian exponentially tilted empirical likelihood method In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
paper0
2018Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
paper0
2019Updating Variational Bayes: Fast Sequential Posterior Inference In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
paper2
2020Updating Variational Bayes: Fast Sequential Posterior Inference.(2020) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2
paper
2019Forecasting Observables with Particle Filters: Any Filter Will Do! In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
paper0
1999Using simulation methods for bayesian econometric models: inference, development and communication: some comments In: Econometric Reviews.
[Full Text][Citation analysis]
article11
2007Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter In: Econometric Reviews.
[Full Text][Citation analysis]
article11
2017Systemic risk in the European sovereign and banking system In: Quantitative Finance.
[Full Text][Citation analysis]
article5
2017Discussion of ‘Deep learning for finance: deep portfolios’ In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]
article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team