Catherine Scipione Forbes : Citation Profile


Are you Catherine Scipione Forbes?

Monash University

8

H index

7

i10 index

179

Citations

RESEARCH PRODUCTION:

11

Articles

28

Papers

RESEARCH ACTIVITY:

   22 years (1994 - 2016). See details.
   Cites by year: 8
   Journals where Catherine Scipione Forbes has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 12 (6.28 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfo214
   Updated: 2019-09-14    RAS profile: 2014-03-12    
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Relations with other researchers


Works with:

Martin, Gael (3)

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

Is cited by:

McCabe, Brendan (12)

Martin, Gael (11)

Teräsvirta, Timo (6)

Snyder, Ralph (5)

Korenok, Oleg (4)

Szafarz, Ariane (4)

Radchenko, Stanislav (4)

Kole, Erik (4)

Verbeek, Marno (4)

Martin, Vance (4)

Raggi, Davide (3)

Cites to:

Martin, Gael (21)

Shephard, Neil (15)

Bollerslev, Tim (14)

Snyder, Ralph (9)

Diebold, Francis (8)

Bauwens, Luc (7)

Tauchen, George (6)

Hamilton, James (6)

Ord, Keith (6)

Chernov, Mikhail (6)

McCabe, Brendan (6)

Main data


Where Catherine Scipione Forbes has published?


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

Working Papers Series with more than one paper published# docs
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics24

Recent works citing Catherine Scipione Forbes (2018 and 2017)


YearTitle of citing document
2017Option Pricing in Markets with Unknown Stochastic Dynamics. (2017). Nizami, Elpida ; Gottschalk, Hanno . In: Papers. RePEc:arx:papers:1602.04848.

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2017Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models. (2017). Kastner, Gregor ; Lopes, Hedibert Freitas ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:1602.08154.

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2017Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models. (2017). Kastner, Gregor ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:1706.05280.

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2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2018State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14.

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2018Estimating unknown arbitrage costs: evidence from a three-regime threshold vector error correction model. (2018). Ters, Kristyna ; Urban, Jorg. In: BIS Working Papers. RePEc:bis:biswps:689.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:702.

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2019Previous life experiences and the vulnerability of children adopted from out-of-home care: The impact of Adverse Childhood Experiences and child welfare decision making. (2019). Tregeagle, Susan ; Ward, Harriet ; Trivedi, Helen ; Moggach, Lynne. In: Children and Youth Services Review. RePEc:eee:cysrev:v:96:y:2019:i:c:p:55-63.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2019). Winkelmann, Lars ; Neely, Christopher ; Bibinger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:158-184.

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2019Threshold cointegration in international exchange rates:A Bayesian approach. (2019). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:458-473.

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2019Approximate Bayesian forecasting. (2019). , Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:521-539.

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2019Network topology of FTSE 100 Index companies: From the perspective of Brexit. (2019). Memon, Bilal Ahmed ; Yao, Hongxing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:1248-1262.

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2017Asset Co-movements: Features and Challenges. (2017). Gospodinov, Nikolay. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-11.

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2017Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2017). Neely, Christopher ; Winkelmann, Lars ; Bibinger, Markus. In: Working Papers. RePEc:fip:fedlwp:2017-012.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: CIS Discussion paper series. RePEc:hit:cisdps:667.

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2017A Comparison Study of Copula Models for Europea Financial Index Returns. (2017). Tofoli, Paula V ; Candido, Osvaldo ; Ziegelmann, Flavio A. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:10:p:155-178.

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2017Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-14.

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2017Construction and visualization of optimal confidence sets for frequentist distributional forecasts. (2017). Poskitt, Donald ; Perera, Indeewara ; Martin, Gael M ; Harris, David. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-9.

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2018Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-17.

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2018Approximate Bayesian forecasting. (2018). McCabe, Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-2.

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2018A structural break test for extremal dependence in β-mixing random vectors. (2018). Hoga, Y. In: Biometrika. RePEc:oup:biomet:v:105:y:2018:i:3:p:627-643..

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2018An innovative risk management methodology for trading equity indices based on change points. (2018). Gosmann, Josua ; Ziggel, Daniel. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:2:d:10.1057_s41260-017-0062-7.

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2018Option pricing in an exponential MixedTS Lévy process. (2018). Mercuri, Lorenzo ; Rroji, Edit. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2180-x.

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2019Predicting China’s Monetary Policy with Forecast Combinations. (2019). Pauwels, Laurent. In: Working Papers. RePEc:syb:wpbsba:2123/20406.

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Works by Catherine Scipione Forbes:


YearTitleTypeCited
2016Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures In: Papers.
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paper4
2013Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures.(2013) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 4
paper
1999Bayesian Arbitrage Threshold Analysis. In: Journal of Business & Economic Statistics.
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article15
1997Bayesian Arbitrage Threshold Analysis..(1997) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 15
paper
2005Implicit Bayesian Inference Using Option Prices In: Journal of Time Series Analysis.
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article9
2000Implicit Bayesian Inference Using Option Prices..(2000) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 9
paper
2003Implicit Bayesian Inference Using Option Prices.(2003) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 9
paper
2003Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2002Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series.(2002) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 1
paper
2004Bayesian Estimation of Non-Gausian Time Series with Applicaitons to Transaction Data In: Econometric Society 2004 Australasian Meetings.
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paper0
2000Bayesian Target Zones In: Econometric Society World Congress 2000 Contributed Papers.
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paper7
2000Bayesian Target Zones.(2000) In: Research Paper Series.
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This paper has another version. Agregated cites: 7
paper
2006Bayesian analysis of the stochastic conditional duration model In: Computational Statistics & Data Analysis.
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article23
2003Bayesian Analysis of the Stochastic Conditional Duration Model.(2003) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 23
paper
2008Parameterisation and efficient MCMC estimation of non-Gaussian state space models In: Computational Statistics & Data Analysis.
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article13
2006Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models.(2006) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 13
paper
2011Worker time and the cost of stability In: Children and Youth Services Review.
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article1
2011Worker time and the cost of stability.(2011) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 1
paper
2012Probabilistic forecasts of volatility and its risk premia In: Journal of Econometrics.
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article13
2010Probabilistic Forecasts of Volatility and its Risk Premia.(2010) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 13
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2008Increasing correlations or just fat tails? In: Journal of Empirical Finance.
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article36
2013Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models In: International Journal of Forecasting.
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article5
2011Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models.(2011) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has another version. Agregated cites: 5
paper
1994Bayesian Statistical Variable Selection: A Review. In: Monash Econometrics and Business Statistics Working Papers.
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paper0
1995A Small Sample Variable Selection Procedure. In: Monash Econometrics and Business Statistics Working Papers.
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paper3
1996Improved Small Sample Midel selection Procedures. In: Monash Econometrics and Business Statistics Working Papers.
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paper0
1997Bayesian Approaches to Segmenting A Simple Time Series In: Monash Econometrics and Business Statistics Working Papers.
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paper0
1999Understanding the Kalman Filter: an Object Oriented Programming Perspective. In: Monash Econometrics and Business Statistics Working Papers.
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2000A structural Time Series Model with Markov Switching. In: Monash Econometrics and Business Statistics Working Papers.
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2000Bayesian Soft Target Zones. In: Monash Econometrics and Business Statistics Working Papers.
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2000Bayesian Exponential Smoothing. In: Monash Econometrics and Business Statistics Working Papers.
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2002Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices. In: Monash Econometrics and Business Statistics Working Papers.
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2002Non-linear Modelling of the Australian Business Cycle using a Leading Indicator In: Monash Econometrics and Business Statistics Working Papers.
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2002Model Selection Criteria for Segmented Time Series from a Bayesian Approach to Information Compression In: Monash Econometrics and Business Statistics Working Papers.
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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.
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2003Diversification Meltdown or the Impact of Fat tails on Conditional Correlation? In: Monash Econometrics and Business Statistics Working Papers.
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2006Measuring the cost of leaving care in Victoria In: Monash Econometrics and Business Statistics Working Papers.
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1999Using simulation methods for bayesian econometric models: inference, development and communication: some comments In: Econometric Reviews.
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article11
2007Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter In: Econometric Reviews.
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article8

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