10
H index
10
i10 index
243
Citations
Catherine Scipione Forbes : Citation Profile
Monash University | RESEARCH PRODUCTION: 15 Articles 42 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
26 years (1994 - 2020). 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:
| Cites to:
|
Main data
Where Catherine Scipione Forbes has published?
| Journals with more than one article published | # docs |
|---|---|
| Computational Statistics & Data Analysis | 2 |
| Journal of Econometrics | 2 |
| Econometric Reviews | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics | 35 |
| Papers / arXiv.org | 3 |
| Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney | 2 |
Recent works citing Catherine Scipione Forbes (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Bayesian 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 |
| 2023 | Optimal 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 |
| 2024 | On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549. Full description at Econpapers || Download paper |
| 2023 | The 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 |
| 2024 | Bayesian forecasting in economics and finance: A modern review. (2024). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839. Full description at Econpapers || Download paper |
| 2023 | Systemic 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 |
| 2023 | On Asymmetric Correlations and Their Applications in Financial Markets. (2023). Liu, Conan ; Ma, Tiefeng ; Sun, Ruili ; Cao, Linyu. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:3:p:187-:d:1092699. Full description at Econpapers || Download paper |
| 2023 | Elliptical 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 |
| 2023 | Bayesian 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 |
| 2023 | ABC-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 |
| 2023 | Information 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 |
| 2023 | Analysis 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:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2016 | Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2013 | Inference 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: 8 | paper | |
| 2014 | Inference 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: 8 | paper | |
| 2016 | Inference 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: 8 | paper | |
| 2020 | High-Frequency Jump Tests: Which Test Should We Use? In: Papers. [Full Text][Citation analysis] | paper | 13 |
| 2020 | High-frequency jump tests: Which test should we use?.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2020 | High-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: 13 | paper | |
| 2018 | The determinants of bank loan recovery rates in good times and bad - new evidence In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2020 | The 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: 5 | article | |
| 2018 | The 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: 5 | paper | |
| 1999 | Bayesian Arbitrage Threshold Analysis. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 19 |
| 1997 | Bayesian Arbitrage Threshold Analysis..(1997) In: Monash Econometrics and Business Statistics Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2005 | Implicit Bayesian Inference Using Option Prices In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 13 |
| 2000 | Implicit 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: 13 | paper | |
| 2003 | Implicit 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: 13 | paper | |
| 2003 | Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2002 | Reconstructing 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 | |
| 2004 | Bayesian Estimation of Non-Gausian Time Series with Applicaitons to Transaction Data In: Econometric Society 2004 Australasian Meetings. [Citation analysis] | paper | 0 |
| 2000 | Bayesian Target Zones In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 9 |
| 2000 | Bayesian Target Zones.(2000) In: Research Paper Series. [Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2006 | Bayesian analysis of the stochastic conditional duration model In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 27 |
| 2003 | Bayesian 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: 27 | paper | |
| 2008 | Parameterisation and efficient MCMC estimation of non-Gaussian state space models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 18 |
| 2006 | Parameterisation 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: 18 | paper | |
| 2011 | Worker time and the cost of stability In: Children and Youth Services Review. [Full Text][Citation analysis] | article | 1 |
| 2011 | Worker 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 | |
| 2012 | Probabilistic forecasts of volatility and its risk premia In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
| 2010 | Probabilistic 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: 14 | paper | |
| 2008 | Increasing correlations or just fat tails? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 44 |
| 2013 | Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 6 |
| 2011 | Non-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 | |
| 1994 | Bayesian Statistical Variable Selection: A Review. In: Monash Econometrics and Business Statistics Working Papers. [Citation analysis] | paper | 0 |
| 1995 | A Small Sample Variable Selection Procedure. In: Monash Econometrics and Business Statistics Working Papers. [Citation analysis] | paper | 2 |
| 1996 | Improved Small Sample Midel selection Procedures. In: Monash Econometrics and Business Statistics Working Papers. [Citation analysis] | paper | 0 |
| 1997 | Bayesian Approaches to Segmenting A Simple Time Series In: Monash Econometrics and Business Statistics Working Papers. [Citation analysis] | paper | 0 |
| 1999 | Understanding the Kalman Filter: an Object Oriented Programming Perspective. In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | A structural Time Series Model with Markov Switching. In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2000 | Bayesian Soft Target Zones. In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2000 | Bayesian Target Zones.(2000) In: Research Paper Series. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2000 | Bayesian Exponential Smoothing. In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2002 | Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices. In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2002 | Non-linear Modelling of the Australian Business Cycle using a Leading Indicator In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Model 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] | paper | 0 |
| 2003 | Bayesian 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] | paper | 2 |
| 2003 | Diversification Meltdown or the Impact of Fat tails on Conditional Correlation? In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2006 | Measuring the cost of leaving care in Victoria In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Data-driven particle Filters for particle Markov Chain Monte Carlo In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Dynamic asset price jumps and the performance of high frequency tests and measures In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Robust Bayesian exponentially tilted empirical likelihood method In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Dynamic 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] | paper | 0 |
| 2019 | Updating Variational Bayes: Fast Sequential Posterior Inference In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Updating 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 | |
| 2019 | Forecasting Observables with Particle Filters: Any Filter Will Do! In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Using simulation methods for bayesian econometric models: inference, development and communication: some comments In: Econometric Reviews. [Full Text][Citation analysis] | article | 11 |
| 2007 | Inference 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] | article | 12 |
| 2017 | Systemic risk in the European sovereign and banking system In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
| 2017 | Discussion of ‘Deep learning for finance: deep portfolios’ In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team