Catherine Scipione Forbes : Citation Profile

Are you Catherine Scipione Forbes?

Monash University

10

H index

11

i10 index

238

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: 34.    Total self citations: 22 (8.46 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfo214
   Updated: 2023-08-19    RAS profile: 2022-02-25    
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Relations with other researchers

Works with:

Fenech, Jean-Pierre (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:

Huber, Florian (11)

McCabe, Brendan (11)

Maheu, John (10)

Martin, Gael (10)

Teräsvirta, Timo (6)

Snyder, Ralph (5)

Koop, Gary (5)

Kole, Erik (4)

Rodríguez-López, Jesús (4)

Szafarz, Ariane (4)

SHIM, ILHYOCK (4)

Cites to:

Bollerslev, Tim (41)

Martin, Gael (35)

Shephard, Neil (27)

Andersen, Torben (27)

Bauwens, Luc (25)

Tauchen, George (20)

Diebold, Francis (19)

Veredas, David (14)

Corsi, Fulvio (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 (2022 and 2021)

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.

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

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2022Testing the volatility jumps based on the high frequency data. (2022). Lin, Jinguan ; Liu, Meiyao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:669-694.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2022Fast and accurate variational inference for models with many latent variables. (2022). Danaher, Peter J ; Nott, David J ; Smith, Michael Stanley ; Loaiza-Maya, Ruben. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:339-362.

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2021Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo. (2021). Czado, Claudia ; Kreuzer, Alexander. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:130-150.

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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.

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2022Multivariate stochastic volatility for herding detection: Evidence from the energy sector. (2022). Philippas, Nikolaos ; Tsionas, Mike G. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001402.

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2022An oil futures volatility forecast perspective on the selection of high-frequency jump tests. (2022). Ma, Feng ; Lu, Xinjie ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s014098832200487x.

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2021Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging. (2021). Sgarra, Carlo ; Gonzato, Luca. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001845.

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2022Jumps and stock market variance during the COVID-19 pandemic: Evidence from international stock markets. (2022). Li, Tao ; Zeng, Qing ; Lu, Xinjie ; Wu, Lan. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001787.

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2021Variational Bayes approximation of factor stochastic volatility models. (2021). Nott, David ; Kohn, Robert ; Gunawan, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1355-1375.

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2021Cross-stock market spillovers through variance risk premiums and equity flows. (2021). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001315.

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2022Oil price volatility forecasts: What do investors need to know?. (2022). Filis, George ; Degiannakis, Stavros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s026156062100245x.

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2021The numerical simulation of Quanto option prices using Bayesian statistical methods. (2021). Wu, Jianhong ; Gao, Rui ; Li, Yaqiong ; Lin, Lisha. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:567:y:2021:i:c:s0378437120309274.

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2022The structure of the South African stock market network during COVID-19 hard lockdown. (2022). Alovokpinhou, Sedjro Aaron ; Mbatha, Vusisizwe Moses. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:590:y:2022:i:c:s0378437121009572.

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2021Measuring the deadly embrace: Systemic and sovereign risks. (2021). de Simone, Francisco Nadal. In: Research in International Business and Finance. RePEc:eee:riibaf:v:56:y:2021:i:c:s0275531920309569.

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2021Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets. (2021). Wong, Wing-Keung ; Hassan, Arshad ; Zada, Hassan. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:2:p:92-:d:576215.

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2022Stochastic Conditional Duration Model with Intraday Seasonality and Limit Order Book Information. (2022). Nakatsuma, Teruo ; Toyabe, Tomoki. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:10:p:470-:d:944931.

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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.

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2022Corporate Loan Recovery Rates under Downturn Conditions in a Developing Economy: Evidence from Zimbabwe. (2022). Gumbo, Victor ; Chikodza, Eriyoti ; Sibanda, Mabutho ; Matenda, Frank Ranganai. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:10:p:198-:d:944577.

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2021Recurrent Dictionary Learning for State-Space Models with an Application in Stock Forecasting. (2021). Majumdar, Angshul ; Chouzenoux, Emilie ; Elvira, Victor ; Sharma, Shalini. In: Post-Print. RePEc:hal:journl:hal-03184841.

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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.

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2021Determinants of corporate exposure at default under distressed economic and financial conditions in a developing economy: the case of Zimbabwe. (2021). Gumbo, Victor ; Chikodza, Eriyoti ; Sibanda, Mabutho ; Matenda, Frank Ranganai. In: Risk Management. RePEc:pal:risman:v:23:y:2021:i:1:d:10.1057_s41283-021-00071-w.

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2022To jump or not to jump: momentum of jumps in crude oil price volatility prediction. (2022). Zhang, Yaojie ; Wang, Yudong ; Ma, Feng ; Wei, YU. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00360-7.

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2022Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019). (2022). Vogl, Markus. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:12:d:10.1007_s43546-022-00359-3.

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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.

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2021Nonparametric Inference of Jump Autocorrelation. (2020). Kwok, Simon. In: Working Papers. RePEc:syd:wpaper:2020-09.

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2021Realized Volatility, Jump and Beta: evidence from Canadian Stock Market. (2021). Chowdhury, Biplob ; Gajurel, Dinesh. In: Applied Economics. RePEc:taf:applec:v:53:y:2021:i:55:p:6376-6397.

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2021Monetary policy shocks over the business cycle: Extending the Smooth Transition framework. (2021). Piffer, Michele ; Bruns, Martin. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2021-07.

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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.

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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.

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2021VIX term structure: The role of jump propagation risks. (2021). Chen, JI ; Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:6:p:785-810.

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2021Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market. (2021). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1055-1073.

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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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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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2014Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures.(2014) In: Monash Econometrics and Business Statistics Working Papers.
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2016Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures.(2016) In: Monash Econometrics and Business Statistics Working Papers.
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2017Inference on Self?Exciting Jumps in Prices and Volatility Using High?Frequency Measures.(2017) In: Journal of Applied Econometrics.
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2020High-Frequency Jump Tests: Which Test Should We Use? In: Papers.
[Full Text][Citation analysis]		paper10
2020High-frequency jump tests: Which test should we use?.(2020) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 10		article
2020High-Frequency Jump Tests: Which Test Should We Use?.(2020) In: Monash Econometrics and Business Statistics Working Papers.
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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.
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2018The determinants of bank loan recovery rates in good times and bad -- new evidence.(2018) 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.
[Citation analysis]		article19
1997Bayesian Arbitrage Threshold Analysis..(1997) In: Monash Econometrics and Business Statistics Working Papers.
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2005Implicit Bayesian Inference Using Option Prices In: Journal of Time Series Analysis.
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2000Implicit Bayesian Inference Using Option Prices..(2000) In: Monash Econometrics and Business Statistics Working Papers.
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2003Implicit Bayesian Inference Using Option Prices.(2003) In: Monash Econometrics and Business Statistics Working Papers.
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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.
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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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2000Bayesian Target Zones In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper9
2000Bayesian Target Zones.(2000) In: Research Paper Series.
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This paper has another version. Agregated cites: 9		paper
2006Bayesian analysis of the stochastic conditional duration model In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article25
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: 25		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.
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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.
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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.
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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.
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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.
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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.
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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.
[Full Text][Citation analysis]		paper7
2006Measuring the cost of leaving care in Victoria In: Monash Econometrics and Business Statistics Working Papers.
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2016Data-driven particle Filters for particle Markov Chain Monte Carlo In: Monash Econometrics and Business Statistics Working Papers.
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2017Dynamic asset price jumps and the performance of high frequency tests and measures In: Monash Econometrics and Business Statistics Working Papers.
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2017Robust Bayesian exponentially tilted empirical likelihood method In: Monash Econometrics and Business Statistics Working Papers.
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2018Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference In: Monash Econometrics and Business Statistics Working Papers.
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2019Updating Variational Bayes: Fast Sequential Posterior Inference In: Monash Econometrics and Business Statistics Working Papers.
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2020Updating Variational Bayes: Fast Sequential Posterior Inference.(2020) In: Monash Econometrics and Business Statistics Working Papers.
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2019Forecasting Observables with Particle Filters: Any Filter Will Do! 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.
[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

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