11
H index
11
i10 index
239
Citations
Catherine Scipione Forbes : Citation Profile
Monash University | RESEARCH PRODUCTION: 16 Articles 42 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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:
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Main data
Where Catherine Scipione Forbes has published?
| Journals with more than one article published | # docs |
|---|---|
| Econometric Reviews | 2 |
| Computational Statistics & Data Analysis | 2 |
| Journal of Econometrics | 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 (2023 and 2022)
| 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 |
| 2022 | Testing 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. Full description at Econpapers || Download paper |
| 2022 | Fast 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. 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 |
| 2022 | Multivariate 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. Full description at Econpapers || Download paper |
| 2022 | An 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. Full description at Econpapers || Download paper |
| 2022 | Jumps 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. Full description at Econpapers || Download paper |
| 2022 | Oil 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. Full description at Econpapers || Download paper |
| 2022 | The 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. 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 |
| 2022 | Stochastic 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. 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 |
| 2022 | Corporate 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. 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 |
| 2022 | To 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. Full description at Econpapers || Download paper |
| 2022 | Quantitative 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. 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 | Investor 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 |
| 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 | 15 |
| 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 another version. Agregated cites: 15 | 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 another version. Agregated cites: 15 | 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 another version. Agregated cites: 15 | paper | |
| 2017 | Inference 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 another version. Agregated cites: 15 | article | |
| 2020 | High-Frequency Jump Tests: Which Test Should We Use? In: Papers. [Full Text][Citation analysis] | paper | 11 |
| 2020 | High-frequency jump tests: Which test should we use?.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | 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 another version. Agregated cites: 11 | paper | |
| 2018 | The determinants of bank loan recovery rates in good times and bad - new evidence In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 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 another version. Agregated cites: 4 | 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 another version. Agregated cites: 4 | 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 another version. Agregated cites: 19 | paper | |
| 2005 | Implicit Bayesian Inference Using Option Prices In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 12 |
| 2000 | Implicit Bayesian Inference Using Option Prices..(2000) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2003 | Implicit Bayesian Inference Using Option Prices.(2003) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | 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 another 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 another version. Agregated cites: 9 | paper | |
| 2006 | Bayesian analysis of the stochastic conditional duration model In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 25 |
| 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 another version. Agregated cites: 25 | paper | |
| 2008 | Parameterisation and efficient MCMC estimation of non-Gaussian state space models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 17 |
| 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 another version. Agregated cites: 17 | 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 another version. Agregated cites: 1 | paper | |
| 2012 | Probabilistic forecasts of volatility and its risk premia In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
| 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 another version. Agregated cites: 13 | paper | |
| 2008 | Increasing correlations or just fat tails? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 43 |
| 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 another 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 another 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 another 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 | 11 |
| 2017 | Systemic risk in the European sovereign and banking system In: Quantitative Finance. [Full Text][Citation analysis] | article | 5 |
| 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. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team