11
H index
11
i10 index
266
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 |
|---|---|
| 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 (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 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 |
| 2024 | Semiparametric Bayesian Inference for a Conditional Moment Equality Model. (2024). Walker, Christopher D. In: Papers. RePEc:arx:papers:2410.16017. Full description at Econpapers || Download paper |
| 2024 | On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market. (2024). Zhang, Yiying ; Wei, Yunran ; Pu, Tong. In: Papers. RePEc:arx:papers:2411.09676. Full description at Econpapers || Download paper |
| 2024 | Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658. Full description at Econpapers || Download paper |
| 2024 | Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449. Full description at Econpapers || Download paper |
| 2024 | Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Janeway Institute Working Papers. RePEc:cam:camjip:2423. Full description at Econpapers || Download paper |
| 2024 | Herding behaviour towards high order systematic risks and the contagion Effect—Evidence from BRICS stock markets. (2024). Liu, Zhidong ; Zhang, YI ; Zhou, Long ; Wu, Baoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400144x. Full description at Econpapers || Download paper |
| 2025 | Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes. (2025). Urga, Giovanni ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000167. Full description at Econpapers || Download paper |
| 2024 | State-dependent intra-day volatility pattern and its impact on price jump detection - Evidence from international equity indices. (2024). Tsai, Ping Chen ; Wang, Chou Wen ; Eom, Cheoljun. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003442. Full description at Econpapers || Download paper |
| 2024 | Bayesian forecasting in economics and finance: A modern review. (2024). Maheu, John ; Huber, Florian ; Koop, Gary ; Martin, Gael M ; Nibbering, Didier ; Frazier, David T ; Panagiotelis, Anastasios ; Maneesoonthorn, Worapree ; Loaiza-Maya, Ruben. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839. Full description at Econpapers || Download paper |
| 2025 | ABC-based forecasting in misspecified state space models. (2025). Loaiza-Maya, Rubn ; Weerasinghe, Chaya ; Frazier, David T ; Martin, Gael M. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:270-289. Full description at Econpapers || Download paper |
| 2024 | Interpretable machine learning for creditor recovery rates. (2024). Fabozzi, Frank J ; Nazemi, Abdolreza. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:164:y:2024:i:c:s0378426624001043. Full description at Econpapers || Download paper |
| 2025 | Exploring dynamic extreme dependence of oil and agricultural markets. (2025). Fikru, Mahelet ; Lahiani, Amine ; Kisswani, Khalid M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:99:y:2025:i:c:s1059056025001959. Full description at Econpapers || Download paper |
| 2025 | Investigating the impact of ESG ratings on ETF performance during market disruptions: Evidence from the COVID-19 pandemic and Russian (full-scale) invasion of Ukraine. (2025). Sarajoti, Pattarake ; Sahin, Olgun Fuat ; Phiromswad, Piyachart ; Supatgiat, Chonawee. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pa:s0275531925001606. Full description at Econpapers || Download paper |
| 2025 | Fed-Driven Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2025). Yang, Xiye ; Neely, Christopher ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490. Full description at Econpapers || Download paper |
| 2024 | Bayesian Lower and Upper Estimates for Ether Option Prices with Conditional Heteroscedasticity and Model Uncertainty. (2024). Siu, Tak Kuen. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:10:p:436-:d:1488913. Full description at Econpapers || Download paper |
| 2025 | Volatility Dynamics and Mixed Jump-GARCH Model Based Jump Detection in Financial Markets. (2025). Song, Yuping ; Zhu, Min ; Zheng, Xin. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10633-1. Full description at Econpapers || Download paper |
| 2024 | Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data. (2024). Lleo, Sebastien ; Davis, Mark. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05130-3. Full description at Econpapers || Download paper |
| 2024 | The impact of climate change on agricultural productivity and agricultural loan recovery; evidence from a developing economy. (2024). Khan, Muhammad Yar ; Mushtaq, Rukhshanda ; Wahab, Fakhrul. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:26:y:2024:i:10:d:10.1007_s10668-023-03652-9. 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 nother 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 nother 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 nother 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 nother version. Agregated cites: 15 | article | |
| 2020 | High-Frequency Jump Tests: Which Test Should We Use? In: Papers. [Full Text][Citation analysis] | paper | 19 |
| 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: 19 | 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: 19 | paper | |
| 2018 | The determinants of bank loan recovery rates in good times and bad - new evidence In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 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: 6 | 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: 6 | 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 | 14 |
| 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: 14 | 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: 14 | 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 | 29 |
| 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: 29 | 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 | 15 |
| 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: 15 | paper | |
| 2008 | Increasing correlations or just fat tails? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 45 |
| 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 | 7 |
| 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: 7 | 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 | 1 |
| 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 | 13 |
| 2017 | Systemic risk in the European sovereign and banking system In: Quantitative Finance. [Full Text][Citation analysis] | article | 7 |
| 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, 20 2025. Contact: CitEc Team