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Details about Catherine Scipione Forbes

Homepage:http://www.buseco.monash.edu.au/ebs/people/profile.php?sn=scipione
Phone:+61 3 9905 2471
Postal address:Department of Econometrics and Business Statistics PO Box 11E, level 6 Monash University, Victoria 3800 Australia
Workplace:Department of Econometrics and Business Statistics, Monash Business School, Monash University, (more information at EDIRC)

Access statistics for papers by Catherine Scipione Forbes.

Last updated 2014-03-12. Update your information in the RePEc Author Service.

Short-id: pfo214


Jump to Journal Articles

Working Papers

2016

  1. Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
    Papers, arXiv.org Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2013) Downloads View citations (2)

2011

  1. Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    See also Journal Article in International Journal of Forecasting (2013)
  2. Worker time and the cost of stability
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
    See also Journal Article in Children and Youth Services Review (2011)

2010

  1. Probabilistic Forecasts of Volatility and its Risk Premia
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2012)

2006

  1. Measuring the cost of leaving care in Victoria
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  2. Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (6)
    See also Journal Article in Computational Statistics & Data Analysis (2008)

2004

  1. Bayesian Estimation of Non-Gausian Time Series with Applicaitons to Transaction Data
    Econometric Society 2004 Australasian Meetings, Econometric Society

2003

  1. Bayesian Analysis of the Stochastic Conditional Duration Model
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
    See also Journal Article in Computational Statistics & Data Analysis (2006)
  2. Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
  3. Diversification Meltdown or the Impact of Fat tails on Conditional Correlation?
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (7)
  4. Implicit Bayesian Inference Using Option Prices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2000) Downloads View citations (3)

    See also Journal Article in Journal of Time Series Analysis (2005)

2002

  1. Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
  2. Model Selection Criteria for Segmented Time Series from a Bayesian Approach to Information Compression
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  3. Non-linear Modelling of the Australian Business Cycle using a Leading Indicator
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  4. Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2003)

2000

  1. A structural Time Series Model with Markov Switching
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)
  2. Bayesian Exponential Smoothing
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (8)
  3. Bayesian Soft Target Zones
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (10)
  4. Bayesian Target Zones
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (6)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2000) View citations (5)

1999

  1. Understanding the Kalman Filter: an Object Oriented Programming Perspective
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

1997

  1. Bayesian Approaches to Segmenting A Simple Time Series
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
  2. Bayesian Arbitrage Threshold Analysis
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See also Journal Article in Journal of Business & Economic Statistics (1999)

1996

  1. Improved Small Sample Midel selection Procedures
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

1995

  1. A Small Sample Variable Selection Procedure
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)

1994

  1. Bayesian Statistical Variable Selection: A Review
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

Journal Articles

2013

  1. Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models
    International Journal of Forecasting, 2013, 29, (3), 411-430 Downloads View citations (5)
    See also Working Paper (2011)

2012

  1. Probabilistic forecasts of volatility and its risk premia
    Journal of Econometrics, 2012, 171, (2), 217-236 Downloads View citations (13)
    See also Working Paper (2010)

2011

  1. Worker time and the cost of stability
    Children and Youth Services Review, 2011, 33, (7), 1149-1158 Downloads View citations (1)
    See also Working Paper (2011)

2008

  1. Increasing correlations or just fat tails?
    Journal of Empirical Finance, 2008, 15, (2), 287-309 Downloads View citations (36)
  2. Parameterisation and efficient MCMC estimation of non-Gaussian state space models
    Computational Statistics & Data Analysis, 2008, 52, (6), 2911-2930 Downloads View citations (10)
    See also Working Paper (2006)

2007

  1. Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter
    Econometric Reviews, 2007, 26, (2-4), 387-418 Downloads View citations (9)

2006

  1. Bayesian analysis of the stochastic conditional duration model
    Computational Statistics & Data Analysis, 2006, 50, (9), 2247-2267 Downloads View citations (25)
    See also Working Paper (2003)

2005

  1. Implicit Bayesian Inference Using Option Prices
    Journal of Time Series Analysis, 2005, 26, (3), 437-462 Downloads View citations (8)
    See also Working Paper (2003)

2003

  1. Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series
    Studies in Nonlinear Dynamics & Econometrics, 2003, 7, (2), 1-20 Downloads View citations (1)
    See also Working Paper (2002)

1999

  1. Bayesian Arbitrage Threshold Analysis
    Journal of Business & Economic Statistics, 1999, 17, (3), 364-72 View citations (15)
    See also Working Paper (1997)
  2. Using simulation methods for bayesian econometric models: inference, development and communication: some comments
    Econometric Reviews, 1999, 18, (1), 113-118 Downloads View citations (11)
 
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