Details about Catherine Scipione Forbes

Access statistics for papers by Catherine Scipione Forbes.

Last updated 2022-02-25. Update your information in the RePEc Author Service.

Short-id: pfo214

Working Papers

2020

1. High-Frequency Jump Tests: Which Test Should We Use?
   Papers, arXiv.org View citations (15)
   Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2020) View citations (14)
   See also Journal Article High-frequency jump tests: Which test should we use?, Journal of Econometrics, Elsevier (2020) View citations (15) (2020)
2. Updating Variational Bayes: Fast Sequential Posterior Inference
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
   Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2019) View citations (2)

2019

3. Forecasting Observables with Particle Filters: Any Filter Will Do!
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2018

4. Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
5. The determinants of bank loan recovery rates in good times and bad - new evidence
   Papers, arXiv.org View citations (3)
   Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2018) View citations (1)
   See also Journal Article The determinants of bank loan recovery rates in good times and bad – New evidence, Journal of Economic Behavior & Organization, Elsevier (2020) View citations (4) (2020)

2017

6. Dynamic asset price jumps and the performance of high frequency tests and measures
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
7. Robust Bayesian exponentially tilted empirical likelihood method
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)

2016

8. Data-driven particle Filters for particle Markov Chain Monte Carlo
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
9. Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
   Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2013) View citations (4)
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2014)
   Papers, arXiv.org (2016) View citations (2)
   See also Journal Article Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (13) (2017)

2011

10. 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
    See also Journal Article Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models, International Journal of Forecasting, Elsevier (2013) View citations (9) (2013)
11. Worker time and the cost of stability
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
    See also Journal Article Worker time and the cost of stability, Children and Youth Services Review, Elsevier (2011) View citations (1) (2011)

2010

12. Probabilistic Forecasts of Volatility and its Risk Premia
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
    See also Journal Article Probabilistic forecasts of volatility and its risk premia, Journal of Econometrics, Elsevier (2012) View citations (23) (2012)

2006

13. Measuring the cost of leaving care in Victoria
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
14. 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 View citations (6)
    See also Journal Article Parameterisation and efficient MCMC estimation of non-Gaussian state space models, Computational Statistics & Data Analysis, Elsevier (2008) View citations (16) (2008)

2004

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

2003

16. Bayesian Analysis of the Stochastic Conditional Duration Model
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
    See also Journal Article Bayesian analysis of the stochastic conditional duration model, Computational Statistics & Data Analysis, Elsevier (2006) View citations (31) (2006)
17. 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 View citations (2)
18. 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 View citations (7)
19. Implicit Bayesian Inference Using Option Prices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2000) View citations (5)
    See also Journal Article Implicit Bayesian Inference Using Option Prices, Journal of Time Series Analysis, Wiley Blackwell (2005) View citations (10) (2005)

2002

20. 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 View citations (4)
21. 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
22. 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
23. 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 View citations (1)
    See also Journal Article Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2003) View citations (1) (2003)

2000

24. A structural Time Series Model with Markov Switching
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
25. Bayesian Exponential Smoothing
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (8)
26. Bayesian Soft Target Zones
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (10)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2000) View citations (9)
27. Bayesian Target Zones
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (9)

1999

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

1997

29. 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)
30. Bayesian Arbitrage Threshold Analysis
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See also Journal Article Bayesian Arbitrage Threshold Analysis, Journal of Business & Economic Statistics, American Statistical Association (1999) View citations (19) (1999)

1996

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

1995

32. A Small Sample Variable Selection Procedure
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)

1994

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

Journal Articles

2020

1. High-frequency jump tests: Which test should we use?
   Journal of Econometrics, 2020, 219, (2), 478-487 View citations (15)
   See also Working Paper High-Frequency Jump Tests: Which Test Should We Use?, Papers (2020) View citations (15) (2020)
2. The determinants of bank loan recovery rates in good times and bad – New evidence
   Journal of Economic Behavior & Organization, 2020, 177, (C), 875-897 View citations (4)
   See also Working Paper The determinants of bank loan recovery rates in good times and bad - new evidence, Papers (2018) View citations (3) (2018)

2017

3. Discussion of ‘Deep learning for finance: deep portfolios’
   Applied Stochastic Models in Business and Industry, 2017, 33, (1), 13-15
4. Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures
   Journal of Applied Econometrics, 2017, 32, (3), 504-532 View citations (13)
   See also Working Paper Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures, Monash Econometrics and Business Statistics Working Papers (2016) View citations (2) (2016)
5. Systemic risk in the European sovereign and banking system
   Quantitative Finance, 2017, 17, (4), 633-656 View citations (6)

2013

6. Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models
   International Journal of Forecasting, 2013, 29, (3), 411-430 View citations (9)
   See also Working Paper Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models, Monash Econometrics and Business Statistics Working Papers (2011) (2011)

2012

7. Probabilistic forecasts of volatility and its risk premia
   Journal of Econometrics, 2012, 171, (2), 217-236 View citations (23)
   See also Working Paper Probabilistic Forecasts of Volatility and its Risk Premia, Monash Econometrics and Business Statistics Working Papers (2010) View citations (4) (2010)

2011

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

2008

9. Increasing correlations or just fat tails?
   Journal of Empirical Finance, 2008, 15, (2), 287-309 View citations (44)
10. Parameterisation and efficient MCMC estimation of non-Gaussian state space models
    Computational Statistics & Data Analysis, 2008, 52, (6), 2911-2930 View citations (16)
    See also Working Paper Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models, Monash Econometrics and Business Statistics Working Papers (2006) View citations (6) (2006)

2007

11. 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 View citations (14)

2006

12. Bayesian analysis of the stochastic conditional duration model
    Computational Statistics & Data Analysis, 2006, 50, (9), 2247-2267 View citations (31)
    See also Working Paper Bayesian Analysis of the Stochastic Conditional Duration Model, Monash Econometrics and Business Statistics Working Papers (2003) View citations (4) (2003)

2005

13. Implicit Bayesian Inference Using Option Prices
    Journal of Time Series Analysis, 2005, 26, (3), 437-462 View citations (10)
    See also Working Paper Implicit Bayesian Inference Using Option Prices, Monash Econometrics and Business Statistics Working Papers (2003) View citations (2) (2003)

2003

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

1999

15. Bayesian Arbitrage Threshold Analysis
    Journal of Business & Economic Statistics, 1999, 17, (3), 364-72 View citations (19)
    See also Working Paper Bayesian Arbitrage Threshold Analysis, Monash Econometrics and Business Statistics Working Papers (1997) (1997)
16. Using simulation methods for bayesian econometric models: inference, development and communication: some comments
    Econometric Reviews, 1999, 18, (1), 113-118 View citations (11)