[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/f/pfo214.html
   My authors  Follow this author

Catherine Scipione Forbes

Personal Details

First Name:Catherine
Middle Name:Scipione
Last Name:Forbes
Suffix:
RePEc Short-ID:pfo214
[This author has chosen not to make the email address public]
https://research.monash.edu/en/persons/catherine-forbes
Department of Econometrics and Business Statistics PO Box 11E Monash University, Victoria 3800 Australia
+61 3 9905 2471

Affiliation

Department of Econometrics and Business Statistics
Monash Business School
Monash University

Melbourne, Australia
http://business.monash.edu/econometrics-and-business-statistics
RePEc:edi:dxmonau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Nathaniel Tomasetti & Catherine Forbes & Anastasios Panagiotelis, 2020. "Updating Variational Bayes: Fast Sequential Posterior Inference," Monash Econometrics and Business Statistics Working Papers 27/20, Monash University, Department of Econometrics and Business Statistics.
  2. Patrick Leung & Catherine S. Forbes & Gael M Martin & Brendan McCabe, 2019. "Forecasting Observables with Particle Filters: Any Filter Will Do!," Monash Econometrics and Business Statistics Working Papers 22/19, Monash University, Department of Econometrics and Business Statistics.
  3. Worapree Maneesoonthorn & Gael M Martin & Catherine S Forbes, 2018. "Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference," Monash Econometrics and Business Statistics Working Papers 17/18, Monash University, Department of Econometrics and Business Statistics.
  4. Hong Wang & Catherine S. Forbes & Jean-Pierre Fenech & John Vaz, 2018. "The determinants of bank loan recovery rates in good times and bad -- new evidence," Monash Econometrics and Business Statistics Working Papers 7/18, Monash University, Department of Econometrics and Business Statistics.
  5. Zhichao Liu & Catherine Forbes & Heather Anderson, 2017. "Robust Bayesian exponentially tilted empirical likelihood method," Monash Econometrics and Business Statistics Working Papers 21/17, Monash University, Department of Econometrics and Business Statistics.
  6. Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017. "High-Frequency Jump Tests: Which Test Should We Use?," Papers 1708.09520, arXiv.org, revised Jan 2020.
  7. Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes, 2017. "Dynamic asset price jumps and the performance of high frequency tests and measures," Monash Econometrics and Business Statistics Working Papers 14/17, Monash University, Department of Econometrics and Business Statistics.
  8. Patrick Leung & Catherine S. Forbes & Gael M. Martin & Brendan McCabe, 2016. "Data-driven particle Filters for particle Markov Chain Monte Carlo," Monash Econometrics and Business Statistics Working Papers 17/16, Monash University, Department of Econometrics and Business Statistics.
  9. Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Papers 1401.3911, arXiv.org, revised Mar 2016.
  10. Jason Ng & Catherine S. Forbes & Gael M. Martin & Brendan P.M. McCabe, 2011. "Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models," Monash Econometrics and Business Statistics Working Papers 11/11, Monash University, Department of Econometrics and Business Statistics.
  11. Susan Tregeagle & Elizabeth Cox & Catherine Forbes & Cathy Humphreys & Cas O'Neill, 2011. "Worker time and the cost of stability," Monash Econometrics and Business Statistics Working Papers 2/11, Monash University, Department of Econometrics and Business Statistics.
  12. Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes & Simone Grose, 2010. "Probabilistic Forecasts of Volatility and its Risk Premia," Monash Econometrics and Business Statistics Working Papers 22/10, Monash University, Department of Econometrics and Business Statistics.
  13. Chris M Strickland & Gael Martin & Catherine S Forbes, 2006. "Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models," Monash Econometrics and Business Statistics Working Papers 22/06, Monash University, Department of Econometrics and Business Statistics.
  14. Catherine Forbes & Brett Inder & Sunitha Raman, 2006. "Measuring the cost of leaving care in Victoria," Monash Econometrics and Business Statistics Working Papers 18/06, Monash University, Department of Econometrics and Business Statistics.
  15. Gael Martin & Chris Strickland & Catherine Forbes, 2004. "Bayesian Estimation of Non-Gausian Time Series with Applicaitons to Transaction Data," Econometric Society 2004 Australasian Meetings 324, Econometric Society.
  16. Chris M. Strickland & Catherine S. Forbes & Gael M. Martin, 2003. "Bayesian Analysis of the Stochastic Conditional Duration Model," Monash Econometrics and Business Statistics Working Papers 14/03, Monash University, Department of Econometrics and Business Statistics.
  17. Rachel Campbell & Catherine S. Forbes & Kees Koedijk & Paul Kofman, 2003. "Diversification Meltdown or the Impact of Fat tails on Conditional Correlation?," Monash Econometrics and Business Statistics Working Papers 18/03, Monash University, Department of Econometrics and Business Statistics.
  18. Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2003. "Implicit Bayesian Inference Using Option Prices," Monash Econometrics and Business Statistics Working Papers 5/03, Monash University, Department of Econometrics and Business Statistics.
  19. Catherine S. Forbes & Gael M. Martin & Jill Wright, 2003. "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 17/03, Monash University, Department of Econometrics and Business Statistics.
  20. Ralph D. Snyder & Catherine S. Forbes, 2002. "Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series," Monash Econometrics and Business Statistics Working Papers 14/02, Monash University, Department of Econometrics and Business Statistics.
  21. Brian Hanlon & Catherine Forbes, 2002. "Model Selection Criteria for Segmented Time Series from a Bayesian Approach to Information Compression," Monash Econometrics and Business Statistics Working Papers 8/02, Monash University, Department of Econometrics and Business Statistics.
  22. C.S. Forbes & G.M. Martin & J. Wright, 2002. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices," Monash Econometrics and Business Statistics Working Papers 2/02, Monash University, Department of Econometrics and Business Statistics.
  23. Roland G. Shami & Catherine S. Forbes, 2002. "Non-linear Modelling of the Australian Business Cycle using a Leading Indicator," Monash Econometrics and Business Statistics Working Papers 5/02, Monash University, Department of Econometrics and Business Statistics.
  24. Shami, R.G. & Forbes, C.S., 2000. "A structural Time Series Model with Markov Switching," Monash Econometrics and Business Statistics Working Papers 10/00, Monash University, Department of Econometrics and Business Statistics.
  25. Forbes, C.S. & Kofman, P., 2000. "Bayesian Soft Target Zones," Monash Econometrics and Business Statistics Working Papers 4/00, Monash University, Department of Econometrics and Business Statistics.
  26. Catherine S. Forbes & Paul Kofman, 2000. "Bayesian Target Zones," Econometric Society World Congress 2000 Contributed Papers 0575, Econometric Society.
  27. Forbes, C.S. & Snyder, R.D. & Shami, R.S., 2000. "Bayesian Exponential Smoothing," Monash Econometrics and Business Statistics Working Papers 7/00, Monash University, Department of Econometrics and Business Statistics.
  28. Snyder, R.D. & Forbes, C.S., 1999. "Understanding the Kalman Filter: an Object Oriented Programming Perspective," Monash Econometrics and Business Statistics Working Papers 14/99, Monash University, Department of Econometrics and Business Statistics.
  29. Oliver, J.J. & Forbes, C.S., 1997. "Bayesian Approaches to Segmenting A Simple Time Series," Monash Econometrics and Business Statistics Working Papers 14/97, Monash University, Department of Econometrics and Business Statistics.
  30. Forbes, C.S. & Kalb, G.R.J. & Kofman, P., 1997. "Bayesian Arbitrage Threshold Analysis," Monash Econometrics and Business Statistics Working Papers 3/97, Monash University, Department of Econometrics and Business Statistics.
  31. King, M.L. & Forbes, C.S. & Morgan, A., 1996. "Improved Small Sample Midel selection Procedures," Monash Econometrics and Business Statistics Working Papers 18/96, Monash University, Department of Econometrics and Business Statistics.
  32. Forbes, C.S. & King, M.L. & Morgan, A., 1995. "A Small Sample Variable Selection Procedure," Monash Econometrics and Business Statistics Working Papers 15/95, Monash University, Department of Econometrics and Business Statistics.
  33. Scipione, C.M., 1994. "Bayesian Statistical Variable Selection: A Review," Monash Econometrics and Business Statistics Working Papers 1/94, Monash University, Department of Econometrics and Business Statistics.

Articles

  1. Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S., 2020. "High-frequency jump tests: Which test should we use?," Journal of Econometrics, Elsevier, vol. 219(2), pages 478-487.
  2. Wang, Hong & Forbes, Catherine S. & Fenech, Jean-Pierre & Vaz, John, 2020. "The determinants of bank loan recovery rates in good times and bad – New evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 875-897.
  3. Catherine S. Forbes & Worapree Maneesoonthorn, 2017. "Discussion of ‘Deep learning for finance: deep portfolios’," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 33(1), pages 13-15, January.
  4. Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2017. "Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 504-532, April.
  5. Simon Xu & Francis In & Catherine Forbes & Inchang Hwang, 2017. "Systemic risk in the European sovereign and banking system," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 633-656, April.
  6. Ng, Jason & Forbes, Catherine S. & Martin, Gael M. & McCabe, Brendan P.M., 2013. "Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models," International Journal of Forecasting, Elsevier, vol. 29(3), pages 411-430.
  7. Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012. "Probabilistic forecasts of volatility and its risk premia," Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
  8. Tregeagle, Susan & Cox, Elizabeth & Forbes, Catherine & Humphreys, Cathy & O'Neill, Cas, 2011. "Worker time and the cost of stability," Children and Youth Services Review, Elsevier, vol. 33(7), pages 1149-1158, July.
  9. Strickland, Chris M. & Martin, Gael M. & Forbes, Catherine S., 2008. "Parameterisation and efficient MCMC estimation of non-Gaussian state space models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2911-2930, February.
  10. Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul, 2008. "Increasing correlations or just fat tails?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 287-309, March.
  11. Catherine S. Forbes & Gael M. Martin & Jill Wright, 2007. "Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 387-418.
  12. Strickland, Chris M. & Forbes, Catherine S. & Martin, Gael M., 2006. "Bayesian analysis of the stochastic conditional duration model," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2247-2267, May.
  13. Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2005. "Implicit Bayesian Inference Using Option Prices," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(3), pages 437-462, May.
  14. Snyder Ralph D & Forbes Catherine S, 2003. "Reconstructing the Kalman Filter for Stationary and Non Stationary Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(2), pages 1-20, July.
  15. Forbes, Catherine S & Kalb, Guyonne R J & Kofman, Paul, 1999. "Bayesian Arbitrage Threshold Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 364-372, July.
  16. G. M. Martin & C. S. Forbes, 1999. "Using simulation methods for bayesian econometric models: inference, development and communication: some comments," Econometric Reviews, Taylor & Francis Journals, vol. 18(1), pages 113-118.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 29 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (16) 2002-04-25 2002-04-25 2002-04-25 2002-04-25 2002-10-23 2003-10-20 2006-12-22 2011-01-03 2013-12-29 2014-01-24 2016-04-30 2016-10-09 2018-10-15 2019-06-17 2019-10-28 2020-02-03. Author is listed
  2. NEP-ECM: Econometrics (14) 2002-04-25 2002-10-08 2002-10-23 2003-02-26 2003-08-17 2003-10-20 2006-12-22 2011-01-03 2013-12-29 2016-10-09 2017-09-03 2018-02-26 2019-06-17 2019-10-28. Author is listed
  3. NEP-MST: Market Microstructure (9) 2006-12-22 2013-12-29 2014-01-24 2015-02-05 2016-04-30 2017-09-03 2017-10-22 2018-10-15 2020-02-03. Author is listed
  4. NEP-ORE: Operations Research (7) 2011-01-03 2015-02-05 2016-10-09 2019-06-17 2019-10-28 2020-02-03 2020-09-07. Author is listed
  5. NEP-RMG: Risk Management (5) 2003-02-24 2003-10-20 2011-01-03 2018-05-07 2018-06-18. Author is listed
  6. NEP-FMK: Financial Markets (4) 2002-04-25 2002-04-25 2003-02-24 2003-10-20
  7. NEP-CMP: Computational Economics (3) 2002-04-25 2003-08-17 2019-10-28
  8. NEP-FOR: Forecasting (3) 2011-01-03 2019-10-28 2020-09-07
  9. NEP-BAN: Banking (2) 2018-05-07 2018-06-18
  10. NEP-FIN: Finance (2) 2002-10-08 2003-02-24
  11. NEP-CFN: Corporate Finance (1) 2003-10-20
  12. NEP-CTA: Contract Theory and Applications (1) 2017-10-22
  13. NEP-IAS: Insurance Economics (1) 2006-09-03
  14. NEP-IFN: International Finance (1) 2002-04-25

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Catherine Scipione Forbes should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.