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~person:"Forbes, Catherine Scipione"
~person:"Garrafa-Aragón, Hernán B."
~subject:"Volatility"
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Search: subject_exact:"Monte Carlo simulation"
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Volatility
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Forbes, Catherine Scipione
Garrafa-Aragón, Hernán B.
Koopman, Siem Jan
17
Asai, Manabu
13
McAleer, Michael
13
Martin, Gael M.
9
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Working paper / Department of Econometrics and Business Statistics, Monash University
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Approximate Bayesian estimation of stochastic volatility in mean models using Hidden Markov Models: empirical evidence from stock Latin American markets
Abanto-Valle, Carlos A.
;
Rodriguez, Gabriel
;
Castro …
-
2021
-
Primera edición
Persistent link: https://www.econbiz.de/10013170523
Saved in:
2
Stochastic volatility in mean : empirical evidence from stock Latin American markets
Abanto-Valle, Carlos A.
;
Rodriguez, Gabriel
; …
-
2020
Persistent link: https://www.econbiz.de/10012435606
Saved in:
3
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
4
Stochastic volatility in mean : empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods
Abanto-Valle, Carlos A.
;
Rodriguez, Gabriel
; …
- In:
The quarterly review of economics and finance : journal …
80
(
2021
),
pp. 272-286
Persistent link: https://www.econbiz.de/10012655392
Saved in:
5
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
Saved in:
6
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
Saved in:
7
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2014
Persistent link: https://www.econbiz.de/10011781063
Saved in:
8
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2013
Persistent link: https://www.econbiz.de/10010245443
Saved in:
9
Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
- In:
Journal of applied econometrics
32
(
2017
)
3
,
pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
Saved in:
10
Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2010
Persistent link: https://www.econbiz.de/10009009831
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