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Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter
Forbes, Catherine S.; Martin, Gael M.; Wright, Jill - In: Econometric reviews 26 (2007) 2, pp. 387-418
Persistent link: https://www.econbiz.de/10007730234
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Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 171 (2012) 2, pp. 217-237
Persistent link: https://www.econbiz.de/10010034689
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The Power of Some Tests for Difference Stationarity Under Local Heteroscedastic Integration
McCabe, Brendan P.M.; Smith, Richard J. - In: Journal of the American Statistical Association : JASA 93 (1998) 442, pp. 751-761
Persistent link: https://www.econbiz.de/10006628849
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REVIEWS - State Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications
Kim, Chang-Jin; Nelson, Charles R.; Forbes, Catherine S.; … - In: The economic record : er 76 (2000) 232, pp. 105
Persistent link: https://www.econbiz.de/10005895697
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Bayesian Arbitrage Threshold Analysis
Forbes, Catherine S.; Kalb, Guyonne R.J.; Kofman, Paul - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 3, pp. 364-372
Persistent link: https://www.econbiz.de/10008218321
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Increasing correlations or just fat tails?
Campbell, Rachel A.J.; Forbes, Catherine S.; Koedijk, … - In: Journal of empirical finance 15 (2008) 2, pp. 287-309
Persistent link: https://www.econbiz.de/10007908279
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Reconstructing the Kalman filter for stationary and non stationary time series
Snyder, Ralph D.; Forbes, Catherine S. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 7 (2003) 2
Persistent link: https://www.econbiz.de/10009949790
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Does the option market produce superior forecasts of noise-corrected volatility measures?
Martin, Gael M.; Reidy, Andrew; Wright, Jill - In: Journal of applied econometrics 24 (2009) 1, pp. 77-104
Persistent link: https://www.econbiz.de/10008210114
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Bayesian comparison of several continuous time models of the Australian short rate
Sanford, Andrew D.; Martin, Gael M. - In: Accounting and finance : journal of the Accounting … 46 (2006) 2, pp. 309-326
Persistent link: https://www.econbiz.de/10007265825
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Does the option market produce superior forecasts of noise‐corrected volatility measures?
M. Martin, Gael; Reidy, Andrew; Wright, Jill - In: Journal of applied econometrics 24 (2009) 1, pp. 77-105
Persistent link: https://www.econbiz.de/10008847147