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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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A state space framework for automatic forecasting using exponential smoothing methods
Hyndman, Rob J.; Koehler, Anne B.; Snyder, Ralph D.; … - In: International journal of forecasting 18 (2002) 3, pp. 439-454
Persistent link: https://www.econbiz.de/10006973599
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A Review of The Oxford Handbook of Bayesian Econometrics edited by Geweke (John), Koop (Gary) and van Dijk (Herman)
Martin, Gael - In: The econometrics journal 15 (2012) 3, pp. B11
Persistent link: https://www.econbiz.de/10010047736
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Two Canonical VARMA Forms: Scalar Component Models Vis--Vis the Echelon Form
Athanasopoulos, George; Poskitt, D. S.; Vahid, Farshid - In: Econometric reviews 31 (2012) 1, pp. 60-84
Persistent link: https://www.econbiz.de/10009986244
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Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models
Ng, Jason; Forbes, Catherine S.; Martin, Gael M.; … - In: International journal of forecasting 29 (2013) 3, pp. 411-430
Persistent link: https://www.econbiz.de/10010137945
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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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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