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~subject:"State space model"
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State space model
Theorie
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52
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52
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52
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50
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39
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Option pricing theory
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Share price
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Induktive Statistik
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English
17
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Martin, Gael M.
16
Forbes, Catherine Scipione
11
Maneesoonthorn, Worapree
7
McCabe, Brendan Peter Martin
5
Frazier, David T.
3
Grose, Simone D.
2
Leung, Patrick
2
Loiza-Maya, Ruben
2
Ng, Jason
2
Snyder, Ralph D.
2
Feigin, Paul D.
1
Gould, Phillip
1
Hyndman, Rob J.
1
Koehler, Anne B.
1
McCabe, Brendon P. M.
1
Robert, Christian P.
1
Roberts, Christian P.
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Working paper / Department of Econometrics and Business Statistics, Monash University
13
International journal of forecasting
2
Econometric reviews
1
Journal of applied econometrics
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ECONIS (ZBW)
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Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2010
Persistent link: https://www.econbiz.de/10009009831
Saved in:
2
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/10001690087
Saved in:
3
An assessment of alternative state space models for count time series
Snyder, Ralph D.
;
Martin, Gael M.
;
Gould, Phillip
; …
-
2007
Persistent link: https://www.econbiz.de/10003486451
Saved in:
4
Parameterisation and efficient MCMC estimation of non-Gaussian state space models
Strickland, Chris
;
Martin, Gael M.
;
Forbes, Catherine …
-
2006
Persistent link: https://www.econbiz.de/10003433826
Saved in:
5
Inferences for a class of stochastic volatility models using option and spot prices : application of a bivariate Kalman filter
Forbes, Catherine Scipione
;
Martin, Gael M.
;
Wright, Jill
- In:
Econometric reviews
26
(
2007
)
2
,
pp. 387-418
Persistent link: https://www.econbiz.de/10003509137
Saved in:
6
Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models
Ng, Jason
;
Forbes, Catherine Scipione
;
Martin, Gael M.
; …
- In:
International journal of forecasting
29
(
2013
)
3
,
pp. 411-430
Persistent link: https://www.econbiz.de/10009787038
Saved in:
7
Approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendan Peter Martin
; …
-
2014
Persistent link: https://www.econbiz.de/10011780814
Saved in:
8
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:
9
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:
10
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
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