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~subject:"Volatility"
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Volatility
Theorie
61
Theory
61
Estimation theory
52
Schätztheorie
52
Zeitreihenanalyse
52
Time series analysis
50
Bayesian inference
39
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38
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29
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29
Volatilität
28
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24
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24
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Stochastic process
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12
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11
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10
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9
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9
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9
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English
28
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Martin, Gael M.
27
Forbes, Catherine Scipione
15
Maneesoonthorn, Worapree
14
Frazier, David T.
5
Wright, Jill
5
Loiza-Maya, Ruben
4
Lim, Guay C.
3
Martin, Vance
3
Grose, Simone D.
2
McCabe, Brendan Peter Martin
2
Poskitt, Donald Stephen
2
Ramírez Hassan, Andrés
2
Reidy, Andrew
2
Harris, David
1
Hu, Shuowen
1
Lye, Jenny N.
1
McCabe, Brendon P. M.
1
Ng, Jason
1
Perera, Indeewara
1
Robert, Christian P.
1
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Working paper / Department of Econometrics and Business Statistics, Monash University
19
Journal of applied econometrics
2
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2
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1
International journal of forecasting
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ECONIS (ZBW)
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Construction and visualization of optimal confidence sets for frequentist distributional forecasts
Harris, David
;
Martin, Gael M.
;
Perera, Indeewara
; …
-
2017
Persistent link: https://www.econbiz.de/10011782085
Saved in:
2
Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2010
Persistent link: https://www.econbiz.de/10009009831
Saved in:
3
Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
171
(
2012
)
2
,
pp. 217-236
Persistent link: https://www.econbiz.de/10009691156
Saved in:
4
Bayesian estimation for a semiparametric nonlinear volatility model
Hu, Shuowen
;
Poskitt, Donald Stephen
;
Zhang, Xibin
- In:
Economic modelling
98
(
2021
),
pp. 361-370
Persistent link: https://www.econbiz.de/10012793996
Saved in:
5
The distribution of exchange rate returns and tahe pricing of currency opations
Lim, Guay C.
;
Lye, Jenny N.
;
Martin, Gael M.
;
Martin, Vance
- In:
Journal of international economics
45
(
1998
)
2
,
pp. 351-368
Persistent link: https://www.econbiz.de/10001395805
Saved in:
6
Bayesian estimation of a stochastic volatility model using option and spot prices : application of a Bivariate Kalman Filter
Forbes, Catherine Scipione
;
Martin, Gael M.
;
Wright, Jill
-
2003
Persistent link: https://www.econbiz.de/10001854495
Saved in:
7
Pricing currency options in tranquil markets : modelling volatility frowns
Lim, Guay C.
;
Martin, Gael M.
;
Martin, Vance
-
2002
Persistent link: https://www.econbiz.de/10001704963
Saved in:
8
Bayesian estimation of a stochastic volatility model using option and spot prices
Forbes, Catherine Scipione
;
Martin, Gael M.
;
Wright, Jill
-
2002
Persistent link: https://www.econbiz.de/10001704968
Saved in:
9
Does the option market produce superior forecasts of noise-corrected volatility measures?
Martin, Gael M.
;
Reidy, Andrew
;
Wright, Jill
-
2007
Persistent link: https://www.econbiz.de/10003486448
Saved in:
10
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
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