27 citations · 74 across the 13 of their papers we have counts for
3 papers · 1 filter
ABC of the Future
Henri Pesonen, Umberto Simola, Alvaro Köhn-Luque +8
Approximate Bayesian computation (ABC) has advanced in two decades from a seminal idea to a practically applicable inference tool for simulator-based statistical models, which are…
Forecasting: theory and practice
Fotios Petropoulos, Daniele Apiletti, Vassilios Assimakopoulos +77
Forecasting has always been at the forefront of decision making and planning. The uncertainty that surrounds the future is both exciting and challenging, with individuals and organ…
Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
Worapree Maneesoonthorn, Catherine S. Forbes, Gael M. Martin
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used…