27 citations · 74 across the 13 of their papers we have counts for
4 papers · 1 filter
Approximate Bayesian Computation in State Space Models
Gael M. Martin, Brendan P. M. McCabe, Worapree Maneesoonthorn +1
A new approach to inference in state space models is proposed, based on approximate Bayesian computation (ABC). ABC avoids evaluation of the likelihood function by matching observe…
Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes
Gael M. Martin, Kanchana Nadarajah, D. S. Poskitt
We provide a comprehensive set of new results on the impact of mis-specifying the short run dynamics in fractionally integrated processes. We show that four alternative parametric…
Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap
D. S. Poskitt, Gael M. Martin, Simone D. Grose
This paper investigates the use of bootstrap-based bias correction of semi-parametric estimators of the long memory parameter in fractionally integrated processes. The re-sampling…
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…