5 citations · 8 across the 11 of their papers we have counts for
3 papers · 1 filter
Probabilistic Predictions of Option Prices with Modular Approximate Bayesian Inference
Worapree Maneesoonthorn, David T. Frazier, Gael M. Martin
A new approximate Bayesian inferential framework is proposed that exploits multiple information sources -- daily spot returns, high-frequency spot data and option prices -- and ena…
Optimal probabilistic forecasts for risk management
Yuru Sun, Worapree Maneesoonthorn, Ruben Loaiza-Maya +1
This paper explores the implications of producing forecast distributions that are optimized according to scoring rules that are relevant to financial risk management. We assess the…
High-Frequency Jump Tests: Which Test Should We Use?
Worapree Maneesoonthorn, Gael M. Martin, Catherine S. Forbes
We conduct an extensive evaluation of price jump tests based on high-frequency financial data. After providing a concise review of multiple alternative tests, we document the size…