5 citations · 8 across the 11 of their papers we have counts for
3 papers · 1 filter
Approximate Bayesian Forecasting
David T. Frazier, Worapree Maneesoonthorn, Gael M. Martin +1
Approximate Bayesian Computation (ABC) has become increasingly prominent as a method for conducting parameter inference in a range of challenging statistical problems, most notably…
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…
Time Series Copulas for Heteroskedastic Data
Rubén Loaiza-Maya, Michael S. Smith, Worapree Maneesoonthorn
We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We develop our copula for first order Markov series, and extend it to higher…