2 citations · 2 across the 3 of their papers we have counts for
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stat.ME2017
A Robust Bayesian Exponentially Tilted Empirical Likelihood Method
Zhichao Liu, Catherine S. Forbes, Heather M. Anderson
This paper proposes a new Bayesian approach for analysing moment condition models in the situation where the data may be contaminated by outliers. The approach builds upon the foun…
q-fin.ST2017
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…