Worapree Maneesoonthorn

Approximate Bayesian Computation in State Space Models

Probabilistic forecasts of volatility and its risk premia

Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures

Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models

Time Series Copulas for Heteroskedastic Data

Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference.

Inversion copulas from nonlinear state space models with an application to inflation forecasting

Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures

Approximate Bayesian Forecasting

Discussion of ‘Deep learning for finance: deep portfolios’