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Worapree Maneesoonthorn

Melbourne Business School

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Publication

Featured researches published by Worapree Maneesoonthorn.

arXiv: Statistics Theory | 2014

Approximate Bayesian Computation in State Space Models

Gael M. Martin; Brendan McCabe; Worapree Maneesoonthorn; Christian P. Robert

Journal of Econometrics | 2012

Probabilistic forecasts of volatility and its risk premia

Worapree Maneesoonthorn; Gael M. Martin; Catherine Forbes; Simone D. Grose

Journal of Applied Econometrics | 2017

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

Worapree Maneesoonthorn; Catherine Forbes; Gael M. Martin

arXiv: Computation | 2016

Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models

Gael M. Martin; Brendan McCabe; David T. Frazier; Worapree Maneesoonthorn; Christian P. Robert

Journal of Applied Econometrics | 2018

Time Series Copulas for Heteroskedastic Data

Rub 'en Loaiza-Maya; Michael Stanley Smith; Worapree Maneesoonthorn

arXiv: Statistical Finance | 2018

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

Worapree Maneesoonthorn; Gael M. Martin; Catherine Forbes

International Journal of Forecasting | 2018

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

Michael Stanley Smith; Worapree Maneesoonthorn

arXiv: Statistical Finance | 2017

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

Worapree Maneesoonthorn; Gael M. Martin; Catherine Forbes

arXiv: Methodology | 2017

Approximate Bayesian Forecasting

David T. Frazier; Worapree Maneesoonthorn; Gael M. Martin; Brendan McCabe

Applied Stochastic Models in Business and Industry | 2017

Discussion of ‘Deep learning for finance: deep portfolios’

Catherine Forbes; Worapree Maneesoonthorn

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Collaboration

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Gael M. Martin

Monash University

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Catherine Forbes

Monash University

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Michael Stanley Smith

Melbourne Business School

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Brendan McCabe

University of Liverpool

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David T. Frazier

Monash University

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Christian P. Robert

Paris Dauphine University

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Simone D. Grose

Monash University

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