Gael M. Martin
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Forecasting: theory and practice
F Petropoulos, D Apiletti, V Assimakopoulos, MZ Babai, DK Barrow, ...
International Journal of Forecasting 38 (3), 705-871, 2022
US deficit sustainability: A new approach based on multiple endogenous breaks
GM Martin
Journal of applied econometrics 15 (1), 83-105, 2000
Bayesian predictions of low count time series
BPM McCabe, GM Martin
International Journal of Forecasting 21 (2), 315-330, 2005
Asymptotic properties of approximate Bayesian computation
DT Frazier, GM Martin, CP Robert, J Rousseau
Biometrika 105 (3), 593-607, 2018
Bayesian analysis of the stochastic conditional duration model
CM Strickland, CS Forbes, GM Martin
Computational statistics & data analysis 50 (9), 2247-2267, 2006
Efficient probabilistic forecasts for counts
BPM McCabe, GM Martin, D Harris
Journal of the Royal Statistical Society Series B: Statistical Methodology …, 2011
Auxiliary likelihood-based approximate Bayesian computation in state space models
GM Martin, BPM McCabe, DT Frazier, W Maneesoonthorn, CP Robert
Journal of Computational and Graphical Statistics 28 (3), 508-522, 2019
Parametric pricing of higher order moments in S&P500 options
GC Lim, GM Martin, VL Martin
Journal of Applied Econometrics 20 (3), 377-404, 2005
Inference for a class of stochastic volatility models using option and spot prices: Application of a bivariate Kalman filter
CS Forbes, GM Martin, J Wright
Econometric Reviews 26 (2-4), 387-418, 2007
Approximate bayesian forecasting
DT Frazier, W Maneesoonthorn, GM Martin, BPM McCabe
International Journal of Forecasting 35 (2), 521-539, 2019
Inference on self‐exciting jumps in prices and volatility using high‐frequency measures
W Maneesoonthorn, CS Forbes, GM Martin
Journal of Applied Econometrics 32 (3), 504-532, 2017
Focused Bayesian prediction
R Loaiza‐Maya, GM Martin, DT Frazier
Journal of Applied Econometrics 36 (5), 517-543, 2021
Parameterisation and efficient MCMC estimation of non-Gaussian state space models
CM Strickland, GM Martin, CS Forbes
Computational Statistics & Data Analysis 52 (6), 2911-2930, 2008
Simulation-based Bayesian estimation of an affine term structure model
AD Sanford, GM Martin
Computational statistics & data analysis 49 (2), 527-554, 2005
Computing Bayes: Bayesian computation from 1763 to the 21st century
GM Martin, DT Frazier, CP Robert
arXiv preprint arXiv:2004.06425, 2020
The distribution of exchange rate returns and the pricing of currency options
GC Lim, JN Lye, GM Martin, VL Martin
Journal of International Economics 45 (2), 351-368, 1998
Does the option market produce superior forecasts of noise‐corrected volatility measures?
G M. Martin, A Reidy, J Wright
Journal of Applied Econometrics 24 (1), 77-104, 2009
Pricing currency options in the presence of time-varying volatility and non-normalities
GC Lim, GM Martin, VL Martin
Journal of Multinational Financial Management 16 (3), 291-314, 2006
High-frequency jump tests: Which test should we use?
W Maneesoonthorn, GM Martin, CS Forbes
Journal of Econometrics 219 (2), 478-487, 2020
Probabilistic forecasts of volatility and its risk premia
W Maneesoonthorn, GM Martin, CS Forbes, SD Grose
Journal of Econometrics 171 (2), 217-236, 2012
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