Gael M. Martin

Available identifiers

zbMath Open martin.gael-mMaRDI QIDQ528099

List of research outcomes

Publication	Date of Publication	Type
Variational Bayes in State Space Models: Inferential and Predictive Accuracy	2024-01-22	Paper
ABC of the future	2023-12-15	Paper
Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models	2022-03-28	Paper
High-frequency jump tests: which test should we use?	2021-02-04	Paper
Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach	2021-01-06	Paper
Issues in the estimation of mis-specified models of fractionally integrated processes	2020-05-21	Paper
Asymptotic properties of approximate Bayesian computation	2018-12-10	Paper
BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP	2017-08-22	Paper
Probabilistic forecasts of volatility and its risk premia	2017-05-12	Paper
A QUASI-LOCALLY MOST POWERFUL TEST FOR CORRELATION IN THE CONDITIONAL VARIANCE OF POSITIVE DATA	2016-04-27	Paper
Bias Correction of Persistence Measures in Fractionally Integrated Models	2015-10-12	Paper
Higher-order improvements of the sieve bootstrap for fractionally integrated processes	2015-07-27	Paper
Parameterisation and efficient MCMC estimation of non-Gaussian state space models	2009-06-12	Paper
Bayesian analysis of the stochastic conditional duration model	2008-12-11	Paper
Simulation-based Bayesian estimation of an affine term structure model	2008-11-26	Paper
Feasible parameter regions for alternative discrete state space models	2008-11-25	Paper
Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter	2007-06-20	Paper
PRICING AUSTRALIAN S&P200 OPTIONS: A BAYESIAN APPROACH BASED ON GENERALIZED DISTRIBUTIONAL FORMS	2007-03-20	Paper
Assessing Persistence In Discrete Nonstationary Time‐Series Models	2006-05-24	Paper
Implicit Bayesian Inference Using Option Prices	2006-05-24	Paper
BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL	2003-10-27	Paper
Bayesian inference in the triangular cointegration model using a jeffreys prior	2002-07-28	Paper
https://portal.mardi4nfdi.de/entity/Q4231154	1999-11-29	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Gael M. Martin