Concepedia

Worapree Maneesoonthorn

WM

5

Publications

143

Citations

5

H-Index

2012

Active since

Affiliations

The University of Melbourne(Current)

Monash University

Worapree Maneesoonthorn is an author at The University of Melbourne specializing in engineering, statistics, and volatility modeling.

Top concepts

StatisticsEngineeringFinanceBusinessForecastingVolatility ModelingMultivariate Stochastic VolatilityEconomicsData ScienceEconometrics

Publications per year

2012–2018

5

Publications

5

Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures

Worapree Maneesoonthorn, Catherine Forbes, Gael M. Martin · Journal of Applied Econometrics · 2016 · 35 citations · Full text

Volatility Modeling, Integrated Volatility, Engineering +19

Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models

Gael M. Martin, Brendan McCabe, David T. Frazier et al. · Journal of Computational and Graphical Statistics · 2018 · 35 citations · Full text

Auxiliary Likelihood Function, Bayesian Statistic, Bayesian Decision Theory +18

Time series copulas for heteroskedastic data

Rubén Loaiza‐Maya, Michael S. Smith, Worapree Maneesoonthorn · Journal of Applied Econometrics · 2017 · 29 citations · Full text

Empirical Finance, Volatility Modeling, Engineering +19

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

Michael S. Smith, Worapree Maneesoonthorn · International Journal of Forecasting · 2018 · 23 citations

Economic Forecasting, Engineering, Macroeconomics +7

Probabilistic forecasts of volatility and its risk premia

Worapree Maneesoonthorn, Gael M. Martin, Catherine Forbes et al. · Journal of Econometrics · 2012 · 21 citations

Forecasting Methodology, Volatility Modeling, Probabilistic Forecasting +9

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