Marcel Scharth
Marcel Scharth
University of Sydney Business School
Verifierad e-postadress på sydney.edu.au - Startsida
TitelCiteras avÅr
Modeling and predicting the CBOE market volatility index
M Fernandes, MC Medeiros, M Scharth
Journal of Banking & Finance 40, 1-10, 2014
1262014
Asymmetric effects and long memory in the volatility of Dow Jones stocks
M Scharth, MC Medeiros
International Journal of Forecasting 25 (2), 304-327, 2009
692009
Predicting time-varying parameters with parameter-driven and observation-driven models
SJ Koopman, A Lucas, M Scharth
Review of Economics and Statistics 98 (1), 97-110, 2016
642016
The analysis of stochastic volatility in the presence of daily realized measures
SJ Koopman, M Scharth
Journal of Financial Econometrics 11 (1), 76-115, 2012
542012
Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
SJ Koopman, A Lucas, M Scharth
Journal of Business & Economic Statistics 33 (1), 114-127, 2015
422015
Importance sampling squared for Bayesian inference in latent variable models
MN Tran, M Scharth, MK Pitt, R Kohn
arXiv preprint arXiv:1309.3339, 2013
322013
Importance sampling squared for Bayesian inference in latent variable models
MN Tran, M Scharth, MK Pitt, R Kohn
arXiv preprint arXiv:1309.3339, 2013
322013
Particle efficient importance sampling
M Scharth, R Kohn
Journal of econometrics 190 (1), 133-147, 2016
252016
Modeling and predicting the CBOE market volatility index
M Fernandes, MC Medeiros, M Scharth
Texto para discussão, 2007
122007
Realized volatility risk
DE Allen, M McAleer, M Scharth
Available at SSRN 1520797, 2009
72009
On the existence of moments for high dimensional importance sampling
MK Pitt, MN Tran, M Scharth, R Kohn
arXiv preprint arXiv:1307.7975, 2013
52013
Realized volatility uncertainty
DE Allen, M McAleer, M Scharth
Edith Cowan University, 2008
52008
Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model
M Li, M Scharth
UTS Business School Economics Discipline Group Working Paper Series 49, 2018
22018
Robustly estimating the marginal likelihood for cognitive models via importance sampling
MN Tran, M Scharth, D Gunawan, R Kohn, SD Brown, GE Hawkins
arXiv preprint arXiv:1906.06020, 2019
12019
Markov Interacting Importance Samplers
EF Mendes, M Scharth, R Kohn
arXiv preprint arXiv:1502.07039, 2015
12015
Linear Algebra for Business Analytics
M Scharth
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Artiklar 1–16