Volgen
Marcel Scharth
Marcel Scharth
University of Sydney Business School
Geverifieerd e-mailadres voor sydney.edu.au - Homepage
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Modeling and predicting the CBOE market volatility index
M Fernandes, MC Medeiros, M Scharth
Journal of Banking & Finance 40, 1-10, 2014
3032014
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
1782016
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
972012
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
932009
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
672015
Importance sampling squared for Bayesian inference in latent variable models
MN Tran, M Scharth, MK Pitt, R Kohn
arXiv preprint arXiv:1309.3339, 2013
542013
Importance sampling squared for Bayesian inference in latent variable models
MN Tran, M Scharth, MK Pitt, R Kohn
arXiv preprint arXiv:1309.3339, 2013
542013
Particle efficient importance sampling
M Scharth, R Kohn
Journal of Econometrics 190 (1), 133-147, 2016
492016
Robustly estimating the marginal likelihood for cognitive models via importance sampling
MN Tran, M Scharth, D Gunawan, R Kohn, SD Brown, GE Hawkins
Behavior Research Methods 53, 1148-1165, 2021
122021
Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model
M Li, M Scharth
Journal of Business & Economic Statistics 40 (1), 285-301, 2022
102022
Realized volatility risk
DE Allen, M McAleer, M Scharth
Available at SSRN 1520797, 2009
82009
On the existence of moments for high dimensional importance sampling
MK Pitt, MN Tran, M Scharth, R Kohn
arXiv preprint arXiv:1307.7975, 2013
62013
Essays on Monte Carlo methods for state space models
M Scharth
Vrije Universiteit, 2012
62012
Realized volatility uncertainty
DE Allen, M McAleer, M Scharth
Edith Cowan University, 2008
52008
Markov Interacting Importance Samplers
EF Mendes, M Scharth, R Kohn
arXiv preprint arXiv:1502.07039, 2015
32015
Modeling And Predicting The Cboe Market Volatility Index. Queen Mary, University of London
M FERNANDES, MC Medeiros, M Scharth
Working Paper, 2006
22006
Distributional effects of optimal commodity taxes combined with minimum income programs in Brazil
AL Neves de Holanda Barbosa, EPS Fiuza, M Scharth, S Asano
Discussion Paper, 2015
2015
Distributional Effects of Optimal Commodity Taxes Combined with Minimum Income Programs in Brazil
ALNH Barbosa, EPS Fiuza, M Scharth, S Asano
IPEA Discussion Paper, 2003
2003
Leverage, asymmetry and heavy tails in the high-dimensional factor stochastic volatility model–Supplementary appendix
M Li, M Scharth
Distributional Effects of Optimal Commodity Taxes with Minimum Income Programs: micro-simulations for Brazil
ALNH Barbosa, EPS Fiuza, M Scharth, S Asano
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Artikelen 1–20