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Marcel Scharth
Marcel Scharth
University of Sydney Business School
Verified email at sydney.edu.au - Homepage
Title
Cited by
Cited by
Year
Modeling and predicting the CBOE market volatility index
M Fernandes, MC Medeiros, M Scharth
Journal of Banking & Finance 40, 1-10, 2014
2432014
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
1432016
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
922009
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
862012
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
612015
Importance sampling squared for Bayesian inference in latent variable models
MN Tran, M Scharth, MK Pitt, R Kohn
arXiv preprint arXiv:1309.3339, 2013
462013
Importance sampling squared for Bayesian inference in latent variable models
MN Tran, M Scharth, MK Pitt, R Kohn
arXiv preprint arXiv:1309.3339, 2013
462013
Particle efficient importance sampling
M Scharth, R Kohn
Journal of Econometrics 190 (1), 133-147, 2016
432016
Modeling and predicting the CBOE market volatility index
M Fernandes, MC Medeiros, M Scharth
Texto para discussão, 2007
172007
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
72022
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 (3), 1148-1165, 2021
72021
On the existence of moments for high dimensional importance sampling
MK Pitt, MN Tran, M Scharth, R Kohn
arXiv preprint arXiv:1307.7975, 2013
72013
Essays on Monte Carlo methods for state space models
M Scharth
Vrije Universiteit, 2012
62012
Realized volatility risk
DE Allen, M McAleer, M Scharth
Available at SSRN 1520797, 2009
62009
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
Realized volatility risk
DE Allen, M McAleer, M Scharth
Tinbergen Institute Discussion Paper, 2013
12013
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
Asymmetric Realized Volatility Risk
M McAleer, DE Allen, M Scharth
Tinbergen Institute, 2014
2014
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