Marcel Scharth

The University of Sydney

University of Sydney

Sydney, NC NSW 2006

Australia

http://www.marcelscharth.com

SCHOLARLY PAPERS

7

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777

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Top 30,691

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7

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Scholarly Papers (7)

1.

Realized Volatility Risk

Number of pages: 38 Posted: 11 Dec 2009 Last Revised: 25 Jan 2010
David E. Allen, Michael McAleer and Marcel Scharth
School of Mathematics and Statistics, The University of Sydney, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and The University of Sydney
Downloads 311 (95,275)

Abstract:

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Realized volatility, volatility of volatility, volatility risk, value-at-risk, forecasting, conditional heteroskedasticity

2.

Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models

Number of pages: 37 Posted: 06 Mar 2012
Siem Jan Koopman, Andre Lucas and Marcel Scharth
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and The University of Sydney
Downloads 138 (205,580)

Abstract:

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Generalised autoregressive score model, Importance sampling, Model confidence set, Nonlinear state space model, Weibull-gamma mixture

3.

Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models

Number of pages: 39 Posted: 20 Mar 2011 Last Revised: 28 Jan 2012
Siem Jan Koopman, Andre Lucas and Marcel Scharth
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and The University of Sydney
Downloads 108 (247,199)

Abstract:

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Kalman filter, Monte Carlo maximum likelihood, numerical integration, stochastic copula, stochastic conditional duration, stochastic volatility

4.

The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures

Number of pages: 48 Posted: 20 Sep 2011 Last Revised: 10 Sep 2012
Siem Jan Koopman and Marcel Scharth
Vrije Universiteit Amsterdam - School of Business and Economics and The University of Sydney
Downloads 86 (287,051)

Abstract:

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Kalman filter, leverage, realised volatility, simulated maximum likelihood

5.

Importance Sampling Squared for Bayesian Inference in Latent Variable Models

Number of pages: 39 Posted: 28 Jan 2014
UNSW Business School, The University of Sydney, University of Warwick and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 75 (311,426)

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Efficient importance sampling, marginal likelihood, multinomial logit, particle marginal Metropolis-Hastings, optimal number of particles, stochastic volatility

6.

Markov Interacting Importance Samplers

Number of pages: 44 Posted: 26 Feb 2015 Last Revised: 25 Jun 2015
Eduardo F Mendes, Marcel Scharth and Robert Kohn
UNSW Australia Business School, School of Economics, The University of Sydney and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 32 (449,753)

Abstract:

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Bayesian inference, Control variates, Mixed Logit, PMCMC, Markov Modulated Poisson Process, Rao-Blackwellization, Variance reduction

7.

Particle Efficient Importance Sampling

Number of pages: 42 Posted: 27 Sep 2013
Marcel Scharth and Robert Kohn
The University of Sydney and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 27 (473,727)

Abstract:

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Bayesian inference, particle filters, particle marginal Metropolis-Hastings, sequential Monte Carlo, stochastic volatility