Dr Simone Grose - Researcher Profile

Biography

Simone works in the Faculty of Business & Economics at Monash University as a Lecturer.

Qualifications

DOCTOR OF PHILOSOPHY - ECONOMIC STATISTICS

Institution: Monash University

Year awarded: 1999

BACHELOR OF ECONOMICS WITH HONOURS

Institution: Monash University

Year awarded: 1990

Publications

Journal Articles

Maneesoonthorn, W., Martin, G.M., Forbes, C.S., Grose, S.D., 2012, Probabilistic forecasts of volatility and its risk premia, Journal of Econometrics [P], vol 171, issue 2, Elsevier BV, Amsterdam Netherlands, pp. 217-236.

Flynn, D.B., Grose, S.D., Martin, G.M., Martin, V.L., 2005, Pricing australian S&P200 options: A bayesian approach based on generalized distributional forms, Australian and New Zealand Journal of Statistics, vol 47, issue 1, Blackwell Science Ltd, Australia, pp. 101-117.

Hyndman, R.J., Koehler, A.B., Snyder, R.D., Grose, S.D., 2002, A state space framework for automatic forecasting using exponential smoothing methods, International Journal of Forcasting, vol 18, issue 3, Elsevier Science, Netherland, pp. 439-454.

Conference Proceedings

Grose, S.D., Poskitt, D.S., 2006, The finite-sample properties of autoregressive approximations of fractionally-integrated and non-invertible processes, Proceedings of ESAM 2006: Australasian Meeting of the Econometric Society, 04 July 2006 to 07 July 2006, The Econometric Society, http://esam06.anu.edu.au, pp. 1-34.

Grose, S.D., Inder, B.A., 1999, Testing for a structural break in the linear model with non-stationary regressors, Proceedings: ESAM99 (Econonometric Society Australasian Meeting), Sydney, 7-9 July 1999, University of Technology, Sydney, Sydney NSW Australia, pp. 1-27.

Other

Grose, S.D., 1998, Marginal likelihood methods in econometrics.