Assoc Prof Catherine Forbes - Researcher Profile

Biography

Catherine works in the Faculty of Business & Economics at Monash University as an Associate Professor.

Qualifications

DOCTOR OF PHILOSOPHY

Institution: Ohio State University

Year awarded: 1992

Publications

Books

Forbes, C., Evans, M., Hastings, N., Peacock, B., 2011, Statistical Distributions, John Wiley & Sons, Hoboken NJ USA.

Forbes, C.S., 1999, Understanding the Kalman filter: An object oriented programming perspective, Monash University, Melbourne Vic Australia.

Oliver, J.J., Forbes, C.S., 1997, Bayesian approaches to segmenting a simple time series, Dept Computer Science, Monash University, Melbourne Vic Australia.

Oliver, J.J., Forbes, C.S., 1997, Bayesian approaches to segmenting a simple time series, Monash University, Melbourne Vic Australia.

Oliver, J.J., Forbes, C.S., 1997, Bayesian approaches to segmenting a simple time series, Monash University, Melbourne Vic Australia.

Forbes, C.S., Kalb, G.R., Kofman, P., 1997, Bayesian arbitrage threshold analysis, Monash University, Melbourne Vic Australia.

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.

Forbes, C., O'Neill, C., Humphreys, C., Tregeagle, S., Cox, E., 2011, Foster care and adoption: Carer/parent hours over and above 'ordinary parenting', Children Australia [P], vol 36, issue 2, Australian Academic Press Pty Ltd, Bowen Hills Qld Australia, pp. 56-65.

Tregeagle, S., Cox, E., Forbes, C., Humphreys, C., O'Neill, C., 2011, Worker time and the cost of stability, Children and Youth Services Review [P], vol 33, issue 7, Pergamon, Oxford UK, pp. 1149-1158.

O'Neill, C., Tregeagle, S., Forbes, C., Cox, E., Humphreys, C., 2010, Research report summary: The cost of support for stable foster care and adoption placements, Developing Practice [P], vol 27, issue Summer 2010, Association of Childrens Welfare Agencies Inc, Haymarket NSW Australia, pp. 28-37.

Cornwell, K.A., Forbes, C.S., Inder, B.A., Meadows, G.N., 2009, Mental Illness and its effects on labour market outcomes, Journal of Mental Health Policy and Economics [P], vol 12, issue 3, International Center of Mental Health Policy and Economics, Italy, pp. 107-118.

Campbell, R.A.J., Forbes, C.S., Koedijk, K.G., Kofman, P., 2008, Increasing correlations or just fat tails?, Journal of Empirical Finance, vol 15, issue 2, Elsevier BV, North-Holland, Netherlands, pp. 287-309.

Strickland, C.M., Martin, G.M., Forbes, C.S., 2008, Parameterisation and efficient MCMC estimation of non-Gaussian state space models, Computational Statistics & Data Analysis, vol 52, issue 6, Elsevier BV, North-Holland, Netherlands, pp. 2911-2930.

Forbes, C.S., Martin, G.M., Wright, J.D., 2007, Inference for a class of stochastic volatility models using option and spot prices: Application of a bivariate Kalman Filter, Econometric Reviews, vol 26, issue 2-4, Taylor & Francis Inc, United States, pp. 387-418.

Strickland, C.M., Forbes, C.S., Martin, G.M., 2006, Bayesian analysis of the stochastic conditional duration model, Computational Statistics & Data Analysis, vol 50, issue 9, Elsevier BV, North-Holland, The Netherlands, pp. 2247-2267.

Forbes, C.S., Inder, B.A., Raman, S., 2006, Measuring the cost of leaving care in Victoria, Children Australia, vol 31, issue 3, Oz Child - Children Australia, South Melbourne Vic Australia, pp. 26-33.

Martin, G.M., Forbes, C.S., Martin, V.L., 2005, Implicit Bayesian inference using option prices, Journal of Time Series Analysis, vol 26, issue 3, Blackwell Publishing Ltd, UK, pp. 437-462.

Kovacs, G.T., Morgan, G., Wood, C., Forbes, C.S., Howlett, D., 2003, Community attitudes to assisted reproductive technology: a 20-year trend, Medical Journal of Australia, vol 179, issue 10, Australiasian Medical Publishing Company, Australia, pp. 536-538.

Snyder, R.D., Forbes, C.S., 2003, Reconstructing the Kalman filter for stationary and non stationary time series, Studies in Nonlinear Dynamics & Econometrics, vol 7, issue 2, Berkeley Electronic Press, USA, pp. 1-18.

Forbes, C.S., Kalb, G.R., Kofman, P., 1999, Bayesian arbitrage threshold analysis, Journal of Business and Economic Statistics, vol 17, 3, American Statistical Association, Alexandria Virginia USA, pp. 364-372.

Martin, G.M., Forbes, C.S., 1999, Using simulation methods for Bayesian econometric models: Inference, development and communication: Some comments, Econometric Reviews, vol 18, 1, Marcel Dekker, New York NY USA, pp. 113-118.

Berliner, L.M., Maceachern, S.N., Forbes, C.S., 1997, Ergodic distributions of random dynamical systems, Fields Institute Communications, vol 11, American Mathematical Society., Providence Rhode Island, pp. 171-185.

Conference Proceedings

Forbes, C.S., Snyder, R.D., Shami, R.G., 2006, Forecasting with exponential smoothing: Exact prediction distributions in the presence of model uncertainty, 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. 1-19.

Strickland, C.M., Martin, G.M., Forbes, C.S., 2006, Parameterisation and efficient MCMC estimation of non-Gaussian state space models, 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. 1-33.

Forbes, C.S., Kofman, P., 1999, A Bayesian soft target zone analysis, Proceedings: ESAM99 (Econometric Society Australasian Meeting), Sydney, 7-9 July 1999, University of Technology, Sydney, Sydney NSW Australia, pp. 1-21.

Forbes, C.S., Kofman, P., 1999, A non-credible taraget zone model for exchange rate data, Proceedings: Queensland Finance Conference 1999, 30/9/99 - 1/10/99, Queensland University of Technology, Brisbane Qld Australia, pp. 1-18.

Shami, R.G., Forbes, C.S., 1999, A structural model with switching regime, Proceedings: ESAM99 (Econometric Society Australasian Meeting), Sydney, 7-9 July 1999, University of Technology, Sydney, Sydney NSW Australia, pp. 1-16.

Other

Flatau, P., Eardley, T., Spooner, C., Forbes, C.S., 2009, Intergenerational homelessness and the intergenerational use of homelessness services, Australian Housing and Urban Research Institute, Australia, pp. 1-26.

Raman, S., Inder, B.A., Forbes, C.S., 2005, Investing for success: The economics of supporting young people leaving care, Centre for Excellence in Child and Family Welfare, Melbourne Vic Australia, pp. 1-68.

Postgraduate Research Supervisions

Current Supervision

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Modelling Equity Markets within the Asia-Pacific Region.

Supervisors:

Lafrance, J (Main), Forbes, C (Associate).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Stochastic volatility analysis by state space methods: compare and contrast QML and GMM estimation methodologies.

Supervisors:

Forbes, C (Main), Anderson, H (Associate).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Stochastic volatility, jumps and variance risk premia: a Bayesian state space approach.

Supervisors:

Forbes, C (Joint-co), Martin, G (Joint).

Completed Supervision

Student:

Hanlon, B.

Program of Study:

MINIMUM MESSAGE LENGTH COMPACT CODING AND ITS APPLICATION TO SEGMENTED ECONOMIC TIME SERIES. (Masters) 2001.

Supervisors:

Forbes, C (Main), Mclaren, K (Main).

Student:

Ng, W.

Program of Study:

Non-parametric estimation of forecast distributions in non-linear, non-Gaussian state space models. (PHD) 2012.

Supervisors:

Forbes, C (Joint-Co), Martin, G (Joint).

Student:

Shami, R.

Program of Study:

BAYESIAN ANALYSIS OF A STRUCTURAL MODEL WITH REGIME SWITCHING. (PHD) 2001.

Supervisors:

Forbes, C (Main), Snyder, R (Associate).

Student:

Strickland, C.

Program of Study:

Bayesian analysis of non-Gaussian state space models with applications in financial econometrics. (PHD) 2007.

Supervisors:

Forbes, C (Joint), Martin, G (Joint-Co).