19972020

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Personal profile

Biography

Catherine Forbes is an Associate Professor in the Department of Econometrics and Business Statistics.

Biography

Having completed a PhD in Mathematical Statistics at The Ohio State University, much of my research has been in the areas of Bayesian time series analysis and financial econometrics. I have focused mainly on the development of computational statistical methodologies to handle the complex dependences that arise in time series data, and have published articles in the Journal of Econometrics, the Journal of Applied Econometrics, the Journal of Business and Economic Statistics, the International Journal of Forecasting, and many other highly regarded international academic research outlets. I am currently working with international collaborators (funded by the US National Science Foundation) to develop new robust and non-parametric Bayesian methodologies as well as various model evaluation techniques, with applications focused in the finance and actuarial domains. I am currently or have previously supervised sixteen PhD students and three MPhil students, as well as sixteen research projects for either Honours or Master of Applied Econometrics students.

Over my career I have also engaged in several contract research projects for a range of private and government organizations. Regarding financial econometrics, I have worked with a large business in the area of modelling and forecasting multivariate asset returns across a range of public and private assets. Through this collaborative relationship, I developed an appropriate modelling framework as well as an evaluation strategy to test the method for sensitivity to currency shocks and general distributional misspecification. The methodologies have been well received by the organization and subsequently used in the management of their sizeable financial assets.

I have also had a significant local, national and international impact on a range of empirical social welfare research projects. Working collaboratively with several stakeholders, my work was the first to introduce the use of quantitative methods to several traditionally non-quantitative areas, thus having a direct impact on the quality and reception of the policy findings of the research. Arguably, the single project with the greatest impact to date in the area of social welfare relates to a collaborative project aimed at quantifying the economic benefits of Victorian state investment in support programs for young people leaving state care (e.g. foster care). Published as a monograph by the Victorian Centre for Excellence in Child and Family Welfare in 2005, this work is widely cited and used in policy discussions by leaders within the Victorian child welfare sector.

I currently serve as Associate Editor for the Wiley journal Applied Stochastic Models in Business and Industry, and for Bayesian Analysis, the signature journal of the International Society for Bayesian Analysis (ISBA) of which I have been an active member for many years. I am also a Member of the Statistical Society of Australia, the Econometric Society, the American Statistical Association (ASA), and in 2018 became an Elected Member of the International Statistical Institute (ISI). At Monash, I have been a member of the Ally Network, since May 2018, and am currently the Department of Econometrics and Business Statistics representative on the Faculty Equity, Diversity and Social Inclusion Committee.

Research area keywords

  • Bayesian Inference
  • Financial Econometrics
  • Robust statistical methods
  • Forecast evaluation

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