Catherine Forbes

Assoc Professor

19972018
If you made any changes in Pure these will be visible here soon.

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 Catherine Forbes’ research has been in the areas of Bayesian time series analysis and financial econometrics. Her main focus has been on the development of computational statistical methodologies to handle the complex dependences that arise in time series data. Her work has been published (or is forthcoming) 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 research outlets. These, together with current work on robust and non-parametric Bayesian methodologies and predictive model evaluation techniques, are her current most active areas of interest.  

In addition to her peer-reviewed research publications and grant projects, Catherine has also engaged in several contract research projects for a range of private and government organizations. Regarding financial econometrics, she has 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, she 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.

Catherine has also has had a significant local, national and international impact on a range of empirical social welfare research projects, and in many cases has been the first to introduce the use of quantitative methods to traditionally non-quantitative areas. This has had 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.

Catherine is currently an Associate Editor of the Wiley journal Applied Stochastic Models in Business and Industry, and also regularly referees papers for a large number of international journals. She is an active member of the International Society of Bayesian Analysis (ISBA) and has had an association with the Econometric Society and the American Statistical Association (ASA) for many years. She currently holds the responsibility as the Director of Education in the Department of Econometrics and Business Statistics at Monash. 

Keywords

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

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Projects 2000 2018

Research Output 1997 2017

Discussion of ‘Deep learning for finance: deep portfolios’

Forbes, C. S. & Maneesoonthorn, W., 1 Jan 2017, In : Applied Stochastic Models in Business and Industry. 33, 1, p. 13-15 3 p.

Research output: Contribution to journalComment / DebateOtherpeer-review

Inference on self-exciting jumps in prices and volatility using high-frequency measures

Maneesoonthorn, W., Forbes, C. S. & Martin, G. M., Apr 2017, In : Journal of Applied Econometrics. 32, 3, p. 504-532 29 p.

Research output: Contribution to journalArticleResearchpeer-review

Systemic risk in the European sovereign and banking system

Xu, S., In, F., Forbes, C. & Hwang, I., 3 Apr 2017, In : Quantitative Finance. 17, 4, p. 633-656 24 p.

Research output: Contribution to journalArticleResearchpeer-review

In-sample confidence bands and out-of-sample forecast bands for time-varying parameters: Some comments

Forbes, C., 2016, In : International Journal of Forecasting. 32, 3, p. 888-890 3 p.

Research output: Contribution to journalComment / DebateResearchpeer-review

Comment on article by Windle and Carvalho

Forbes, C., 2014, In : Bayesian Analysis. 9, 4, p. 805-808 4 p.

Research output: Contribution to journalArticleOtherpeer-review