Worapree (Ole) Maneesoonthorn

Associate Professor of Statistics And Econometrics

Ole Maneesoonthorn is an Associate Professor of Statistics and Econometrics at the Melbourne Business School, the University of Melbourne.

Ole Maneesoonthorn is an Associate Professor of Statistics and Econometrics at the Melbourne Business School, the University of Melbourne. Her research are in the fields of time series econometrics, Bayesian econometrics and financial econometrics. Ole has published in top field journals in econometrics, such as the Journal of Econometrics and Journal of Applied Econometrics. She has been recognized on many occasions for her research and presentation skills. These include winning the prize for best PhD paper at both the inaugural Peter C.B. Phillip PhD Camp in 2012 (held at the National University of Singapore) and the 2010 Financial Integrated Research Network (FIRN) Doctoral Tutorial; and an honourable mention at the 2013 New Zealand Econometrics Study Group.

Ole received a PhD in Econometrics from Monash University. The work on her thesis earned her the prestigious International Savage Award, bestowed by the International Society of Bayesian Analysis (ISBA) for the most outstanding doctoral dissertations in Bayesian econometrics or statistics, as well as the Mollie Holman Doctoral Medal 2013 from Monash University.

Ole's teaching specialty includes Data Analysis for the Master of Business Administration; and Statistics Accelerator, Statistics Learning, Predictive Analytics and Finance Analytics for the Master of Business Analytics.

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Most Notable Research

Martin, G.M., McCabe B., Frazier, D., Maneesoonthorn, W. and Robert, C. (2018). Auxiliary Model-Based Approximate Bayesian Computation in State Space Models. Journal of Computational and Graphical Statistics, forthcoming. [Link]

Frazier, D., Maneesoonthorn, W., Martin, G.M. and McCabe, B. (2018). Approximate Bayesian Forecasting. International Journal of Forecasting, forthcoming. [Link]

Smith, M.S. and Maneesoonthorn W. (2018). Inversion Copulas from Nonlinear State Space Models with an Application to Inflation Forecasting. International Journal of Forecasting, 34(3), 389-407. [Link]

Laoiza-Maya, R., Smith, M.S. and Maneesoonthorn W. (2017). Time Series Copulas for Heteroskedastic Data. Journal of Applied Econometrics, 33(3), 332-354. [Link]

Maneesoonthorn, W., Forbes, C. S., and Martin, G. M. (2017). Inference on Self-Exciting Jumps in Prices and Volatility Using High-Frequency Measures. Journal of Applied Econometrics, 32, 504–532. [Link | Data Archive]

Maneesoonthorn, W., Martin, G. M., Forbes, C. S., and Grose, S. D. (2012). Probabilistic Forecasts of Volatility and its Risk Premia. Journal of Econometrics, 171(2), 217-236. [Link]


Research Awards

International Savage Award, bestowed by the International Society of Bayesian Analysis for the most outstanding doctoral dissertations in Bayesian econometrics or statistics.

Molly Holman Doctoral Medal in 2013 from Monash University for most outstanding doctoral dissertations.

Best PhD paper at the inaugural Peter CB Phillip PhD Camp in 2012, held at the National University of Singapore, and Financial Integrated Research Network Doctoral Tutorial in 2010, hosted by RMIT University.

Honourable mention at the 2013 New Zealand Econometrics Study Group.