Comiskey, H., Cahill, N., Alkema, L., Fraizer, D. and Maneesoonthorn, W., (2026). Bayesian probabilistic projections of proportions with limited data: An application to subnational contraceptive method supply shares. PLOS One, forthcoming. [Link]

Deng, L., Smith, M.S. and Maneesoonthorn, W. (2025). Large Skew-t Copula Models and Asymmetric Dependence in  Intraday Equity Returns.  Journal of Business & Economic Statistics, 43(2), 269-285. [Link | Code]

Treepongkaruna, S., Likitapiwat, T., and Maneesoonthorn, W. 2025. Implication of Mandatory Trading Report: Evidence from the Thai Bond Market. Creative Business and Sustainability Journal, 47(2), 81–103. [Link]

Zhang, W., Smith, M.S., Maneesoonthorn, W. and Loaiza-Maya, R. (2024). Natural Gradient Hybrid Variational Inference with Application to Deep Mixed Models. Statistics and Computing, 34(6), 185.  [Link]

Martin, G.M., Frazier, D.T., Maneesoonthorn, W., Loaiza-Maya, R., Huber, F., Koop, G., Maheu, J., Nibbering, D. and Panagiotelis, A. (2024). Bayesian Forecasting in Economics and Finance: A Modern Review. International Journal of Forecasting, 40(2), 811-839. [Link]

Pesonen, H., Simola, U., Köhn-Luque, A., Vuollekoski, H., Lai, X., Frigessi, A., Kaski, S., Frazier, D.T., Maneesoonthorn, W., Martin, G.M. and Corander, J. (2022). ABC of the Future. International Statistical Review, open access.[Link]

Martin, G., Laoiza-Maya, R., Maneesoonthorn, W. , Frazier, D. and Ramirez-Hassan, A. (2021) Optimal Probabilistic Forecasts: When Do They Work? International Journal of Forecasting, 38(1), pp. 384-406. [Link]

Zhou, H., Maneesoonthorn, W. and Chen, X.B. (2021). The Predictive Ability of Quarterly Financial. International Journal of Financial Studies, vol. 9, no. 3, pp. 50. [Link]

Maneesoonthorn, W., Martin, G.M. and Forbes, C.S. (2020). High-Frequency Jump Tests: Which Test Should We Use? Journal of Econometrics, 219(2), 478-487.[Link | Code]

Martin, G.M., McCabe B., Frazier, D., Maneesoonthorn, W. and Robert, C. (2019). Auxiliary Model-Based Approximate Bayesian Computation in State Space Models. Journal of Computational and Graphical Statistics, 28(3), 508-522. [Link|Code]

Frazier, D., Maneesoonthorn, W., Martin, G.M. and McCabe, B. (2018). Approximate Bayesian Forecasting. International Journal of Forecasting, 35(2), 521-539. [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 | Code] 

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]

Forbes, C.S. and Maneesoonthorn, W. (2017). Discussion on Deep Learning in Finance: Deep Portfolios. Applied Stochastic Modelling in Business and Industry, 33, 13–15. [Link]

Maneesoonthorn, W. (2015). High-Frequency Financial Econometrics, by Yacine Ait-Sahalia and Jean Jacod (Princeton University Press, Princeton and Oxford, 2014), pp. xxiv + 659, The Economic Record, 91: 542-544. (Book review). [Link]

Improving Density Forecasts Using Mixed Frequency Data: A Bayesian Approach. Joint work with Ruben Loaiza-Maya (Monash) and Andrew Patton (Duke). [Paper] Revised and Resubmitted.

Probabilistic Predictions of Option Prices Using Multiple Sources of Data. Joint work with Gael Martin and David Frazier (Monash). [Paper] Under Revision.

Tractable Unified Skew-t Distribution and Copula for Heterogeneous Asymmetries. Joint with Lin Deng (MBS) and Michael Smith (MBS). [Paper] Under Revision.

A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage. Joint with Zheng Fan (Melbourne) and Yong Song (Melbourne). [Paper] Under Revision.

Conjugating Variational Inference for Large Mixed Multinomial Logit Models and Consumer Choice. Joint with Weiben Zhang (MBS), Michael Smith (MBS) and Ruben Loaiza-Maya (Monash). [Paper] Submitted.

Flexible Modelling of Price Jumps with Nonparametric Bayes. Joint with Yuru Sun (Monash), Yong Song (Melbourne) and Wei Wei (Monash).