Details about Gael Margaret Martin

Access statistics for papers by Gael Margaret Martin.

Last updated 2012-12-12. Update your information in the RePEc Author Service.

Short-id: pma416

Working Papers

2012

1. Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
2. Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)

2011

3. Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)

2010

4. A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
5. Probabilistic Forecasts of Volatility and its Risk Premia
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
   See also Journal Article in Journal of Econometrics (2012)

2009

6. Optimal Probabilistic Forecasts for Counts
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2007

7. An Assessment of Alternative State Space Models for Count Time Series
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
8. Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
   See also Journal Article in Journal of Applied Econometrics (2009)

2006

9. Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
10. Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
    See also Journal Article in Computational Statistics & Data Analysis (2008)

2004

11. Bayesian Analysis of Continuous Time Models of the Australian Short Rate
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
12. Bayesian Estimation of Non-Gausian Time Series with Applicaitons to Transaction Data
    Econometric Society 2004 Australasian Meetings, Econometric Society
13. Testing for Dependence in Non-Gaussian Time Series Data
    Econometric Society 2004 Australasian Meetings, Econometric Society
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2004) View citations (3)

2003

14. Bayesian Analysis of the Stochastic Conditional Duration Model
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2006)
15. Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
16. Coherent Predictions of Low Count Time Series
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
17. Implicit Bayesian Inference Using Option Prices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2000) View citations (2)
    See also Journal Article in Journal of Time Series Analysis (2005)
18. Persistence and Nonstationary Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
19. Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
20. Simulation-Based Bayesian Estimation of Affine Term Structure Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)

2002

21. Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
22. Parametric Pricing of Higher Order Moments in S&P500 Options
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
    See also Journal Article in Journal of Applied Econometrics (2005)
23. Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

2001

24. Spot Market Competition with Stranded Costs in the Spanish Electricity Industry
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (3)

1998

25. U.S. Deficit Sustainability: A New Approach Based on Multiple Endogenous Breaks
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (5)
    See also Journal Article in Journal of Applied Econometrics (2000)

1997

26. Fractional Cointegration: Bayesian Inferences Using a Jeffreys Prior
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
27. Private and Public Consumption Expenditure Substitutability: Bayesian Estimates for the G7 Countries
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

1995

28. Bayesian Analysis of a Cointegration Model Using Markov Chain Monte Carlo
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
29. Fractional Cointegration: A Bayesian Aproach
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

Journal Articles

2012

1. Probabilistic forecasts of volatility and its risk premia
   Journal of Econometrics, 2012, 171, (2), 217-236
   See also Working Paper (2010)

2011

2. Efficient probabilistic forecasts for counts
   Journal of the Royal Statistical Society Series B, 2011, 73, (2), 253-272 View citations (2)

2010

3. 'The 21st Century Belongs to Bayes' Debate: Introduction
   Review of Economic Analysis, 2010, 2, (2), 137-138
4. Bayesian forecasting in economics
   International Journal of Forecasting, 2010, 26, (2), 211-215

2009

5. Does the option market produce superior forecasts of noise-corrected volatility measures?
   Journal of Applied Econometrics, 2009, 24, (1), 77-104 View citations (3)
   See also Working Paper (2007)

2008

6. Feasible parameter regions for alternative discrete state space models
   Statistics & Probability Letters, 2008, 78, (17), 2963-2970 View citations (1)
7. Parameterisation and efficient MCMC estimation of non-Gaussian state space models
   Computational Statistics & Data Analysis, 2008, 52, (6), 2911-2930 View citations (1)
   See also Working Paper (2006)

2007

8. Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter
   Econometric Reviews, 2007, 26, (2-4), 387-418 View citations (1)

2006

9. Bayesian analysis of the stochastic conditional duration model
   Computational Statistics & Data Analysis, 2006, 50, (9), 2247-2267 View citations (14)
   See also Working Paper (2003)
10. Bayesian comparison of several continuous time models of the Australian short rate
    Accounting and Finance, 2006, 46, (2), 309-326 View citations (1)
11. Pricing currency options in the presence of time-varying volatility and non-normalities
    Journal of Multinational Financial Management, 2006, 16, (3), 291-314 View citations (1)

2005

12. Assessing Persistence In Discrete Nonstationary Time-Series Models
    Journal of Time Series Analysis, 2005, 26, (2), 305-317
13. Bayesian predictions of low count time series
    International Journal of Forecasting, 2005, 21, (2), 315-330 View citations (13)
14. Implicit Bayesian Inference Using Option Prices
    Journal of Time Series Analysis, 2005, 26, (3), 437-462 View citations (2)
    See also Working Paper (2003)
15. Parametric pricing of higher order moments in S&P500 options
    Journal of Applied Econometrics, 2005, 20, (3), 377-404 View citations (11)
    See also Working Paper (2002)
16. Simulation-based Bayesian estimation of an affine term structure model
    Computational Statistics & Data Analysis, 2005, 49, (2), 527-554 View citations (2)

2001

17. BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
    Econometric Reviews, 2001, 20, (2), 217-234 View citations (4)

2000

18. US deficit sustainability: a new approach based on multiple endogenous breaks
    Journal of Applied Econometrics, 2000, 15, (1), 83-105 View citations (41)
    See also Working Paper (1998)

1999

19. Using simulation methods for bayesian econometric models: inference, development and communication: some comments
    Econometric Reviews, 1999, 18, (1), 113-118 View citations (11)

1998

20. The distribution of exchange rate returns and the pricing of currency options
    Journal of International Economics, 1998, 45, (2), 351-368 View citations (4)