Details about Gael Margaret Martin

Access statistics for papers by Gael Margaret Martin.

Last updated 2008-06-29. Update your information in the RePEc Author Service.

Short-id: pma416

Working Papers

2007

1. 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
2. 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

2006

3. 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
4. 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
   See Also Journal Article in Computational Statistics & Data Analysis (2008)

2004

5. 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
6. Bayesian Estimation of Non-Gausian Time Series with Applicaitons to Transaction Data
   Econometric Society 2004 Australasian Meetings, Econometric Society
7. 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

2003

8. 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
   See Also Journal Article in Computational Statistics & Data Analysis (2006)
9. 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
10. Coherent Predictions of Low Count Time Series
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
11. Implicit Bayesian Inference Using Option Prices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations
    Also in
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2000) View citations
    See Also Journal Article in Journal of Time Series Analysis (2005)
12. Persistence and Nonstationary Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
13. 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
14. 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

2002

15. 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
16. 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 View citations
    See Also Journal Article in Journal of Applied Econometrics (2005)
17. Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations

2001

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

1998

19. 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
    See Also Journal Article in Journal of Applied Econometrics (2000)

1997

20. Fractional Cointegration: Bayesian Inferences Using a Jeffreys Prior
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
21. 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

22. 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
23. Fractional Cointegration: A Bayesian Aproach
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

Journal Articles

2008

1. Parameterisation and efficient MCMC estimation of non-Gaussian state space models
   Computational Statistics & Data Analysis, 2008, 52, (6), 2911-2930
   See Also Working Paper (2006)

2007

2. 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

2006

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

2005

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

2001

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

2000

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

1999

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

1998

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