Details about Vance Lindsay Martin

Access statistics for papers by Vance Lindsay Martin.

Last updated 2009-10-06. Update your information in the RePEc Author Service.

Short-id: pma552

Working Papers

2009

1. OVERVALUATION IN AUSTRALIAN HOUSING AND EQUITY MARKETS: WEALTH EFFECTS OR MONETARY POLICY?
   CAMA Working Papers, Australian National University, Centre for Applied Macroeconomic Analysis

2008

2. A NEW CLASS OF TESTS OF CONTAGION WITH APPLICATIONS TO REAL ESTATE MARKETS
   CAMA Working Papers, Australian National University, Centre for Applied Macroeconomic Analysis
3. ARE FINANCIAL CRISES ALIKE?
   CAMA Working Papers, Australian National University, Centre for Applied Macroeconomic Analysis View citations

2006

4. A reexamination of the equity-premium puzzle: A robust non-parametric approach
   Departmental Working Papers, Southern Methodist University, Department of Economics
   See also Journal Article in The North American Journal of Economics and Finance (2006)

2005

5. SHOCKS AND SYSTEMIC INFLUENCES: CONTAGION IN GLOBAL EQUITY MARKETS IN 1998
   CAMA Working Papers, Australian National University, Centre for Applied Macroeconomic Analysis

2004

6. Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises
   IMF Working Papers, International Monetary Fund View citations
7. Discounting The Equity Premium Puzzle
   Econometric Society 2004 Australasian Meetings, Econometric Society View citations
8. Empirical Modeling of Contagion: A Review of Methodologies
   IMF Working Papers, International Monetary Fund View citations
   Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations
   Econometric Society 2004 Australasian Meetings, Econometric Society (2004) View citations

2003

9. 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)
10. 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
11. Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998
    IMF Working Papers, International Monetary Fund View citations

2002

12. International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse
    IMF Working Papers, International Monetary Fund View citations
13. 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)
14. 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

1997

15. Indirect Estimation of Arfima and Varfima Models
    Department of Economics - Working Papers Series, The University of Melbourne
    See also Journal Article in Journal of Econometrics (1999)
16. 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

17. A Nonlinear Characterization of Asset Dynamics with an Application to the 1987 Stock Market Crash
    Department of Economics - Working Papers Series, The University of Melbourne
18. Does Capital Chase Labour Internationally
    Department of Economics - Working Papers Series, The University of Melbourne View citations
19. Modelling the Term Structure
    Working Papers, Australian National University - Department of Economics View citations
20. Testingh Speculative Efficiency: Pitfalls, Puzzles and Parametrics
    Department of Economics - Working Papers Series, The University of Melbourne

Journal Articles

2009

1. Interest Rate Conundrum
   Contributions to Macroeconomics, 2009, 9, (1), 1819-1819
2. Optimal conservation, extinction debt, and the augmented quasi-option value
   Journal of Environmental Economics and Management, 2009, 58, (1), 43-57

2008

3. Computing the Distributions of Economic Models via Simulation
   Econometrica, 2008, 76, (2), 443-450
4. International monetary policy surprise spillovers
   Journal of International Economics, 2008, 75, (1), 180-196 View citations
5. The Role of Portfolio Shocks in a Structural Vector Autoregressive Model of the Australian Economy
   The Economic Record, 2008, 84, (264), 17-33 View citations

2007

6. Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises
   The North American Journal of Economics and Finance, 2007, 18, (2), 155-174
7. Unravelling financial market linkages during crises
   Journal of Applied Econometrics, 2007, 22, (1), 89-119 View citations

2006

8. A reexamination of the equity-premium puzzle: A robust non-parametric approach
   The North American Journal of Economics and Finance, 2006, 17, (2), 173-189
   See also Working Paper (2006)
9. Contagion in international bond markets during the Russian and the LTCM crises
   Journal of Financial Stability, 2006, 2, (1), 1-27 View citations
10. Correlation, Contagion, and Asian Evidence
    Asian Economic Papers, 2006, 5, (2), 32-72 View citations
11. Pricing currency options in the presence of time-varying volatility and non-normalities
    Journal of Multinational Financial Management, 2006, 16, (3), 291-314

2005

12. Implicit Bayesian Inference Using Option Prices
    Journal of Time Series Analysis, 2005, 26, (3), 437-462
    See also Working Paper (2003)
13. 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)

2004

14. CURRENCY MARKET CONTAGION IN THE ASIA-PACIFIC REGION
    Australian Economic Papers, 2004, 43, (4), 379-395 View citations
15. Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002
    Global Finance Journal, 2004, 15, (1), 81-102 View citations

2003

16. On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations*
    Journal of Time Series Analysis, 2003, 24, (1), 45-63 View citations

2000

17. A multivariate latent factor decomposition of international bond yield spreads
    Journal of Applied Econometrics, 2000, 15, (6), 697-715 View citations

1999

18. Indirect estimation of ARFIMA and VARFIMA models
    Journal of Econometrics, 1999, 93, (1), 149-175 View citations
    See also Working Paper (1997)

1998

19. ENDOGENOUS JUMPING AND ASSET PRICE DYNAMICS
    Macroeconomic Dynamics, 1998, 2, (02), 213-237
20. Econometric Society Australasian Meetings 1997 (ESAM97)
    Econometric Theory, 1998, 14, (06), 800-801
21. Nonlinear Modelling Using the Generalized Exponential Family of Distributions
    Bulletin of Economic Research, 1998, 50, (3), 229-55
22. The distribution of exchange rate returns and the pricing of currency options
    Journal of International Economics, 1998, 45, (2), 351-368 View citations

1996

23. A Non-linear Model of the Real US-UK Exchange Rate
    Journal of Applied Econometrics, 1996, 11, (6), 669-86

1995

24. International Business Cycles and Financial Integration
    The Review of Economics and Statistics, 1995, 77, (2), 305-20 View citations
25. Regression-based cointegration estimators with applications
    Journal of Economic Studies, 1995, 22, (1), 3-22 View citations

1994

26. A Model of the Distribution of Prices
    Oxford Bulletin of Economics and Statistics, 1994, 56, (1), 67-76 View citations
27. A Spectral-Temporal Index with an Application to U.S. Interest Rates
    Journal of Business & Economic Statistics, 1994, 12, (1), 81-93 View citations
28. Australian Short-Term Interest Rates: An Empirical Analysis of the Transmission Process, 1988-1991
    Australian Economic Papers, 1994, 33, (62), 75-95

1993

29. Multiple equilibria and hysteresis in simple exchange models
    Economic Modelling, 1993, 10, (4), 339-347 View citations

1992

30. No, Business Cycles Are Not All Alike: The United States and Australia Compared
    Australian Economic Papers, 1992, 31, (59), 385-98
31. Testing the Causal Properties of Economic Theories: An Application to a Small Australian Macroeconomic Model
    Australian Economic Papers, 1992, 31, (58), 1-19

1990

32. Derivation of a Leading Index for the United States Using Kalman Filters
    The Review of Economics and Statistics, 1990, 72, (4), 657-63

1989

33. An Investigation into the Major Causes of Australia's Recent Inflation and Some Policy Implications
    The Economic Record, 1989, 65, (188), 1-15 View citations
34. Exchange Rate Indicators and Optimal Currency Baskets: A Macroeconomic Analysis with Application to Developing Countries
    Applied Economics, 1989, 21, (9), 1137-52
35. Weighted Monetary Aggregates: An Empirical Study Using Australian Monetary Data, 1969-1987
    Australian Economic Papers, 1989, 28, (53), 181-200

1987

36. Leads and Lags in the Australian Business Cycle: A Canonical Approach in the Frequency Domain
    Australian Economic Papers, 1987, 26, (49), 188-96

1986

37. Asset Substitution and Aggregate Liquidity in Australia: 1969-1983
    The Economic Record, 1986, 62, (176), 22-36