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Details about Gael Margaret Martin

E-mail:
Homepage:http://www-personal.buseco.monash.edu.au/%7Egmartin/
Workplace:Department of Econometrics and Business Statistics, Monash Business School, Monash University, (more information at EDIRC)

Access statistics for papers by Gael Margaret Martin.

Last updated 2015-02-24. Update your information in the RePEc Author Service.

Short-id: pma416


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Working Papers

2016

  1. Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures
    Papers, arXiv.org Downloads View citations (2)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2013) Downloads View citations (4)
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2014) Downloads

2014

  1. Approximate Bayesian Computation in State Space Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)
  2. Bias Correction of Persistence Measures in Fractionally Integrated Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2013) Downloads
  3. 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 Downloads View citations (3)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2012) Downloads View citations (3)
  4. Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2013

  1. 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 Downloads View citations (4)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2012) Downloads View citations (3)

2011

  1. 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 Downloads
    See also Journal Article Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models, International Journal of Forecasting, Elsevier (2013) Downloads View citations (9) (2013)

2010

  1. 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 Downloads
  2. Probabilistic Forecasts of Volatility and its Risk Premia
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
    See also Journal Article Probabilistic forecasts of volatility and its risk premia, Journal of Econometrics, Elsevier (2012) Downloads View citations (23) (2012)

2009

  1. Optimal Probabilistic Forecasts for Counts
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)

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 Downloads View citations (2)
  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 Downloads View citations (2)
    See also Journal Article Does the option market produce superior forecasts of noise-corrected volatility measures?, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2009) Downloads View citations (16) (2009)

2006

  1. 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 Downloads
  2. 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 Downloads View citations (6)
    See also Journal Article Parameterisation and efficient MCMC estimation of non-Gaussian state space models, Computational Statistics & Data Analysis, Elsevier (2008) Downloads View citations (16) (2008)

2004

  1. 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 Downloads
  2. Bayesian Estimation of Non-Gausian Time Series with Applicaitons to Transaction Data
    Econometric Society 2004 Australasian Meetings, Econometric Society
  3. Testing for Dependence in Non-Gaussian Time Series Data
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (2)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2004) Downloads View citations (4)

2003

  1. Bayesian Analysis of the Stochastic Conditional Duration Model
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (4)
    See also Journal Article Bayesian analysis of the stochastic conditional duration model, Computational Statistics & Data Analysis, Elsevier (2006) Downloads View citations (31) (2006)
  2. 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 Downloads View citations (2)
  3. Coherent Predictions of Low Count Time Series
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
  4. Implicit Bayesian Inference Using Option Prices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (2)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2000) Downloads View citations (5)

    See also Journal Article Implicit Bayesian Inference Using Option Prices, Journal of Time Series Analysis, Wiley Blackwell (2005) Downloads View citations (10) (2005)
  5. Persistence and Nonstationary Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
  6. 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 Downloads View citations (2)
  7. Simulation-Based Bayesian Estimation of Affine Term Structure Models
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)
    See also Journal Article Simulation-based Bayesian estimation of an affine term structure model, Computational Statistics & Data Analysis, Elsevier (2005) Downloads View citations (8) (2005)

2002

  1. 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 Downloads View citations (4)
  2. 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 Downloads View citations (2)
    See also Journal Article Parametric pricing of higher order moments in S&P500 options, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) Downloads View citations (33) (2005)
  3. Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2001

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

1998

  1. 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 (12)
    See also Journal Article US deficit sustainability: a new approach based on multiple endogenous breaks, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2000) Downloads View citations (105) (2000)

1997

  1. Fractional Cointegration: Bayesian Inferences Using a Jeffreys Prior
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics
  2. 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

  1. 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
  2. Fractional Cointegration: A Bayesian Aproach
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

Journal Articles

2015

  1. A conceptual framework to support adaptation of farming systems – Development and application with Forage Rummy
    Agricultural Systems, 2015, 132, (C), 52-61 Downloads View citations (13)

2013

  1. Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models
    International Journal of Forecasting, 2013, 29, (3), 411-430 Downloads View citations (9)
    See also Working Paper Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models, Monash Econometrics and Business Statistics Working Papers (2011) Downloads (2011)

2012

  1. A Review of The Oxford Handbook of Bayesian Econometrics edited by Geweke (John), Koop (Gary) and van Dijk (Herman)
    Econometrics Journal, 2012, 15, (3), B11-B15 Downloads
  2. Probabilistic forecasts of volatility and its risk premia
    Journal of Econometrics, 2012, 171, (2), 217-236 Downloads View citations (23)
    See also Working Paper Probabilistic Forecasts of Volatility and its Risk Premia, Monash Econometrics and Business Statistics Working Papers (2010) Downloads View citations (4) (2010)

2011

  1. Efficient probabilistic forecasts for counts
    Journal of the Royal Statistical Society Series B, 2011, 73, (2), 253-272 View citations (22)

2010

  1. 'The 21st Century Belongs to Bayes' Debate: Introduction
    Review of Economic Analysis, 2010, 2, (2), 137-138 Downloads
  2. Bayesian forecasting in economics
    International Journal of Forecasting, 2010, 26, (2), 211-215 Downloads View citations (1)

2009

  1. Does the option market produce superior forecasts of noise-corrected volatility measures?
    Journal of Applied Econometrics, 2009, 24, (1), 77-104 Downloads View citations (16)
    See also Working Paper Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?, Monash Econometrics and Business Statistics Working Papers (2007) Downloads View citations (2) (2007)

2008

  1. Feasible parameter regions for alternative discrete state space models
    Statistics & Probability Letters, 2008, 78, (17), 2963-2970 Downloads View citations (3)
  2. Parameterisation and efficient MCMC estimation of non-Gaussian state space models
    Computational Statistics & Data Analysis, 2008, 52, (6), 2911-2930 Downloads View citations (16)
    See also Working Paper Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models, Monash Econometrics and Business Statistics Working Papers (2006) Downloads View citations (6) (2006)

2007

  1. 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 Downloads View citations (14)

2006

  1. Bayesian analysis of the stochastic conditional duration model
    Computational Statistics & Data Analysis, 2006, 50, (9), 2247-2267 Downloads View citations (31)
    See also Working Paper Bayesian Analysis of the Stochastic Conditional Duration Model, Monash Econometrics and Business Statistics Working Papers (2003) Downloads View citations (4) (2003)
  2. Bayesian comparison of several continuous time models of the Australian short rate
    Accounting and Finance, 2006, 46, (2), 309-326 Downloads View citations (8)
  3. Pricing currency options in the presence of time-varying volatility and non-normalities
    Journal of Multinational Financial Management, 2006, 16, (3), 291-314 Downloads View citations (9)

2005

  1. Assessing Persistence In Discrete Nonstationary Time‐Series Models
    Journal of Time Series Analysis, 2005, 26, (2), 305-317 Downloads
  2. Bayesian predictions of low count time series
    International Journal of Forecasting, 2005, 21, (2), 315-330 Downloads View citations (42)
  3. Implicit Bayesian Inference Using Option Prices
    Journal of Time Series Analysis, 2005, 26, (3), 437-462 Downloads View citations (10)
    See also Working Paper Implicit Bayesian Inference Using Option Prices, Monash Econometrics and Business Statistics Working Papers (2003) Downloads View citations (2) (2003)
  4. Parametric pricing of higher order moments in S&P500 options
    Journal of Applied Econometrics, 2005, 20, (3), 377-404 Downloads View citations (33)
    See also Working Paper Parametric Pricing of Higher Order Moments in S&P500 Options, Monash Econometrics and Business Statistics Working Papers (2002) Downloads View citations (2) (2002)
  5. Simulation-based Bayesian estimation of an affine term structure model
    Computational Statistics & Data Analysis, 2005, 49, (2), 527-554 Downloads View citations (8)
    See also Working Paper Simulation-Based Bayesian Estimation of Affine Term Structure Models, Monash Econometrics and Business Statistics Working Papers (2003) Downloads View citations (3) (2003)

2001

  1. BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
    Econometric Reviews, 2001, 20, (2), 217-234 Downloads View citations (7)

2000

  1. US deficit sustainability: a new approach based on multiple endogenous breaks
    Journal of Applied Econometrics, 2000, 15, (1), 83-105 Downloads View citations (105)
    See also Working Paper U.S. Deficit Sustainability: A New Approach Based on Multiple Endogenous Breaks, Monash Econometrics and Business Statistics Working Papers (1998) View citations (12) (1998)

1999

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

1998

  1. The distribution of exchange rate returns and the pricing of currency options
    Journal of International Economics, 1998, 45, (2), 351-368 Downloads View citations (9)
 
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