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Details about Vance Lindsay Martin

Workplace:Department of Economics, Faculty of Business and Economics, University of Melbourne, (more information at EDIRC)

Access statistics for papers by Vance Lindsay Martin.

Last updated 2017-08-28. Update your information in the RePEc Author Service.

Short-id: pma552


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Working Papers

2017

  1. Joint tests of contagion with applications to financial crises
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (2)

2014

  1. Hedging Supply Risks: An Optimal Urban Water Portfolio
    Monash Economics Working Papers, Monash University, Department of Economics Downloads
  2. Optimal Portfolio Management of Urban Water
    2014 Conference (58th), February 4-7, 2014, Port Macquarie, Australia, Australian Agricultural and Resource Economics Society Downloads
  3. Sectoral Contagion: A Dynamic Factor Analysis of the Great Recession
    2014 Meeting Papers, Society for Economic Dynamics

2013

  1. Financial Contagion and Asset Pricing
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (2)
    See also Journal Article in Journal of Banking & Finance (2014)

2011

  1. A GOODNESS OF FIT TEST FOR ERGODIC MARKOV PROCESSES
    KIER Working Papers, Kyoto University, Institute of Economic Research Downloads
    Also in ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics (2011) Downloads

2009

  1. OVERVALUATION IN AUSTRALIAN HOUSING AND EQUITY MARKETS: WEALTH EFFECTS OR MONETARY POLICY?
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (1)
    See also Journal Article in The Economic Record (2010)

2008

  1. A NEW CLASS OF TESTS OF CONTAGION WITH APPLICATIONS TO REAL ESTATE MARKETS
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (3)
  2. ARE FINANCIAL CRISES ALIKE?
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (5)

2006

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

2005

  1. SHOCKS AND SYSTEMIC INFLUENCES: CONTAGION IN GLOBAL EQUITY MARKETS IN 1998
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (1)

2004

  1. Discounting The Equity Premium Puzzle
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (2)
  2. Empirical Modelling of Contagion: A Review of Methodologies
    Econometric Society 2004 Far Eastern Meetings, Econometric Society Downloads View citations (31)
    Also in Econometric Society 2004 Australasian Meetings, Econometric Society (2004) Downloads View citations (24)

    See also Journal Article in Quantitative Finance (2005)

2003

  1. Implicit Bayesian Inference Using Option Prices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
    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 in Journal of Time Series Analysis (2005)
  2. 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)

2002

  1. 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 (3)
    See also Journal Article in Journal of Applied Econometrics (2005)
  2. 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

1997

  1. 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)
  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. 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
  2. Does Capital Chase Labour Internationally
    Department of Economics - Working Papers Series, The University of Melbourne View citations (1)
  3. Modelling the Term Structure
    Working Papers, Australian National University - Department of Economics View citations (64)
  4. Testingh Speculative Efficiency: Pitfalls, Puzzles and Parametrics
    Department of Economics - Working Papers Series, The University of Melbourne

Journal Articles

2016

  1. Hedging Supply Risks: An Optimal Water Portfolio
    American Journal of Agricultural Economics, 2016, 98, (1), 276-296 Downloads View citations (3)

2014

  1. EFFICIENT METHOD OF MOMENTS ESTIMATORS FOR INTEGER TIME SERIES MODELS
    Journal of Time Series Analysis, 2014, 35, (6), 491-516 Downloads View citations (4)
  2. Financial contagion and asset pricing
    Journal of Banking & Finance, 2014, 47, (C), 296-308 Downloads View citations (20)
    See also Working Paper (2013)
  3. Modelling nonlinearities in equity returns: the mean impact curve analysis
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (1), 51-72 Downloads View citations (1)

2013

  1. Intergenerational earnings mobility: A new decomposition of investment and endowment effects
    Labour Economics, 2013, 24, (C), 39-47 Downloads View citations (9)

2010

  1. A New Class of Tests of Contagion With Applications
    Journal of Business & Economic Statistics, 2010, 28, (3), 423-437 Downloads View citations (74)
  2. Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy?
    The Economic Record, 2010, 86, (275), 465-485 Downloads View citations (7)
    See also Working Paper (2009)

2009

  1. Interest Rate Conundrum
    The B.E. Journal of Macroeconomics, 2009, 9, (1), 1-29 Downloads View citations (12)
  2. Optimal conservation, extinction debt, and the augmented quasi-option value
    Journal of Environmental Economics and Management, 2009, 58, (1), 43-57 Downloads View citations (14)

2008

  1. Computing the Distributions of Economic Models via Simulation
    Econometrica, 2008, 76, (2), 443-450 Downloads View citations (13)
  2. International monetary policy surprise spillovers
    Journal of International Economics, 2008, 75, (1), 180-196 Downloads View citations (42)
  3. The Role of Portfolio Shocks in a Structural Vector Autoregressive Model of the Australian Economy
    The Economic Record, 2008, 84, (264), 17-33 Downloads View citations (7)

2007

  1. 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 Downloads View citations (27)
  2. Unravelling financial market linkages during crises
    Journal of Applied Econometrics, 2007, 22, (1), 89-119 Downloads View citations (128)

2006

  1. 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 Downloads View citations (4)
    See also Working Paper (2006)
  2. Contagion in international bond markets during the Russian and the LTCM crises
    Journal of Financial Stability, 2006, 2, (1), 1-27 Downloads View citations (61)
  3. Correlation, Contagion, and Asian Evidence
    Asian Economic Papers, 2006, 5, (2), 32-72 Downloads View citations (18)
  4. 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 (7)

2005

  1. Empirical modelling of contagion: a review of methodologies
    Quantitative Finance, 2005, 5, (1), 9-24 Downloads View citations (240)
    See also Working Paper (2004)
  2. Implicit Bayesian Inference Using Option Prices
    Journal of Time Series Analysis, 2005, 26, (3), 437-462 Downloads View citations (8)
    See also Working Paper (2003)
  3. Parametric pricing of higher order moments in S&P500 options
    Journal of Applied Econometrics, 2005, 20, (3), 377-404 Downloads View citations (22)
    See also Working Paper (2002)

2004

  1. A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis
    Journal of Emerging Market Finance, 2004, 3, (3), 305-330 Downloads View citations (26)
  2. CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION
    Australian Economic Papers, 2004, 43, (4), 379-395 Downloads View citations (24)
  3. Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002
    Global Finance Journal, 2004, 15, (1), 81-102 Downloads View citations (4)

2003

  1. Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?
    Australian Journal of Management, 2003, 28, (2), 157-182 Downloads View citations (25)
  2. 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 Downloads View citations (11)

2000

  1. A multivariate latent factor decomposition of international bond yield spreads
    Journal of Applied Econometrics, 2000, 15, (6), 697-715 Downloads View citations (90)

1999

  1. Indirect estimation of ARFIMA and VARFIMA models
    Journal of Econometrics, 1999, 93, (1), 149-175 Downloads View citations (16)
    See also Working Paper (1997)

1998

  1. ENDOGENOUS JUMPING AND ASSET PRICE DYNAMICS
    Macroeconomic Dynamics, 1998, 2, (2), 213-237 Downloads View citations (4)
  2. Nonlinear Modelling Using the Generalized Exponential Family of Distributions
    Bulletin of Economic Research, 1998, 50, (3), 229-55 View citations (1)
  3. 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)

1996

  1. A Non-linear Model of the Real US-UK Exchange Rate
    Journal of Applied Econometrics, 1996, 11, (6), 669-86 Downloads View citations (9)

1995

  1. International Business Cycles and Financial Integration
    The Review of Economics and Statistics, 1995, 77, (2), 305-20 Downloads View citations (9)

1994

  1. A Model of the Distribution of Prices
    Oxford Bulletin of Economics and Statistics, 1994, 56, (1), 67-76 View citations (10)
  2. A Spectral-Temporal Index with an Application to U.S. Interest Rates
    Journal of Business & Economic Statistics, 1994, 12, (1), 81-93
  3. Australian Short-Term Interest Rates: An Empirical Analysis of the Transmission Process, 1988-1991
    Australian Economic Papers, 1994, 33, (62), 75-95

1993

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

1992

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

1990

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

1989

  1. Weighted Monetary Aggregates: An Empirical Study Using Australian Monetary Data, 1969-1987
    Australian Economic Papers, 1989, 28, (53), 181-200 View citations (2)

1987

  1. Leads and Lags in the Australian Business Cycle: A Canonical Approach in the Frequency Domain
    Australian Economic Papers, 1987, 26, (49), 188-96 View citations (1)

Books

2013

  1. Econometric Modelling with Time Series
    Cambridge Books, Cambridge University Press View citations (13)
    Also in Cambridge Books, Cambridge University Press (2013) View citations (13)

2011

  1. Transmission of Financial Crises and Contagion: A Latent Factor Approach
    OUP Catalogue, Oxford University Press View citations (19)

Edited books

1997

  1. Nonlinear Economic Models
    Books, Edward Elgar Publishing Downloads

1994

  1. Chaos and Non-Linear Models in Economics
    Books, Edward Elgar Publishing Downloads View citations (2)

Chapters

2013

  1. Dynamic letter volume models: how does an economic downturn affect substitution propensities?
    Chapter 12 in Reforming the Postal Sector in the Face of Electronic Competition, 2013, pp 163-178 Downloads

2012

  1. Forecasting Letter Volumes: Augmenting Econometric Baseline Projections
    Chapter 5 in Multi-Modal Competition and the Future of Mail, 2012 Downloads View citations (1)
 
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