Details about Vance Lindsay Martin

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

Access statistics for papers by Vance Lindsay Martin.

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Short-id: pma552

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Working Papers

2024

1. Teaching Financial Econometrics to Students Converting to Finance
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

2022

2. Measuring Global Interest Rate Comovements with Implications for Monetary Policy Interdependence
   RBA Annual Conference Papers, Reserve Bank of Australia

2019

3. Coastal Dynamics and Adaptation to Uncertain Sea Level Rise: Optimal Portfolios for Salt Marsh Migration
   2019 Conference (63rd), February 12-15, 2019, Melbourne, Australia, Australian Agricultural and Resource Economics Society (AARES) View citations (3)
   See also Journal Article Coastal dynamics and adaptation to uncertain sea level rise: Optimal portfolios for salt marsh migration, Journal of Environmental Economics and Management, Elsevier (2019) View citations (3) (2019)

2018

4. Measuring financial interdependence in asset returns with an application to euro zone equities
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
5. Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession
   IMF Working Papers, International Monetary Fund View citations (1)
   See also Journal Article Real sectoral spillovers: A dynamic factor analysis of the great recession, Journal of Monetary Economics, Elsevier (2019) View citations (7) (2019)

2017

6. 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 View citations (3)
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) View citations (4)

2014

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

2013

10. Financial Contagion and Asset Pricing
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
    See also Journal Article Financial contagion and asset pricing, Journal of Banking & Finance, Elsevier (2014) View citations (32) (2014)

2011

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

2010

12. Are Financial Crises Alike?
    IMF Working Papers, International Monetary Fund View citations (53)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2008) View citations (7)

2009

13. Interest Rate Conundrum
    Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley View citations (15)
    Also in Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (2009) View citations (15)
    See also Journal Article Interest Rate Conundrum, The B.E. Journal of Macroeconomics, De Gruyter (2009) View citations (16) (2009)
14. 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 View citations (2)
    See also Journal Article Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy?, The Economic Record, The Economic Society of Australia (2010) View citations (14) (2010)

2008

15. 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 View citations (10)

2006

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

2005

17. 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 View citations (2)

2004

18. Discounting The Equity Premium Puzzle
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (2)
19. Empirical Modeling of Contagion: A Review of Methodologies
    IMF Working Papers, International Monetary Fund View citations (59)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (32)
    Econometric Society 2004 Australasian Meetings, Econometric Society (2004) View citations (28)
    See also Journal Article Empirical modelling of contagion: a review of methodologies, Quantitative Finance, Taylor & Francis Journals (2005) View citations (282) (2005)

2003

20. Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises
    IMF Working Papers, International Monetary Fund View citations (9)
21. Implicit Bayesian Inference Using Option Prices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2000) View citations (5)
    See also Journal Article Implicit Bayesian Inference Using Option Prices, Journal of Time Series Analysis, Wiley Blackwell (2005) View citations (10) (2005)
22. 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 (2)
23. Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998
    IMF Working Papers, International Monetary Fund View citations (14)

2002

24. International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse
    IMF Working Papers, International Monetary Fund View citations (29)
25. 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 (2)
    See also Journal Article Parametric pricing of higher order moments in S&P500 options, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (10) (2005)
26. Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics

1997

27. Indirect Estimation of Arfima and Varfima Models
    Department of Economics - Working Papers Series, The University of Melbourne
    See also Journal Article Indirect estimation of ARFIMA and VARFIMA models, Journal of Econometrics, Elsevier (1999) View citations (17) (1999)
28. 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

29. 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
30. Does Capital Chase Labour Internationally
    Department of Economics - Working Papers Series, The University of Melbourne View citations (1)
31. Modelling the Term Structure
    Working Papers, Australian National University - Department of Economics View citations (63)
32. Testingh Speculative Efficiency: Pitfalls, Puzzles and Parametrics
    Department of Economics - Working Papers Series, The University of Melbourne

Journal Articles

2023

1. Household willingness to take financial risk: Stockmarket movements and life‐cycle effects
   Journal of Banking & Finance, 2023, 149, (C)
2. Modeling Multi-horizon Electricity Demand Forecasts in Australia: A Term Structure Approach
   The Energy Journal, 2023, 44, (3), 251-266

2022

3. Modeling time varying risk of natural resource assets: Implications of climate change
   Quantitative Economics, 2022, 13, (1), 225-257
4. Specification tests for univariate diffusions
   Econometric Reviews, 2022, 41, (6), 607-632
5. The Dynamics of Structural Transformation in Australia, 1960–2020
   The Economic Record, 2022, 98, (322), 296-315

2021

6. Forecasting the volatility of asset returns: The informational gains from option prices
   International Journal of Forecasting, 2021, 37, (2), 862-880 View citations (1)
7. Measuring financial interdependence in asset markets with an application to eurozone equities
   Journal of Banking & Finance, 2021, 122, (C) View citations (11)

2020

8. A threshold mixed count time series model: estimation and application
   Studies in Nonlinear Dynamics & Econometrics, 2020, 24, (2), 18 View citations (2)

2019

9. A nonlinear model of asset returns with multiple shocks
   Studies in Nonlinear Dynamics & Econometrics, 2019, 23, (1), 44
10. Coastal dynamics and adaptation to uncertain sea level rise: Optimal portfolios for salt marsh migration
    Journal of Environmental Economics and Management, 2019, 98, (C) View citations (3)
    See also Working Paper Coastal Dynamics and Adaptation to Uncertain Sea Level Rise: Optimal Portfolios for Salt Marsh Migration, 2019 Conference (63rd), February 12-15, 2019, Melbourne, Australia (2019) View citations (3) (2019)
11. Joint tests of contagion with applications
    Quantitative Finance, 2019, 19, (3), 473-490 View citations (19)
12. Once in a Lifetime? The Effects of the Global Financial Crisis on Household Willingness to Take Financial Risk
    The Economic Record, 2019, 95, (311), 442-461 View citations (2)
13. Real sectoral spillovers: A dynamic factor analysis of the great recession
    Journal of Monetary Economics, 2019, 107, (C), 77-95 View citations (7)
    See also Working Paper Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession, IMF Working Papers (2018) View citations (1) (2018)
14. The effects of the Global Financial Crisis on the stock holding decisions of Australian households
    The North American Journal of Economics and Finance, 2019, 50, (C) View citations (7)

2018

15. Addressing water shortages by force of habit
    Resource and Energy Economics, 2018, 53, (C), 42-61 View citations (6)
16. Global and regional financial integration in East Asia and the ASEAN
    The North American Journal of Economics and Finance, 2018, 46, (C), 202-221 View citations (11)
17. News and expected returns in East Asian equity markets: The RV-GARCHM model
    Journal of Asian Economics, 2018, 57, (C), 36-52

2016

18. Hedging Supply Risks: An Optimal Water Portfolio
    American Journal of Agricultural Economics, 2016, 98, (1), 276-296 View citations (4)

2014

19. EFFICIENT METHOD OF MOMENTS ESTIMATORS FOR INTEGER TIME SERIES MODELS
    Journal of Time Series Analysis, 2014, 35, (6), 491-516 View citations (6)
20. Financial contagion and asset pricing
    Journal of Banking & Finance, 2014, 47, (C), 296-308 View citations (32)
    See also Working Paper Financial Contagion and Asset Pricing, CAMA Working Papers (2013) View citations (2) (2013)
21. Modelling nonlinearities in equity returns: the mean impact curve analysis
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (1), 51-72 View citations (1)

2013

22. Intergenerational earnings mobility: A new decomposition of investment and endowment effects
    Labour Economics, 2013, 24, (C), 39-47 View citations (18)

2010

23. A New Class of Tests of Contagion With Applications
    Journal of Business & Economic Statistics, 2010, 28, (3), 423-437 View citations (114)
24. Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy?
    The Economic Record, 2010, 86, (275), 465-485 View citations (14)
    See also Working Paper Overvaluation in Australian housing and equity markets: Wealth effects or monetary policy?, CAMA Working Papers (2009) View citations (2) (2009)

2009

25. Interest Rate Conundrum
    The B.E. Journal of Macroeconomics, 2009, 9, (1), 29 View citations (16)
    See also Working Paper Interest Rate Conundrum, Department of Economics, Working Paper Series (2009) View citations (15) (2009)
26. Optimal conservation, extinction debt, and the augmented quasi-option value
    Journal of Environmental Economics and Management, 2009, 58, (1), 43-57 View citations (17)

2008

27. Computing the Distributions of Economic Models via Simulation
    Econometrica, 2008, 76, (2), 443-450 View citations (17)
28. International monetary policy surprise spillovers
    Journal of International Economics, 2008, 75, (1), 180-196 View citations (60)
29. 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 (8)

2007

30. 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 View citations (33)
31. Unravelling financial market linkages during crises
    Journal of Applied Econometrics, 2007, 22, (1), 89-119 View citations (147)

2006

32. 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 View citations (4)
    See also Working Paper A reexamination of the equity-premium puzzle: A robust non-parametric approach, Departmental Working Papers (2006) View citations (4) (2006)
33. Contagion in international bond markets during the Russian and the LTCM crises
    Journal of Financial Stability, 2006, 2, (1), 1-27 View citations (81)
34. Correlation, Contagion, and Asian Evidence
    Asian Economic Papers, 2006, 5, (2), 32-72 View citations (21)
35. 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 (9)

2005

36. Empirical modelling of contagion: a review of methodologies
    Quantitative Finance, 2005, 5, (1), 9-24 View citations (282)
    See also Working Paper Empirical Modeling of Contagion: A Review of Methodologies, IMF Working Papers (2004) View citations (59) (2004)
37. Implicit Bayesian Inference Using Option Prices
    Journal of Time Series Analysis, 2005, 26, (3), 437-462 View citations (10)
    See also Working Paper Implicit Bayesian Inference Using Option Prices, Monash Econometrics and Business Statistics Working Papers (2003) View citations (2) (2003)
38. Parametric pricing of higher order moments in S&P500 options
    Journal of Applied Econometrics, 2005, 20, (3), 377-404 View citations (10)
    Also in Journal of Applied Econometrics, 2005, 20, (3), 377-404 (2005) 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) View citations (2) (2002)

2004

39. 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 View citations (33)
40. CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION
    Australian Economic Papers, 2004, 43, (4), 379-395 View citations (25)
41. Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002
    Global Finance Journal, 2004, 15, (1), 81-102 View citations (6)

2003

42. Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?
    Australian Journal of Management, 2003, 28, (2), 157-182 View citations (29)
43. 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 (13)

2000

44. A multivariate latent factor decomposition of international bond yield spreads
    Journal of Applied Econometrics, 2000, 15, (6), 697-715 View citations (99)

1999

45. Indirect estimation of ARFIMA and VARFIMA models
    Journal of Econometrics, 1999, 93, (1), 149-175 View citations (17)
    See also Working Paper Indirect Estimation of Arfima and Varfima Models, Department of Economics - Working Papers Series (1997) (1997)

1998

46. ENDOGENOUS JUMPING AND ASSET PRICE DYNAMICS
    Macroeconomic Dynamics, 1998, 2, (2), 213-237 View citations (4)
47. Nonlinear Modelling Using the Generalized Exponential Family of Distributions
    Bulletin of Economic Research, 1998, 50, (3), 229-55 View citations (1)
48. The distribution of exchange rate returns and the pricing of currency options
    Journal of International Economics, 1998, 45, (2), 351-368 View citations (9)

1996

49. A Non-linear Model of the Real US-UK Exchange Rate
    Journal of Applied Econometrics, 1996, 11, (6), 669-86 View citations (10)

1995

50. International Business Cycles and Financial Integration
    The Review of Economics and Statistics, 1995, 77, (2), 305-20 View citations (10)
51. Regression‐based cointegration estimators with applications
    Journal of Economic Studies, 1995, 22, (1), 3-22 View citations (1)

1994

52. A Model of the Distribution of Prices
    Oxford Bulletin of Economics and Statistics, 1994, 56, (1), 67-76 View citations (10)
53. A Spectral-Temporal Index with an Application to U.S. Interest Rates
    Journal of Business & Economic Statistics, 1994, 12, (1), 81-93
54. Australian Short-Term Interest Rates: An Empirical Analysis of the Transmission Process, 1988-1991
    Australian Economic Papers, 1994, 33, (62), 75-95 View citations (1)
55. NON‐LINEAR TIME SERIES MODELLING AND DISTRIBUTIONAL FLEXIBILITY
    Journal of Time Series Analysis, 1994, 15, (1), 65-84 View citations (3)

1993

56. Multiple equilibria and hysteresis in simple exchange models
    Economic Modelling, 1993, 10, (4), 339-347 View citations (5)

1992

57. No, Business Cycles Are Not All Alike: The United States and Australia Compared
    Australian Economic Papers, 1992, 31, (59), 385-98
58. THRESHOLD TIME SERIES MODELS AS MULTIMODAL DISTRIBUTION JUMP PROCESSES
    Journal of Time Series Analysis, 1992, 13, (1), 79-94 View citations (1)
59. Testing the Causal Properties of Economic Theories: An Application to a Small Australian Macroeconomic Model
    Australian Economic Papers, 1992, 31, (58), 1-19 View citations (1)

1990

60. Derivation of a Leading Index for the United States Using Kalman Filters
    The Review of Economics and Statistics, 1990, 72, (4), 657-63 View citations (2)

1989

61. An Investigation into the Major Causes 01 Australia's Recent Inflation and Some Policy Implications
    The Economic Record, 1989, 65, (1), 1-15 View citations (8)
62. Weighted Monetary Aggregates: An Empirical Study Using Australian Monetary Data, 1969-1987
    Australian Economic Papers, 1989, 28, (53), 181-200 View citations (2)

1987

63. 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)

1986

64. Asset Substitution and Aggregate Liquidity in Australia: 1969–1983
    The Economic Record, 1986, 62, (1), 22-36

Books

2013

1. Econometric Modelling with Time Series
   Cambridge Books, Cambridge University Press View citations (27)
   Also in Cambridge Books, Cambridge University Press (2013) View citations (27)

2011

2. Transmission of Financial Crises and Contagion: A Latent Factor Approach
   OUP Catalogue, Oxford University Press View citations (30)

Edited books

1997

1. Nonlinear Economic Models
   Books, Edward Elgar Publishing View citations (8)

1994

2. Chaos and Non-Linear Models in Economics
   Books, Edward Elgar Publishing View citations (15)

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

2012

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

2000

3. Weighted Monetary Aggregates: Empirical Evidence for Australia
   Palgrave Macmillan