Vance Lindsay Martin
Names
| first: |
Vance |
| middle: |
Lindsay |
| last: |
Martin |
Identifer
Contact
Affiliations
-
University of Melbourne
/ Faculty of Business and Economics
/ Department of Economics
Research profile
author of:
- A Goodness of Fit Test for Ergodic Markov Processes (RePEc:acb:cbeeco:2011-557)
by Vance Martin & Yoshihiko Nishiyama & John Stachurski - Optimal Portfolio Management of Urban Water (RePEc:ags:aare14:165857)
by Leroux, Anke D & Martin, Vance - Coastal Dynamics and Adaptation to Uncertain Sea Level Rise: Optimal Portfolios for Salt Marsh Migration (RePEc:ags:aare19:285075)
by Duran, Orencio & Johnston, Robert J. & Kirwan, Matthew L. & Leroux, Anke D. & Martin, Vance L. - A Spectral-Temporal Index with an Application to U.S. Interest Rates (RePEc:bes:jnlbes:v:12:y:1994:i:1:p:81-93)
by Lim, G C & Martin, Vance L - A New Class of Tests of Contagion With Applications (RePEc:bes:jnlbes:v:28:i:3:y:2010:p:423-437)
by Fry, Renée & Martin, Vance L. & Tang, Chrismin - Leads and Lags in the Australian Business Cycle: A Canonical Approach in the Frequency Domain (RePEc:bla:ausecp:v:26:y:1987:i:49:p:188-96)
by Martin, Vance L - Weighted Monetary Aggregates: An Empirical Study Using Australian Monetary Data, 1969-1987 (RePEc:bla:ausecp:v:28:y:1989:i:53:p:181-200)
by Horne, Jocelyn & Martin, Vance L - Testing the Causal Properties of Economic Theories: An Application to a Small Australian Macroeconomic Model (RePEc:bla:ausecp:v:31:y:1992:i:58:p:1-19)
by Martin, Vance L - No, Business Cycles Are Not All Alike: The United States and Australia Compared (RePEc:bla:ausecp:v:31:y:1992:i:59:p:385-98)
by Bowden, Roger J & Martin, Vance L - Australian Short-Term Interest Rates: An Empirical Analysis of the Transmission Process, 1988-1991 (RePEc:bla:ausecp:v:33:y:1994:i:62:p:75-95)
by Lim, G C & Martin, Vance L - Currency Market Contagion In The Asia‐Pacific Region (RePEc:bla:ausecp:v:43:y:2004:i:4:p:379-395)
by Mardi Dungey & Renée Fry & Vance L. Martin - Nonlinear Modelling Using the Generalized Exponential Family of Distributions (RePEc:bla:buecrs:v:50:y:1998:i:3:p:229-55)
by Creedy, John & Martin, Vance L - Asset Substitution and Aggregate Liquidity in Australia: 1969–1983 (RePEc:bla:ecorec:v:62:y:1986:i:1:p:22-36)
by Jocelyn Horne & Vance Martin & Shane Bonetti - An Investigation into the Major Causes 01 Australia's Recent Inflation and Some Policy Implications (RePEc:bla:ecorec:v:65:y:1989:i:1:p:1-15)
by Ernst A. Boehm & Vance L. Martin - The Role of Portfolio Shocks in a Structural Vector Autoregressive Model of the Australian Economy (RePEc:bla:ecorec:v:84:y:2008:i:264:p:17-33)
by Renée Fry & James Hocking & Vance L. Martin - Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy? (RePEc:bla:ecorec:v:86:y:2010:i:275:p:465-485)
by Renée A. Fry & Vance L. Martin & Nicholas Voukelatos - Once in a Lifetime? The Effects of the Global Financial Crisis on Household Willingness to Take Financial Risk (RePEc:bla:ecorec:v:95:y:2019:i:311:p:442-461)
by Buly A. Cardak & Vance L. Martin - The Dynamics of Structural Transformation in Australia, 1960–2020 (RePEc:bla:ecorec:v:98:y:2022:i:322:p:296-315)
by Philip Chindamo & Vance L. Martin - Threshold Time Series Models As Multimodal Distribution Jump Processes (RePEc:bla:jtsera:v:13:y:1992:i:1:p:79-94)
by Vance L. Martin - Non‐Linear Time Series Modelling And Distributional Flexibility (RePEc:bla:jtsera:v:15:y:1994:i:1:p:65-84)
by Jenny N. Lye & Vance L. Martin - On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations (RePEc:bla:jtsera:v:24:y:2003:i:1:p:45-63)
by A. S. Hurn & K. A. Lindsay & V. L. Martin - Implicit Bayesian Inference Using Option Prices (RePEc:bla:jtsera:v:26:y:2005:i:3:p:437-462)
by Gael M. Martin & Catherine S. Forbes & Vance L. Martin - Efficient Method Of Moments Estimators For Integer Time Series Models (RePEc:bla:jtsera:v:35:y:2014:i:6:p:491-516)
by Vance L. Martin & Andrew R. Tremayne & Robert C. Jung - A Model of the Distribution of Prices (RePEc:bla:obuest:v:56:y:1994:i:1:p:67-76)
by Creedy, John & Martin, Vance L - Interest Rate Conundrum (RePEc:bpj:bejmac:v:9:y:2009:i:1:n:8)
by Craine Roger & Martin Vance L - Modelling nonlinearities in equity returns: the mean impact curve analysis (RePEc:bpj:sndecm:v:18:y:2014:i:1:p:51-72:n:1)
by Martin Vance L. & Sarkar Saikat & Kanto Antti Jaakko - A nonlinear model of asset returns with multiple shocks (RePEc:bpj:sndecm:v:23:y:2019:i:1:p:44:n:5)
by Kahra Hannu & Martin Vance L. & Sarkar Saikat - A threshold mixed count time series model: estimation and application (RePEc:bpj:sndecm:v:24:y:2020:i:2:p:18:n:7)
by Dungey Mardi & Martin Vance L. & Tang Chrismin & Tremayne Andrew - Interest Rate Conundrum (RePEc:cdl:econwp:qt0409193t)
by Craine, Roger & Martin, Vance L - The Interest Rate Conundrum (RePEc:cdl:econwp:qt8b98n6vh)
by Craine, Roger & Martin, Vance L. - Unknown item RePEc:cup:cbooks:9780521139816 (book)
- Unknown item RePEc:cup:cbooks:9780521196604 (book)
- Endogenous Jumping And Asset Price Dynamics (RePEc:cup:macdyn:v:2:y:1998:i:02:p:213-237_00)
by Lim, G. C. & Martin, Vance L. & Teo, Leslie E. - Teaching Financial Econometrics to Students Converting to Finance (RePEc:cwl:cwldpp:2397)
by Stan Hurn & Vance Martin & Peter C. B. Phillips & Jun Yu - Empirical Modelling of Contagion: A Review of Methodologies (RePEc:ecm:ausm04:243)
by Vance L. Martin & Brenda Gonzalez-Hermosillo, & Mardi Dungey & Renee A. Fry - Discounting The Equity Premium Puzzle (RePEc:ecm:ausm04:331)
by Vance Martin & G.C. Lim & Esfandiar Maasoumi - Computing the Distributions of Economic Models via Simulation (RePEc:ecm:emetrp:v:76:y:2008:i:2:p:443-450)
by John Stachurski & Vance Martin - Empirical Modelling of Contagion: A Review of Methodologies (RePEc:ecm:feam04:574)
by Martin, V. & Dungey & M. - News and expected returns in East Asian equity markets: The RV-GARCHM model (RePEc:eee:asieco:v:57:y:2018:i:c:p:36-52)
by Martin, Vance L. & Tang, Chrismin & Yao, Wenying - Multiple equilibria and hysteresis in simple exchange models (RePEc:eee:ecmode:v:10:y:1993:i:4:p:339-347)
by Creedy, John & Martin, Vance - A reexamination of the equity-premium puzzle: A robust non-parametric approach (RePEc:eee:ecofin:v:17:y:2006:i:2:p:173-189)
by Lim, G.C. & Maasoumi, Esfandiar & Martin, Vance L. - Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises (RePEc:eee:ecofin:v:18:y:2007:i:2:p:155-174)
by Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance L. - Global and regional financial integration in East Asia and the ASEAN (RePEc:eee:ecofin:v:46:y:2018:i:c:p:202-221)
by Fry-McKibbin, Renée & Hsiao, Cody Yu-Ling & Martin, Vance L. - The effects of the Global Financial Crisis on the stock holding decisions of Australian households (RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818305552)
by Cardak, Buly A. & Martin, Vance L. & McAllister, Richard - Indirect estimation of ARFIMA and VARFIMA models (RePEc:eee:econom:v:93:y:1999:i:1:p:149-175)
by Martin, Vance L. & Wilkins, Nigel P. - Contagion in international bond markets during the Russian and the LTCM crises (RePEc:eee:finsta:v:2:y:2006:i:1:p:1-27)
by Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance - Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002 (RePEc:eee:glofin:v:15:y:2004:i:1:p:81-102)
by Dungey, Mardi & Fry, Renee & Martin, Vance L. - The distribution of exchange rate returns and the pricing of currency options (RePEc:eee:inecon:v:45:y:1998:i:2:p:351-368)
by Lim, G. C. & Lye, J. N. & Martin, G. M. & Martin*, V. L. - International monetary policy surprise spillovers (RePEc:eee:inecon:v:75:y:2008:i:1:p:180-196)
by Craine, Roger & Martin, Vance L. - Forecasting the volatility of asset returns: The informational gains from option prices (RePEc:eee:intfor:v:37:y:2021:i:2:p:862-880)
by Martin, Vance L. & Tang, Chrismin & Yao, Wenying - Measuring financial interdependence in asset markets with an application to eurozone equities (RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302478)
by Fry-McKibbin, Renée & Hsiao, Cody Yu-Ling & Martin, Vance L. - Household willingness to take financial risk: Stockmarket movements and life‐cycle effects (RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426622003326)
by Cardak, Buly A. & Martin, Vance L. - Financial contagion and asset pricing (RePEc:eee:jbfina:v:47:y:2014:i:c:p:296-308)
by Fry-McKibbin, Renée & Martin, Vance L. & Tang, Chrismin - Optimal conservation, extinction debt, and the augmented quasi-option value (RePEc:eee:jeeman:v:58:y:2009:i:1:p:43-57)
by Leroux, Anke D. & Martin, Vance L. & Goeschl, Timo - Coastal dynamics and adaptation to uncertain sea level rise: Optimal portfolios for salt marsh migration (RePEc:eee:jeeman:v:98:y:2019:i:c:s0095069618304248)
by Vinent, Orencio Duran & Johnston, Robert J. & Kirwan, Matthew L. & Leroux, Anke D. & Martin, Vance L. - Intergenerational earnings mobility: A new decomposition of investment and endowment effects (RePEc:eee:labeco:v:24:y:2013:i:c:p:39-47)
by Cardak, Buly A. & Johnston, David W. & Martin, Vance L. - Real sectoral spillovers: A dynamic factor analysis of the great recession (RePEc:eee:moneco:v:107:y:2019:i:c:p:77-95)
by Li, Nan & Martin, Vance L. - Pricing currency options in the presence of time-varying volatility and non-normalities (RePEc:eee:mulfin:v:16:y:2006:i:3:p:291-314)
by Lim, G.C. & Martin, G.M. & Martin, V.L. - Addressing water shortages by force of habit (RePEc:eee:resene:v:53:y:2018:i:c:p:42-61)
by Leroux, Anke D. & Martin, Vance L. & Zheng, Hao - Shocks And Systemic Influences: Contagion In Global Equity Markets In 1998 (RePEc:een:camaaa:2005-15)
by Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin - A New Class Of Tests Of Contagion With Applications To Real Estate Markets (RePEc:een:camaaa:2008-01)
by Renee Fry & Vance L. Martin & Chrismin Tang - Are Financial Crises Alike? (RePEc:een:camaaa:2008-15)
by MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang - Overvaluation in Australian housing and equity markets: Wealth effects or monetary policy? (RePEc:een:camaaa:2009-10)
by Renee A. Fry & Vance L. Martin & Nicholas Voukelatos - Financial Contagion and Asset Pricing (RePEc:een:camaaa:2013-61)
by Renée Fry-McKibbin & Vance Martin & Chrismin Tang - Joint tests of contagion with applications to financial crises (RePEc:een:camaaa:2017-23)
by Renee Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin - Joint tests of contagion with applications to financial crises (RePEc:een:camaaa:2017-65)
by Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin - Measuring financial interdependence in asset returns with an application to euro zone equities (RePEc:een:camaaa:2018-05)
by Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin - Chaos and Non-Linear Models in Economics (RePEc:elg:eebook:116)
by None - Nonlinear Economic Models (RePEc:elg:eebook:1314)
by None - Dynamic letter volume models: how does an economic downturn affect substitution propensities? (RePEc:elg:eechap:14532_12)
by Vance L. Martin & Chris J. Paterson & Heikki Nikali & Qiubang Li - Forecasting Letter Volumes: Augmenting Econometric Baseline Projections (RePEc:elg:eechap:14533_5)
by Vance L. Martin & Chris Paterson & Jessie Xiaokang Wang - Regression‐based cointegration estimators with applications (RePEc:eme:jespps:01443589510076061)
by G.C. Lim & Vance L. Martin - Modelling the Term Structure (RePEc:fth:aunaec:284)
by Pagan, A.R. & Hall, A.D. & Martin, V. - International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse (RePEc:imf:imfwpa:2002/074)
by Ms. Renee Fry & Mr. Vance Martin & Ms. Brenda Gonzalez-Hermosillo & Mr. Mardi Dungey - Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998 (RePEc:imf:imfwpa:2003/084)
by Ms. Brenda Gonzalez-Hermosillo & Mr. Vance Martin & Ms. Renee Fry & Mr. Mardi Dungey - Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises (RePEc:imf:imfwpa:2003/251)
by Ms. Brenda Gonzalez-Hermosillo & Mr. Vance Martin & Mr. Mardi Dungey & Ms. Renee Fry - Empirical Modeling of Contagion: A Review of Methodologies (RePEc:imf:imfwpa:2004/078)
by Mr. Mardi Dungey & Ms. Renee Fry & Mr. Vance Martin & Ms. Brenda Gonzalez-Hermosillo - Are Financial Crises Alike? (RePEc:imf:imfwpa:2010/014)
by Chrismin Tang & Mr. Mardi Dungey & Mr. Vance Martin & Ms. Brenda Gonzalez-Hermosillo & Ms. Renee Fry - Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession (RePEc:imf:imfwpa:2018/100)
by Ms. Nan Li & Mr. Vance Martin - A Non-linear Model of the Real US-UK Exchange Rate (RePEc:jae:japmet:v:11:y:1996:i:6:p:669-86)
by Creedy, John & Lye, Jenny & Martin, Vance L - A multivariate latent factor decomposition of international bond yield spreads (RePEc:jae:japmet:v:15:y:2000:i:6:p:697-715)
by Mardi Dungey & Vance L Martin & Adrian R Pagan - Parametric pricing of higher order moments in S&P500 options (RePEc:jae:japmet:v:20:y:2005:i:3:p:377-404)
by V. L. Martin & G. M. Martin & G. C. Lim - Unravelling financial market linkages during crises (RePEc:jae:japmet:v:22:y:2007:i:1:p:89-119)
by Vance L. Martin & Mardi Dungey - A Goodness Of Fit Test For Ergodic Markov Processes (RePEc:kyo:wpaper:787)
by Vance Martin & Yoshihiko Nishiyama & John Stachurski - Does Capital Chase Labour Internationally (RePEc:mlb:wpaper:447)
by Clarke, H.R. & Martin, V.L. - Testingh Speculative Efficiency: Pitfalls, Puzzles and Parametrics (RePEc:mlb:wpaper:482)
by Lim, G.C. & Martin, V.L. - A Nonlinear Characterization of Asset Dynamics with an Application to the 1987 Stock Market Crash (RePEc:mlb:wpaper:483)
by Lim, G.C. & Martin, V.L. - Indirect Estimation of Arfima and Varfima Models (RePEc:mlb:wpaper:547)
by Martin, V.L. & Wilkins, N.P. - Hedging Supply Risks: An Optimal Urban Water Portfolio (RePEc:mos:moswps:2014-05)
by Anke D Leroux & Vance L Martin - Private and Public Consumption Expenditure Substitutability : Bayesian Estimates for the G7 Countries (RePEc:msh:ebswps:1997-4)
by Martin, G.M. & Martin, V.L. - Implicit Bayesian Inference Using Option Prices (RePEc:msh:ebswps:2000-5)
by Martin, G.M. & Forbes, C.S. & Martin, V.L. - Parametric Pricing of Higher Order Moments in S&P500 Options (RePEc:msh:ebswps:2002-1)
by G.C. Lim & G.M. Martin & V.L. Martin - Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns (RePEc:msh:ebswps:2002-4)
by G.C. Lim & G.M. Martin & V.L. Martin - Implicit Bayesian Inference Using Option Prices (RePEc:msh:ebswps:2003-5)
by Gael M. Martin & Catherine S. Forbes & Vance L. Martin - Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms (RePEc:msh:ebswps:2003-6)
by David B. Flynn & Simone D. Grose & Gael M. Martin & Vance L. Martin - Hedging Supply Risks: An Optimal Water Portfolio (RePEc:oup:ajagec:v:98:y:2016:i:1:p:276-296.)
by Anke D. Leroux & Vance L. Martin - Transmission of Financial Crises and Contagion: A Latent Factor Approach (RePEc:oxp:obooks:9780199739837)
by Dungey, Mardi & Fry, Renee A. & Gonzalez-Hermosillo, Brenda & Martin, Vance L. - Weighted Monetary Aggregates: Empirical Evidence for Australia (RePEc:pal:palchp:978-0-230-28823-2_12)
by G. C. Lim & Vance L. Martin - Measuring Global Interest Rate Comovements with Implications for Monetary Policy Interdependence (RePEc:rba:rbaacp:acp2022-07)
by Renée Fry-McKibbin & Kate McKinnon & Vance L Martin - Sectoral Contagion: A Dynamic Factor Analysis of the Great Recession (RePEc:red:sed014:1087)
by Vance Martin & Nan Li - Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion? (RePEc:sae:ausman:v:28:y:2003:i:2:p:157-182)
by Mardi Dungey & Renee Fry & Vance L. Martin - A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis (RePEc:sae:emffin:v:3:y:2004:i:3:p:305-330)
by Mardi Dungey & Vance L. Martin - Modeling Multi-horizon Electricity Demand Forecasts in Australia: A Term Structure Approach (RePEc:sae:enejou:v:44:y:2023:i:3:p:251-266)
by Stan Hurn & Vance Martin & Jing Tian - A reexamination of the equity-premium puzzle: A robust non-parametric approach (RePEc:smu:ecowpa:0604)
by Maasoumi, Esfandiar & Lim, G.C. & Martin, Vance - Specification tests for univariate diffusions (RePEc:taf:emetrv:v:41:y:2022:i:6:p:607-632)
by Stan Hurn & Vance L. Martin & Lina Xu - Joint tests of contagion with applications (RePEc:taf:quantf:v:19:y:2019:i:3:p:473-490)
by Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin - Empirical modelling of contagion: a review of methodologies (RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24)
by Mardi Dungey & Renee Fry & Brenda Gonzalez-Hermosillo & Vance Martin - Correlation, Contagion, and Asian Evidence (RePEc:tpr:asiaec:v:5:y:2006:i:2:p:32-72)
by Mardi Dungey & Rene Fry & Vance L. Martin - Derivation of a Leading Index for the United States Using Kalman Filters (RePEc:tpr:restat:v:72:y:1990:i:4:p:657-63)
by Martin, Vance L - International Business Cycles and Financial Integration (RePEc:tpr:restat:v:77:y:1995:i:2:p:305-20)
by Bowden, Roger J & Martin, Vance L - Parametric pricing of higher order moments in S&P500 options (RePEc:wly:japmet:v:20:y:2005:i:3:p:377-404)
by G. C. Lim & G. M. Martin & V. L. Martin - Modeling time varying risk of natural resource assets: Implications of climate change (RePEc:wly:quante:v:13:y:2022:i:1:p:225-257)
by Anke D. Leroux & Vance L. Martin & Kathryn A. St. John