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Prof

Vance Martin

Chair Of Econometrics
Economics
business & economics
economics
social sciences
science & technology
mathematical methods in social sciences
social sciences, mathematical methods
physical sciences
volatility
mathematics
Vance Martin's Profile Picture
Prof

Vance Martin

 
Division
Business and Economics
Vance Martin's Profile Picture
Prof

Vance Martin

 
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Projects

Displaying the 6 most recent projects from 6 for Vance Martin.

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Asset Market Interconnectedness and Exotic Options: The Mean Impact Surface

The project intends to develop models to price financial risk more accurately during periods of financial stress and increasing global inter..

2016 - 2020
Completed
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Dynamic Count Models of Financial Contagion with Applications to Global Banking and Currency Crises

An international model of contagion and interconnectedness is developed and applied using annual time series on banking and currency crises ..

2014 - 2017
Completed
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The US Interest Rate Conundrum and its Implications for Australia

The project generalises existing factor models of interest rates. The project will result in several benefits nationally as well as internat..

2009 - 2014
Completed
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WHY POORER STUDENTS ARE LESS LIKELY TO GO TO UNIVERSITY: THEORETICAL AND EMPIRICAL EVIDENCE FOR AUSTRALIA WITH IMPLICATIONS FOR POLICY

This project will improve our understanding of the factors that lead to the under-representation of low income students in universities in A..

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MODELLING THE TRANSMISSION OF INTERNATIONAL MONETARY POLICY SHOCKS: IMPLICATIONS FOR AUSTRALIAN ASSET MARKETS

Three main outcomes of the project are as follows. First, the relative strengths of the transmission mechanisms linking monetary policy and ..

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A Multivariate Dynamic Factor Model of the Australian Business Cycle: Specification, Estimation and Empirical Results

The project aims to extend greatly existing models of national and international business cycles by developing a general class of dynamic fa..

6

Projects

Project Types

5

Research Grant

1

Research Contracts

Scholarly Works

Displaying the 10 most recent scholarly works from 89 for Vance Martin.

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Forecasting the volatility of asset returns: The informational gains from option prices

Vance L Martin, Chrismin Tang, Wenying Yao

Journal article  |  2021  |  INTERNATIONAL JOURNAL OF FORECASTING

A new class of forecasting models is proposed that extends the realized GARCH class of models through the inclusion of option pric..

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Measuring financial interdependence in asset markets with an application to eurozone equities

Renee Fry-McKibbin, Cody Yu-Ling Hsiao, Vance L Martin

Journal article  |  2021  |  JOURNAL OF BANKING & FINANCE

A general measure of asset market interdependence based on higher order comoments is developed and applied to studying weekly U.S...

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A threshold mixed count time series model: Estimation and application

M Dungey, VL Martin, C Tang, A Tremayne

Journal article  |  2020  |  Studies in Nonlinear Dynamics and Econometrics

A new class of integer time series models is proposed to capture the dynamic transmission of count processes over time. The approa..

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Once in a Lifetime? The Effects of the Global Financial Crisis on Household Willingness to Take Financial Risk

Buly A Cardak, Vance L Martin

Journal article  |  2019  |  The Economic Record

We investigate the effect of the global financial crisis (GFC) on household willingness to take risk. A model incorporating experi..

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Real sectoral spillovers: A dynamic factor analysis of the great recession

N Li, VL Martin

Journal article  |  2019  |  Journal of Monetary Economics

Dynamic factor methods are used to identify the impact of common and idiosyncratic shocks on sixteen U.S. nonfarm business sectors..

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The effects of the Global Financial Crisis on the stock holding decisions of Australian households

BA Cardak, VL Martin, R McAllister

Journal article  |  2019  |  North American Journal of Economics and Finance

The effects of financial crises on the stock market participation and portfolio allocation decisions of Australian households are ..

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Coastal dynamics and adaptation to uncertain sea level rise: Optimal portfolios for salt marsh migration

OD Vinent, RJ Johnston, ML Kirwan, AD Leroux, VL Martin

Journal article  |  2019  |  Journal of Environmental Economics and Management

The sustainability of dynamic natural systems often depends on their capacity to adapt to uncertain climate-related changes, where..

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A nonlinear model of asset returns with multiple shocks

H Kahra, VL Martin, S Sarkar

Journal article  |  2019  |  Studies in Nonlinear Dynamics and Econometrics

A nonlinear model of asset returns allowing for multiple shocks is specified. The nonlinear features of the model are demonstrated..

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The Count of Monte Carlo: Analyzing Banking Crises, 1800-2010

V Martin, C Tang, A Tremayne, M Dungey

Journal article  |  2019  |  Studies in Nonlinear Dynamics and Econometrics

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Joint tests of contagion with applications

R Fry-McKibbin, CYL Hsiao, VL Martin

Journal article  |  2019  |  Quantitative Finance

Joint tests of contagion are derived which are designed to have power where contagion operates simultaneously through coskewness, ..

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Scholarly Works

Keyword Analysis

Econometrics
Applied Economics
Macroeconomics
Other Economic Framework
Measurement Standards and Calibration Services
Banking, Finance and Investment
International Trade Policy
Microeconomics
Financial Services
Other Information and Communication Services

Credentials

Positions

Chair Of Econometrics

Economics

Education

Bachelor of Science

University of Melbourne

Master of Economics

University of Melbourne

Doctor of Philosophy

Monash University

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