Vance Martin

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 & Econometrics

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

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  |  Economic Record

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

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..

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..

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

BA Cardak, VL Martin, R McAllister

Journal article  |  2019  |  The 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 ..

A nonlinear model of asset returns with multiple shocks

H Kahra, VL Martin, S Sarkar

Journal article  |  2019  |  Studies in Nonlinear Dynamics & Econometrics

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

Stock Holding in the Presence of Financial Crises

Vance Martin, B Cardak, R McAllister

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

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

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, ..

Global and regional financial integration in East Asia and the ASEAN

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

Journal article  |  2018  |  The North American Journal of Economics and Finance

News and expected returns in East Asian equity markets: The RV-GARCHM model

VL Martin, C Tang, W Yao

Journal article  |  2018  |  Journal of Asian Economics

Using intraday data to construct realized variance estimates combined with daily data on equity returns from January 1996 to May 2..

Addressing water shortages by force of habit

Anke D Leroux, Vance L Martin, Hao Zheng

Journal article  |  2018  |  Resource and Energy Economics

Hedging Supply Risks: An Optimal Water Portfolio

AD Leroux, VL Martin

Journal article  |  2016  |  American Journal of Agricultural Economics

Although water supply diversification has been proposed as a solution to dwindling water reserves, the optimal mix of natural and ..

Stratifying herbivore fisheries by habitat to avoid ecosystem overfishing of coral reefs

PJ Mumby

Journal article  |  2014  |  Fish and Fisheries

Efficient method of moments estimators for integer time series models

VL Martin, AR Tremayne, RC Jung

Journal article  |  2014  |  Journal of Time Series Analysis

The parameters of integer autoregressive models with Poisson, or negative binomial innovations can be estimated by maximum likelih..

Financial contagion and asset pricing

Renee Fry-McKibbin, Vance L Martin, Chrismin Tang

Journal article  |  2014  |  JOURNAL OF BANKING & FINANCE

Modelling nonlinearities in equity returns: the mean impact curve analysis

Vance L Martin, Saikat Sarkar, Antti Jaakko Kanto

Journal article  |  2014  |  Studies in Nonlinear Dynamics & Econometrics

Microblogging and Life Changes: An Ethnographic and Statistical Analysis of Young Adults

VL MARTIN, X Chen, M Berry

Conference Proceedings  |  2014  |  The Asian Conference on Media & Mass Communication 2014. Osaka, Japan. Official Conference Proceedings.

Microblogging has revolutionized people's interaction on the web. This paper investigates the changes in the microblogging practic..

Intergenerational earnings mobility: A new decomposition of investment and endowment effects

Buly A Cardak, David W Johnston, Vance L Martin

Journal article  |  2013  |  Labour Economics

Dynamic letter volume models: how does an economic downturn affect substitution propensities?

Vance L Martin, Chris J Paterson, Heikki Nikali, Qiubang Li

Book Chapter  |  2013

Forecasting letter volumes: augmenting econometric baseline projections

Vance L Martin, Chris Paterson, Jessie Xiaokang Wang

Conference Proceedings  |  2012  |  Multi-modal Competition and the Future of Mail

Contagion and the Transmission of Financial Crises

M Dungey, RA Fry, B González-hermosillo, VL Martin, C Tang

Book Chapter  |  2011

Transmission of Financial Crises and Contagion

M Dungey, R Fry, B Gonzalez-Hermosillo, VL Martin, C Tang

Book  |  2011

Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy?

Renee A Fry, Vance L Martin, Nicholas Voukelatos

Journal article  |  2010  |  The Economic Record

A New Class of Tests of Contagion With Applications

Renee Fry, Vance L Martin, Chrismin Tang

Journal article  |  2010  |  JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Econometric modelling with time series: Specification, estimation and testing

V Martin, S Hurn, D Harris

Book  |  2010

Optimal conservation, extinction debt, and the augmented quasi-option value

Anke D Leroux, Vance L Martin, Timo Goeschl

Journal article  |  2009  |  Journal of Environmental Economics and Management

Interest Rate Conundrum

Roger Craine, Vance L Martin

Journal article  |  2009  |  BE Journal of Macroeconomics

International monetary policy surprise spillovers

Roger Craine, Vance L Martin

Journal article  |  2008  |  JOURNAL OF INTERNATIONAL ECONOMICS

The Role of Portfolio Shocks in a Structural Vector Autoregressive Model of the Australian Economy

RENÉE FRY, JAMES HOCKING, VANCE L MARTIN

Journal article  |  2008  |  Economic Record

The role of portfolio shocks in a structural vector autoregressive model of the Australian economy

Rene Fry, James Hocking, Vance L Martin

Journal article  |  2008  |  Economic Record

Computing the distributions of economic models via simulation

John Stachurski, Vance Martin

Report  |  2008  |  Econometrica: journal of the Econometric Society

Computing the Distributions of Economic Models via Simulation

J Stachurski, V MARTIN

Journal article  |  2008  |  Econometrica

Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises

M Dungey, R Fry, B González-Hermosillo, VL Martin

Journal article  |  2007  |  North American Journal of Economics and Finance

Unravelling financial market linkages during crises

Mardi Dungey, Vance L Martin

Journal article  |  2007  |  JOURNAL OF APPLIED ECONOMETRICS

A reexamination of the equity-premium puzzle: A robust non-parametric approach

GC Lim, E Maasoumi, VL Martin

Journal article  |  2006  |  North American Journal of Economics and Finance

Pricing currency options in the presence of time-varying volatility and non-normalities

GC Lim, GM Martin, VL Martin

Journal article  |  2006  |  Journal of Multinational Financial Management

Contagion in international bond markets during the Russian and the LTCM crises

M Dungey, R Fry, B González-Hermosillo, V Martin

Journal article  |  2006  |  Journal of Financial Stability

Correlation, Contagion and Asian Evidence

R Fry, M Dungey, V MARTIN

Journal article  |  2006  |  Asian Economic Papers

Implicit Bayesian inference using option prices

GM Martin, CS Forbes, VL Martin

Journal article  |  2005  |  Journal of Time Series Analysis

Pricing Australian S&P200 options: A Bayesian approach based on generalized distributional forms

DB Flynn, SD Grose, GM Martin, VL Martin

Journal article  |  2005  |  Australian & New Zealand Journal of Statistics

Parametric pricing of higher order moments in S&P500 options

GC Lim, GM Martin, VL Martin

Journal article  |  2005  |  Journal of Applied Econometrics

Empirical modelling of contagion: a review of methodologies

M Dungey, R Fry, B Gonzalez-Hermosillo, VL Martin

Journal article  |  2005  |  Quantitative Finance

A comparison of alternative tests of contagion with applications

M DUNGEY, R FRY, B GONZALEZ-HERMOSILLO, VL MARTIN

Book Chapter  |  2005

Currency market contagion in the Asia-Pacific region

M DUNGEY, R FRY, VL MARTIN

Journal article  |  2004  |  Australian Economic Papers

Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002

M Dungey, R Fry, VL Martin

Journal article  |  2004  |  Global Finance Journal

A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis

M Dungey, VL Martin

Journal article  |  2004  |  Journal of Emerging Market Finance

Empirical Modelling of Contagion: A Review of Methodologies

M Dungey, R Fry, B Gonzalez-Hermisillo, V MARTIN

Report  |  2003

Characterising Global Risk Aversion for Emerging Markets During Financial Crises

M Dungey, R Fry, B Gonzalez-Hermisillo, V MARTIN

Report  |  2003

On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential equations

AS Hurn, KA Lindsay, VL Martin

Journal article  |  2003  |  Journal of Time Series Analysis

Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?

M Dungey, R Fry, VL Martin

Journal article  |  2003  |  Australian Journal of Management

Unanticipated shocks and systemic influences: the impact of contagion in global equity in 1998

M DUNGEY, R FRY, B GONZALEZ-HERMOSILLO, VL MARTIN

Report  |  2003

A Non-linear Model of the Real US/UK Exchange Rate

J CREEDY, J LYE, V MARTIN

Book Chapter  |  2002

International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse

M Dungey, R Fry, B Gonzalez-Hermisillo, V MARTIN

Report  |  2002

A Labour Market Equilibrium Model of the Personal Distribution of Earnings

J LYE, V MARTIN, J CREEDY

Book Chapter  |  2002

Contagion in the East Asian currency crisis.

M DUNGEY, VL MARTIN

Book Chapter  |  2001

Bayesian inference in the triangular cointegration model using a Jeffreys prior

GM Martin, VL Martin

Journal article  |  2000  |  Communications in Statistics - Theory and Methods

A multivariate latent factor decomposition of international bond yield spreads

M Dungey, VL Martin, AR Pagan

Journal article  |  2000  |  Journal of Applied Econometrics

Indirect estimation of ARFIMA and VARFIMA models

VL Martin, NP Wilkins

Journal article  |  1999  |  Journal of Econometrics

The distribution of exchange rate returns and the pricing of currency options

GC Lim, JN Lye, GM Martin, VL Martin

Journal article  |  1998  |  Journal of International Economics

Endogenous jumping and asset price dynamics

GC Lim, VL Martin, LE Teo

Journal article  |  1998  |  Macroeconomic Dynamics

4 Modeling the term structure

AR Pagan, AD Hall, V Martin

Book  |  1996  |  Handbook of Statistics -Amsterdam-

Regression-based cointegration estimators with applications

GC Lim, VL Martin

Journal article  |  1995  |  Journal of Economic Studies

AUSTRALIAN SHORT‐TERM INTEREST RATES: AN EMPIRICAL ANALYSIS OF THE TRANSMISSION PROCESS, 1988–1991*

GC LIM, VL MARTIN

Journal article  |  1994  |  Australian Economic Papers

NON‐LINEAR TIME SERIES MODELLING AND DISTRIBUTIONAL FLEXIBILITY

JN Lye, VL Martin

Journal article  |  1994  |  Journal of Time Series Analysis

A MODEL OF THE DISTRIBUTION OF PRICES1

J Creedy, VL Martin

Journal article  |  1994  |  Oxford Bulletin of Economics and Statistics

Multiple equilibria and hysteresis in simple exchange models

J Creedy, V Martin

Journal article  |  1993  |  Economic Modelling

A FLEXIBLE PARAMETRIC DENSITY ESTIMATOR FOR MULTIMODAL DISTRIBUTIONS OF TEST STATISTICS

JN LYE, VL MARTIN

Journal article  |  1993  |  Communications in Statistics - Simulation and Computation

THRESHOLD TIME SERIES MODELS AS MULTIMODAL DISTRIBUTION JUMP PROCESSES

VL Martin

Journal article  |  1992  |  Journal of Time Series Analysis

NO, BUSINESS CYCLES ARE NOT ALL ALIKE: THE UNITED STATES AND AUSTRALIA COMPARED

RJ BOWDEN, VL MARTIN

Journal article  |  1992  |  Australian Economic Papers

TESTING THE CAUSAL PROPERTIES OF ECONOMIC THEORIES: AN APPLICATION TO A SMALL AUSTRALIAN MACROECONOMIC MODEL

VL MARTIN

Journal article  |  1992  |  Australian Economic Papers

WEIGHTED MONETARY AGGREGATES: AN EMPIRICAL STUDY USING AUSTRALIAN MONETARY DATA, 1969–1987

J HORNE, VL MARTIN

Journal article  |  1989  |  Australian Economic Papers

Exchange rate indicators and optimal currency baskets: A macroeconomic analysis with application to developing countries

J Horne, V Martin

Journal article  |  1989  |  Applied Economics

An Investigation into the Major Causes 01 Australia's Recent Inflation and Some Policy Implications

EA BOEHM, VL MARTIN

Journal article  |  1989  |  Economic Record

LEADS AND LAGS IN THE AUSTRALIAN BUSINESS CYCLE: A CANONICAL APPROACH IN THE FREQUENCY DOMAIN

VL MARTIN

Journal article  |  1987  |  Australian Economic Papers

Asset Substitution and Aggregate Liquidity in Australia: 1969–1983

J HORNE, V MARTIN, S BONETTI

Journal article  |  1986  |  Economic Record