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Information about:
Gael Margaret Martin

Personal Details | Affiliation | Works
This is information that was supplied by Gael Martin in registering through RePEc. If you are Gael Margaret Martin , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Gael
Middle Name: Margaret
Last Name: Martin
Suffix:

RePEc Short-ID: pma416

Email: [This author has chosen not to make the email address public]
Homepage: http://www-personal.buseco.monash.edu.au/%7Egmartin/
Postal Address:
Phone:

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Ralph D. Snyder & Gael M. Martin & Phillip Gould & Paul D. Feigin, 2007. "An Assessment of Alternative State Space Models for Count Time Series," Monash Econometrics and Business Statistics Working Papers 4/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

  2. Gael M. Martin & Andrew Reidy & Jill Wright, 2007. "Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?," Monash Econometrics and Business Statistics Working Papers 5/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

  3. Gael M. Martin & Andrew Reidy & Jill Wright, 2006. "Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility," Monash Econometrics and Business Statistics Working Papers 10/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

  4. Chris M Strickland & Gael Martin & Catherine S Forbes, 2006. "Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models," Monash Econometrics and Business Statistics Working Papers 22/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    Published as:

  5. Gael Martin & Chris Strickland & Catherine Forbes, 2004. "Bayesian Estimation of Non-Gausian Time Series with Applicaitons to Transaction Data," Econometric Society 2004 Australasian Meetings 324, Econometric Society.

  6. Andrew D. Sanford & Gael Martin, 2004. "Bayesian Analysis of Continuous Time Models of the Australian Short Rate," Monash Econometrics and Business Statistics Working Papers 11/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

  7. B.P.M. McCabe & G.M. Martin & R.K. Freeland, 2004. "Testing for Dependence in Non-Gaussian Time Series Data," Monash Econometrics and Business Statistics Working Papers 13/04, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    Other versions:

  8. B.P.M. McCabe & G.M. Martin, 2003. "Coherent Predictions of Low Count Time Series," Monash Econometrics and Business Statistics Working Papers 8/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

  9. David B. Flynn & Simone D. Grose & Gael M. Martin & Vance L. Martin, 2003. "Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms," Monash Econometrics and Business Statistics Working Papers 6/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

  10. B.P.M. McCabe & G.M. Martin & A.R. Tremayne, 2003. "Persistence and Nonstationary Models," Monash Econometrics and Business Statistics Working Papers 16/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

  11. Andrew D. Sanford & Gael M. Martin, 2003. "Simulation-Based Bayesian Estimation of Affine Term Structure Models," Monash Econometrics and Business Statistics Working Papers 15/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

  12. Chris M. Strickland & Catherine S. Forbes & Gael M. Martin, 2003. "Bayesian Analysis of the Stochastic Conditional Duration Model," Monash Econometrics and Business Statistics Working Papers 14/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    Published as:

  13. Catherine S. Forbes & Gael M. Martin & Jill Wright, 2003. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter," Monash Econometrics and Business Statistics Working Papers 17/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

  14. Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2003. "Implicit Bayesian Inference Using Option Prices," Monash Econometrics and Business Statistics Working Papers 5/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    Other versions:
    Published as:

  15. C.S. Forbes & G.M. Martin & J. Wright, 2002. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices," Monash Econometrics and Business Statistics Working Papers 2/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

  16. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns," Monash Econometrics and Business Statistics Working Papers 4/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]

  17. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers 1/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    Published as:

  18. Antonio, J. & Martin, G., 2001. "Spot Market Competition with Stranded Costs in the Spanish Electricity Industry," Papers 0106, Centro de Estudios Monetarios Y Financieros-.

  19. Martin, G.M., 1998. "U.S. Deficit Sustainability: A New Approach Based on Multiple Endogenous Breaks," Monash Econometrics and Business Statistics Working Papers 1/98, Monash University, Department of Econometrics and Business Statistics.
    Published as:

  20. Martin, G.M., 1997. "Fractional Cointegration : Bayesian Inferences Using a Jeffreys Prior," Monash Econometrics and Business Statistics Working Papers 5/97, Monash University, Department of Econometrics and Business Statistics.

  21. Martin, G.M. & Martin, V.L., 1997. "Private and Public Consumption Expenditure Substitutability : Bayesian Estimates for the G7 Countries," Monash Econometrics and Business Statistics Working Papers 4/97, Monash University, Department of Econometrics and Business Statistics.

  22. Martin, G., 1995. "Fractional Cointegration: A Bayesian Aproach," Monash Econometrics and Business Statistics Working Papers 17/95, Monash University, Department of Econometrics and Business Statistics.

  23. Martin, G., 1995. "Bayesian Analysis of a Cointegration Model Using Markov Chain Monte Carlo," Monash Econometrics and Business Statistics Working Papers 16/95, Monash University, Department of Econometrics and Business Statistics.

Articles

  1. Strickland, Chris M. & Martin, Gael M. & Forbes, Catherine S., 2008. "Parameterisation and efficient MCMC estimation of non-Gaussian state space models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2911-2930, February. [Downloadable!] (restricted)
    Other versions:

  2. Catherine S. Forbes & Gael M. Martin & Jill Wright, 2007. "Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter," Econometric Reviews, Taylor and Francis Journals, vol. 26(2-4), pages 387-418. [Downloadable!] (restricted)

  3. Andrew D. Sanford & Gael M. Martin, 2006. "Bayesian comparison of several continuous time models of the Australian short rate," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(2), pages 309-326. [Downloadable!] (restricted)

  4. Strickland, Chris M. & Forbes, Catherine S. & Martin, Gael M., 2006. "Bayesian analysis of the stochastic conditional duration model," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2247-2267, May. [Downloadable!] (restricted)
    Other versions:

  5. Lim, G.C. & Martin, G.M. & Martin, V.L., 2006. "Pricing currency options in the presence of time-varying volatility and non-normalities," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 291-314, July. [Downloadable!] (restricted)

  6. Sanford, Andrew D. & Martin, Gael M., 2005. "Simulation-based Bayesian estimation of an affine term structure model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 527-554, April. [Downloadable!] (restricted)

  7. B. P. M. McCabe & G. M. Martin & A. R. Tremayne, 2005. "Assessing Persistence In Discrete Nonstationary Time-Series Models," Journal of Time Series Analysis, Blackwell Publishing, vol. 26(2), pages 305-317, 03. [Downloadable!] (restricted)

  8. V. L. Martin & G. M. Martin & G. C. Lim, 2005. "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 377-404. [Downloadable!]
    Other versions:

  9. Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2005. "Implicit Bayesian Inference Using Option Prices," Journal of Time Series Analysis, Blackwell Publishing, vol. 26(3), pages 437-462, 05. [Downloadable!] (restricted)
    Other versions:

  10. McCabe, B.P.M. & Martin, G.M., 2005. "Bayesian predictions of low count time series," International Journal of Forecasting, Elsevier, vol. 21(2), pages 315-330. [Downloadable!] (restricted)

  11. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor and Francis Journals, vol. 20(2), pages 217-234. [Downloadable!] (restricted)

  12. Gael M. Martin, 2000. "US deficit sustainability: a new approach based on multiple endogenous breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 83-105. [Downloadable!]
    Other versions:

  13. G. M. Martin & C. S. Forbes, 1999. "Using simulation methods for bayesian econometric models: inference, development and communication: some comments," Econometric Reviews, Taylor and Francis Journals, vol. 18(1), pages 113-118. [Downloadable!] (restricted)

  14. Lim, G. C. & Lye, J. N. & Martin, G. M. & Martin*, V. L., 1998. "The distribution of exchange rate returns and the pricing of currency options," Journal of International Economics, Elsevier, vol. 45(2), pages 351-368, August. [Downloadable!] (restricted)

NEP Fields

16 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2006-06-10
  2. NEP-CFN: Corporate Finance (1) 2003-10-20
  3. NEP-CMP: Computational Economics (2) 2003-08-17 2003-09-28
  4. NEP-ECM: Econometrics (13) 2002-04-25 2002-08-10 2003-02-26 2003-04-24 2003-08-17 2003-09-28 2003-09-28 2003-10-20 2004-05-09 2004-06-22 2004-10-30 2006-12-22 2007-05-12 Author is listed
  5. NEP-ETS: Econometric Time Series (13) 2002-04-25 2002-04-25 2002-08-08 2003-04-21 2003-09-28 2003-09-28 2003-10-20 2004-06-22 2004-10-30 2006-06-10 2006-12-22 2007-05-12 2007-06-11 Author is listed
  6. NEP-FIN: Finance (7) 2002-08-08 2003-02-24 2003-02-24 2003-09-28 2004-05-09 2004-10-30 2006-06-10 Author is listed
  7. NEP-FMK: Financial Markets (7) 2002-04-25 2002-04-25 2002-04-25 2003-02-24 2003-02-24 2003-10-20 2006-06-10 Author is listed
  8. NEP-FOR: Forecasting (2) 2006-06-10 2007-06-11
  9. NEP-IFN: International Finance (1) 2002-08-08
  10. NEP-MST: Market Microstructure (2) 2006-12-22 2007-06-11
  11. NEP-RMG: Risk Management (7) 2003-02-24 2003-02-24 2003-04-21 2003-09-28 2003-10-20 2006-06-10 2007-06-11 Author is listed
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This page was last updated on 2008-7-18.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.