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Gael Margaret Martin

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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

Department of Econometrics and Business Statistics
Monash Business School
Monash University
Location: Melbourne, Australia
Homepage: http://www.buseco.monash.edu.au/ebs/
Email:
Phone: 03 990 52372
Fax: 03 990 55474
Postal: Room 674, Menzies Building, Wellington Road, Clayton, Victoria, 3168
Handle: RePEc:edi:dxmonau (more details at EDIRC)

Works

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Working papers

  1. D.S. Poskitt & Gael M. Martin & Simone D. Grose, 2012. "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap," Monash Econometrics and Business Statistics Working Papers 8/12, Monash University, Department of Econometrics and Business Statistics.
  2. D.S. Poskitt & Simone D. Grose & Gael M. Martin, 2012. "Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 9/12, Monash University, Department of Econometrics and Business Statistics.
  3. Jason Ng & Catherine S. Forbes & Gael M. Martin & Brendan P.M. McCabe, 2011. "Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models," Monash Econometrics and Business Statistics Working Papers 11/11, Monash University, Department of Econometrics and Business Statistics.
  4. Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes & Simone Grose, 2010. "Probabilistic Forecasts of Volatility and its Risk Premia," Monash Econometrics and Business Statistics Working Papers 22/10, Monash University, Department of Econometrics and Business Statistics.
  5. Brendan P.M. McCabe & Gael Martin & Keith Freeland, 2010. "A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data," Monash Econometrics and Business Statistics Working Papers 2/10, Monash University, Department of Econometrics and Business Statistics.
  6. Brendan P.M. McCabe & Gael M. Martin & David Harris, 2009. "Optimal Probabilistic Forecasts for Counts," Monash Econometrics and Business Statistics Working Papers 7/09, Monash University, Department of Econometrics and Business Statistics.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. 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.
  24. Antonio, J. & Martin, G., 2001. "Spot Market Competition with Stranded Costs in the Spanish Electricity Industry," Papers 0106, Centro de Estudios Monetarios Y Financieros-.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. 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. Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012. "Probabilistic forecasts of volatility and its risk premia," Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
  2. Brendan P. M. McCabe & Gael M. Martin & David Harris, 2011. "Efficient probabilistic forecasts for counts," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 73(2), pages 253-272, 03.
  3. Lahiri, Kajal & Martin, Gael, 2010. "Bayesian forecasting in economics," International Journal of Forecasting, Elsevier, vol. 26(2), pages 211-215, April.
  4. Gael Martin, 2010. "'The 21st Century Belongs to Bayes' Debate: Introduction," Review of Economic Analysis, Rimini Centre for Economic Analysis, vol. 2(2), pages 137-138, June.
  5. Gael M. Martin & Andrew Reidy & Jill Wright, 2009. "Does the option market produce superior forecasts of noise-corrected volatility measures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 77-104.
  6. 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.
  7. Feigin, Paul D. & Gould, Phillip & Martin, Gael M. & Snyder, Ralph D., 2008. "Feasible parameter regions for alternative discrete state space models," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 2963-2970, December.
  8. 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 & Francis Journals, vol. 26(2-4), pages 387-418.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. B. P. M. McCabe & G. M. Martin & A. R. Tremayne, 2005. "Assessing Persistence In Discrete Nonstationary Time-Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(2), pages 305-317, 03.
  14. Gael M. Martin & Catherine S. Forbes & Vance L. Martin, 2005. "Implicit Bayesian Inference Using Option Prices," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(3), pages 437-462, 05.
  15. 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.
  16. 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.
  17. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
  18. 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.
  19. G. M. Martin & C. S. Forbes, 1999. "Using simulation methods for bayesian econometric models: inference, development and communication: some comments," Econometric Reviews, Taylor & Francis Journals, vol. 18(1), pages 113-118.
  20. 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.

NEP Fields

21 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ARA: MENA - Middle East & North Africa (1) 2009-08-30
  2. NEP-CBA: Central Banking (1) 2006-06-10
  3. NEP-CFN: Corporate Finance (1) 2003-10-20
  4. NEP-CMP: Computational Economics (2) 2003-08-17 2003-09-28
  5. NEP-ECM: Econometrics (18) 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 2009-08-30 2010-04-17 2011-01-03 2012-05-02 2012-05-02. Author is listed
  6. NEP-ETS: Econometric Time Series (17) 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 2010-04-17 2011-01-03 2012-05-02 2012-05-02. Author is listed
  7. 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
  8. 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
  9. NEP-FOR: Forecasting (4) 2006-06-10 2007-06-11 2009-08-30 2011-01-03
  10. NEP-IFN: International Finance (1) 2002-08-08
  11. NEP-MST: Market Microstructure (2) 2006-12-22 2007-06-11
  12. NEP-ORE: Operations Research (1) 2011-01-03
  13. NEP-RMG: Risk Management (8) 2003-02-24 2003-02-24 2003-04-21 2003-09-28 2003-10-20 2006-06-10 2007-06-11 2011-01-03. Author is listed

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