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Vance Lindsay Martin

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Personal Details

First Name:Vance
Middle Name:Lindsay
Last Name:Martin
Suffix:
RePEc Short-ID:pma552
[This author has chosen not to make the email address public]
Melbourne, Australia
http://www.economics.unimelb.edu.au/

: + 61 3 9344 5289
+ 61 3 9344 6899
University of Melbourne VIC 3010
RePEc:edi:demelau (more details at EDIRC)
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  1. Renée Fry-McKibbin & Vance Martin & Chrismin Tang, 2013. "Financial Contagion and Asset Pricing," CAMA Working Papers 2013-61, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  2. Vance Martin & Yoshihiko Nishiyama & John Stachurski, 2011. "A Goodness of Fit Test for Ergodic Markov Processes," ANU Working Papers in Economics and Econometrics 2011-557, Australian National University, College of Business and Economics, School of Economics.
  3. Chrismin Tang & Mardi Dungey & Vance Martin & Brenda Gonzalez-Hermosillo & Renee Fry, 2010. "Are Financial Crises Alike?," IMF Working Papers 10/14, International Monetary Fund.
    • MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang, 2008. "Are Financial Crises Alike?," CAMA Working Papers 2008-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  4. Renee A. Fry & Vance L. Martin & Nicholas Voukelatos, 2009. "Overvaluation In Australian Housing And Equity Markets: Wealth Effects Or Monetary Policy?," CAMA Working Papers 2009-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  5. Renee Fry & Vance L. Martin & Chrismin Tang, 2008. "A New Class Of Tests Of Contagion With Applications To Real Estate Markets," CAMA Working Papers 2008-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. Maasoumi, Esfandiar & Lim, G.C. & Martin, Vance, 2006. "A reexamination of the equity-premium puzzle: A robust non-parametric approach," Departmental Working Papers 0604, Southern Methodist University, Department of Economics.
  7. Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin, 2005. "Shocks And Systemic Influences: Contagion In Global Equity Markets In 1998," CAMA Working Papers 2005-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  8. Vance L. Martin & Brenda Gonzalez-Hermosillo, & Mardi Dungey & Renee A. Fry, 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Australasian Meetings 243, Econometric Society.
  9. Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
  10. 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.
  11. 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.
  12. Brenda Gonzalez-Hermosillo & Vance Martin & Mardi Dungey & Renee Fry, 2003. "Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises," IMF Working Papers 03/251, International Monetary Fund.
  13. Brenda Gonzalez-Hermosillo & Vance Martin & Renee Fry & Mardi Dungey, 2003. "Unanticipated Shocks and Systemic Influences; The Impact of Contagion in Global Equity Markets in 1998," IMF Working Papers 03/84, International Monetary Fund.
  14. 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.
  15. Renee Fry & Vance Martin & Brenda Gonzalez-Hermosillo & Mardi Dungey, 2002. "International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse," IMF Working Papers 02/74, International Monetary Fund.
  16. 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.
  17. 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.
  18. Martin, V.L. & Wilkins, N.P., 1997. "Indirect Estimation of Arfima and Varfima Models," Department of Economics - Working Papers Series 547, The University of Melbourne.
  19. Pagan, A.R. & Hall, A.D. & Martin, V., 1995. "Modelling the Term Structure," Papers 284, Australian National University - Department of Economics.
  20. Lim, G.C. & Martin, V.L., 1995. "Testingh Speculative Efficiency: Pitfalls, Puzzles and Parametrics," Department of Economics - Working Papers Series 482, The University of Melbourne.
  21. Clarke, H.R. & Martin, V.L., 1995. "Does Capital Chase Labour Internationally," Department of Economics - Working Papers Series 447, The University of Melbourne.
  22. Lim, G.C. & Martin, V.L., 1995. "A Nonlinear Characterization of Asset Dynamics with an Application to the 1987 Stock Market Crash," Department of Economics - Working Papers Series 483, The University of Melbourne.
  1. Renée A. Fry & Vance L. Martin & Nicholas Voukelatos, 2010. "Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy?," The Economic Record, The Economic Society of Australia, vol. 86(275), pages 465-485, December.
  2. Fry, Renée & Martin, Vance L. & Tang, Chrismin, 2010. "A New Class of Tests of Contagion With Applications," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(3), pages 423-437.
  3. Leroux, Anke D. & Martin, Vance L. & Goeschl, Timo, 2009. "Optimal conservation, extinction debt, and the augmented quasi-option value," Journal of Environmental Economics and Management, Elsevier, vol. 58(1), pages 43-57, July.
  4. Craine Roger & Martin Vance L, 2009. "Interest Rate Conundrum," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-29, March.
  5. John Stachurski & Vance Martin, 2008. "Computing the Distributions of Economic Models via Simulation," Econometrica, Econometric Society, vol. 76(2), pages 443-450, 03.
  6. Renee Fry & James Hocking & Vance L. Martin, 2008. "The Role of Portfolio Shocks in a Structural Vector Autoregressive Model of the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 84(264), pages 17-33, 03.
  7. Craine, Roger & Martin, Vance L., 2008. "International monetary policy surprise spillovers," Journal of International Economics, Elsevier, vol. 75(1), pages 180-196, May.
  8. Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance L., 2007. "Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises," The North American Journal of Economics and Finance, Elsevier, vol. 18(2), pages 155-174, August.
  9. Vance L. Martin & Mardi Dungey, 2007. "Unravelling financial market linkages during crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 89-119.
  10. Mardi Dungey & Renée Fry & Vance L. Martin, 2006. "Correlation, Contagion, and Asian Evidence," Asian Economic Papers, MIT Press, vol. 5(2), pages 32-72, June.
  11. Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance, 2006. "Contagion in international bond markets during the Russian and the LTCM crises," Journal of Financial Stability, Elsevier, vol. 2(1), pages 1-27, April.
  12. 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.
  13. Lim, G.C. & Maasoumi, Esfandiar & Martin, Vance L., 2006. "A reexamination of the equity-premium puzzle: A robust non-parametric approach," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 173-189, August.
  14. Mardi Dungey & Renee Fry & Brenda Gonzalez-Hermosillo & Vance Martin, 2005. "Empirical modelling of contagion: a review of methodologies," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 9-24.
  15. 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.
  16. 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.
  17. Mardi Dungey & Renee Fry & Vance L. Martin, 2004. "Currency Market Contagion In The Asia-Pacific Region," Australian Economic Papers, Wiley Blackwell, vol. 43(4), pages 379-395, December.
  18. Dungey, Mardi & Fry, Renee & Martin, Vance L., 2004. "Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002," Global Finance Journal, Elsevier, vol. 15(1), pages 81-102.
  19. A. S. Hurn & K. A. Lindsay & V. L. Martin, 2003. "On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 45-63, 01.
  20. Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715.
  21. Martin, Vance L. & Wilkins, Nigel P., 1999. "Indirect estimation of ARFIMA and VARFIMA models," Journal of Econometrics, Elsevier, vol. 93(1), pages 149-175, November.
  22. 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.
  23. Martin, Vance L., 1998. "Econometric Society Australasian Meetings 1997 (ESAM97)," Econometric Theory, Cambridge University Press, vol. 14(06), pages 800-801, December.
  24. Creedy, John & Martin, Vance L, 1998. "Nonlinear Modelling Using the Generalized Exponential Family of Distributions," Bulletin of Economic Research, Wiley Blackwell, vol. 50(3), pages 229-55, July.
  25. Lim, G. C. & Martin, Vance L. & Teo, Leslie E., 1998. "Endogenous Jumping And Asset Price Dynamics," Macroeconomic Dynamics, Cambridge University Press, vol. 2(02), pages 213-237, June.
  26. Creedy, John & Lye, Jenny & Martin, Vance L, 1996. "A Non-linear Model of the Real US-UK Exchange Rate," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 669-86, Nov.-Dec..
  27. Bowden, Roger J & Martin, Vance L, 1995. "International Business Cycles and Financial Integration," The Review of Economics and Statistics, MIT Press, vol. 77(2), pages 305-20, May.
  28. G.C. Lim & Vance L. Martin, 1995. "Regression-based cointegration estimators with applications," Journal of Economic Studies, Emerald Group Publishing, vol. 22(1), pages 3-22, January.
  29. Creedy, John & Martin, Vance L, 1994. "A Model of the Distribution of Prices," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(1), pages 67-76, February.
  30. Lim, G C & Martin, Vance L, 1994. "Australian Short-Term Interest Rates: An Empirical Analysis of the Transmission Process, 1988-1991," Australian Economic Papers, Wiley Blackwell, vol. 33(62), pages 75-95, June.
  31. Lim, G C & Martin, Vance L, 1994. "A Spectral-Temporal Index with an Application to U.S. Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(1), pages 81-93, January.
  32. Creedy, John & Martin, Vance, 1993. "Multiple equilibria and hysteresis in simple exchange models," Economic Modelling, Elsevier, vol. 10(4), pages 339-347, October.
  33. Bowden, Roger J & Martin, Vance L, 1992. "No, Business Cycles Are Not All Alike: The United States and Australia Compared," Australian Economic Papers, Wiley Blackwell, vol. 31(59), pages 385-98, December.
  34. Martin, Vance L, 1992. "Testing the Causal Properties of Economic Theories: An Application to a Small Australian Macroeconomic Model," Australian Economic Papers, Wiley Blackwell, vol. 31(58), pages 1-19, June.
  35. Martin, Vance L, 1990. "Derivation of a Leading Index for the United States Using Kalman Filters," The Review of Economics and Statistics, MIT Press, vol. 72(4), pages 657-63, November.
  36. Horne, Jocelyn & Martin, Vance L, 1989. "Weighted Monetary Aggregates: An Empirical Study Using Australian Monetary Data, 1969-1987," Australian Economic Papers, Wiley Blackwell, vol. 28(53), pages 181-200, December.
  37. Boehm, Ernst A & Martin, Vance L, 1989. "An Investigation into the Major Causes of Australia's Recent Inflation and Some Policy Implications," The Economic Record, The Economic Society of Australia, vol. 65(188), pages 1-15, March.
  38. Martin, Vance L, 1987. "Leads and Lags in the Australian Business Cycle: A Canonical Approach in the Frequency Domain," Australian Economic Papers, Wiley Blackwell, vol. 26(49), pages 188-96, December.
  39. Horne, Jocelyn & Martin, Vance & Bonetti, Shane, 1986. "Asset Substitution and Aggregate Liquidity in Australia: 1969-1983," The Economic Record, The Economic Society of Australia, vol. 62(176), pages 22-36, March.
  1. Martin,Vance & Hurn,Stan & Harris,David, 2013. "Econometric Modelling with Time Series," Cambridge Books, Cambridge University Press, number 9780521196604, Junio.
  2. Dungey, Mardi & Fry, Renee A. & Gonzalez-Hermosillo, Brenda & Martin, Vance L., 2011. "Transmission of Financial Crises and Contagion: A Latent Factor Approach," OUP Catalogue, Oxford University Press, number 9780199739837, December.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 18 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (7) 2002-04-25 2002-04-25 2003-02-24 2003-02-24 2005-10-22 2007-01-13 2010-01-30. Author is listed
  2. NEP-FIN: Finance (6) 2002-08-08 2003-02-24 2003-02-24 2003-06-04 2004-10-30 2005-10-22. Author is listed
  3. NEP-IFN: International Finance (5) 2002-08-08 2004-04-18 2004-10-30 2004-10-30 2008-07-20. Author is listed
  4. NEP-ECM: Econometrics (4) 2002-08-10 2003-02-26 2005-10-22 2011-10-22
  5. NEP-CIS: Confederation of Independent States (2) 2011-10-22 2011-10-22
  6. NEP-ETS: Econometric Time Series (2) 2002-04-25 2002-08-08
  7. NEP-RMG: Risk Management (2) 2003-02-24 2003-02-24
  8. NEP-CBA: Central Banking (1) 2008-07-20
  9. NEP-CFN: Corporate Finance (1) 2004-10-30
  10. NEP-MAC: Macroeconomics (1) 2009-06-10
  11. NEP-MON: Monetary Economics (1) 2009-06-10
  12. NEP-PKE: Post Keynesian Economics (1) 2004-10-30
  13. NEP-URE: Urban & Real Estate Economics (1) 2008-02-02
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