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Vance Lindsay Martin

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Personal Details

First Name: Vance
Middle Name: Lindsay
Last Name: Martin
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RePEc Short-ID: pma552

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This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages

Works

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

Working papers

  1. 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, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

  2. 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, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

  3. MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang, 2008. "Are Financial Crises Alike?," CAMA Working Papers 2008-15, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

  4. 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. [Downloadable!]
    Published as:

  5. 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, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

  6. Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society. [Downloadable!]

  7. Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2004. "Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises," IMF Working Papers 03/251, International Monetary Fund. [Downloadable!]

  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. [Downloadable!]
    Other versions:

  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. Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2003. "Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998," IMF Working Papers 03/84, International Monetary Fund. [Downloadable!]

  11. 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:

  12. Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2002. "International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse," IMF Working Papers 02/74, International Monetary Fund. [Downloadable!]

  13. 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!]

  14. 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:

  15. 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.
    Published as:

  16. 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.

  17. 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.

  18. Clarke, H.R. & Martin, V.L., 1995. "Does Capital Chase Labour Internationally," Department of Economics - Working Papers Series 447, The University of Melbourne.
    Other versions:

  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.

Articles

  1. 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. [Downloadable!] (restricted)

  2. Roger Craine & Vance Martin, 2009. "Interest Rate Conundrum," Contributions to Macroeconomics, Berkeley Electronic Press, vol. 9(1), pages 1819-1819. [Downloadable!] (restricted)

  3. John Stachurski & Vance Martin, 2008. "Computing the Distributions of Economic Models via Simulation," Econometrica, Econometric Society, vol. 76(2), pages 443-450, 03. [Downloadable!] (restricted)
    Other versions:

  4. Craine, Roger & Martin, Vance L., 2008. "International monetary policy surprise spillovers," Journal of International Economics, Elsevier, vol. 75(1), pages 180-196, May. [Downloadable!] (restricted)

  5. 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. [Downloadable!] (restricted)

  6. 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. [Downloadable!]

  7. 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. [Downloadable!] (restricted)

  8. 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. [Downloadable!] (restricted)

  9. 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. [Downloadable!] (restricted)
    Other versions:

  10. 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. [Downloadable!] (restricted)

  11. 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)

  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. [Downloadable!]
    Other versions:

  13. 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:

  14. 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. [Downloadable!] (restricted)

  15. Mardi Dungey & Renee Fry & Vance L. Martin, 2004. "Currency Market Contagion In The Asia-Pacific Region," Australian Economic Papers, Blackwell Publishing, vol. 43(4), pages 379-395, December. [Downloadable!] (restricted)

  16. 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, Blackwell Publishing, vol. 24(1), pages 45-63, 01. [Downloadable!] (restricted)

  17. 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. [Downloadable!]

  18. 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. [Downloadable!] (restricted)
    Other versions:

  19. Martin, Vance L., 1998. "Econometric Society Australasian Meetings 1997 (ESAM97)," Econometric Theory, Cambridge University Press, vol. 14(06), pages 800-801, December. [Downloadable!]

  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. [Downloadable!] (restricted)

  21. 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. [Downloadable!]

  22. Creedy, John & Martin, Vance L, 1998. "Nonlinear Modelling Using the Generalized Exponential Family of Distributions," Bulletin of Economic Research, Blackwell Publishing, vol. 50(3), pages 229-55, July.

  23. 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.. [Downloadable!] (restricted)

  24. 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. [Downloadable!] (restricted)

  25. 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. [Downloadable!] (restricted)

  26. 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.

  27. 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.

  28. Lim, G C & Martin, Vance L, 1994. "Australian Short-Term Interest Rates: An Empirical Analysis of the Transmission Process, 1988-1991," Australian Economic Papers, Blackwell Publishing, vol. 33(62), pages 75-95, June.

  29. Creedy, John & Martin, Vance, 1993. "Multiple equilibria and hysteresis in simple exchange models," Economic Modelling, Elsevier, vol. 10(4), pages 339-347, October. [Downloadable!] (restricted)

  30. Bowden, Roger J & Martin, Vance L, 1992. "No, Business Cycles Are Not All Alike: The United States and Australia Compared," Australian Economic Papers, Blackwell Publishing, vol. 31(59), pages 385-98, December.

  31. Martin, Vance L, 1992. "Testing the Causal Properties of Economic Theories: An Application to a Small Australian Macroeconomic Model," Australian Economic Papers, Blackwell Publishing, vol. 31(58), pages 1-19, June.

  32. 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. [Downloadable!] (restricted)

  33. 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.

  34. Horne, Jocelyn & Martin, Vance L, 1989. "Weighted Monetary Aggregates: An Empirical Study Using Australian Monetary Data, 1969-1987," Australian Economic Papers, Blackwell Publishing, vol. 28(53), pages 181-200, December.

  35. Horne, Jocelyn & Martin, Vance L, 1989. "Exchange Rate Indicators and Optimal Currency Baskets: A Macroeconomic Analysis with Application to Developing Countries," Applied Economics, Taylor and Francis Journals, vol. 21(9), pages 1137-52, September.

  36. Martin, Vance L, 1987. "Leads and Lags in the Australian Business Cycle: A Canonical Approach in the Frequency Domain," Australian Economic Papers, Blackwell Publishing, vol. 26(49), pages 188-96, December.

  37. 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.

NEP Fields

13 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (3) 2008-02-02 2008-07-20 2009-06-10
  2. NEP-CFN: Corporate Finance (1) 2004-10-30
  3. NEP-ECM: Econometrics (4) 2002-08-10 2003-02-26 2005-10-22 2008-02-02 Author is listed
  4. NEP-ETS: Econometric Time Series (2) 2002-04-25 2002-08-08
  5. NEP-FIN: Finance (5) 2002-08-08 2003-02-24 2003-02-24 2004-10-30 2005-10-22 Author is listed
  6. NEP-FMK: Financial Markets (6) 2002-04-25 2002-04-25 2003-02-24 2003-02-24 2005-10-22 2007-01-13 Author is listed
  7. NEP-IFN: International Finance (4) 2002-08-08 2004-10-30 2004-10-30 2008-07-20 Author is listed
  8. NEP-MAC: Macroeconomics (1) 2009-06-10
  9. NEP-MON: Monetary Economics (1) 2009-06-10
  10. NEP-PKE: Post Keynesian Economics (1) 2004-10-30
  11. NEP-RMG: Risk Management (2) 2003-02-24 2003-02-24
  12. NEP-SEA: South East Asia (1) 2008-02-02
  13. NEP-URE: Urban & Real Estate Economics (3) 2008-02-02 2008-07-20 2009-06-10
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This page was last updated on 2009-10-25.

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