Gael Margaret Martin : Citation Profile


Are you Gael Margaret Martin?

Monash University

9

H index

9

i10 index

299

Citations

RESEARCH PRODUCTION:

23

Articles

40

Papers

RESEARCH ACTIVITY:

   21 years (1995 - 2016). See details.
   Cites by year: 14
   Journals where Gael Margaret Martin has often published
   Relations with other researchers
   Recent citing documents: 53.    Total self citations: 29 (8.84 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma416
   Updated: 2020-08-01    RAS profile: 2015-02-24    
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Relations with other researchers


Works with:

Poskitt, Donald (5)

Forbes, Catherine (3)

McCabe, Brendan (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Gael Margaret Martin.

Is cited by:

McCabe, Brendan (14)

Martin, Vance (12)

Bajo-Rubio, Oscar (9)

Diaz-Roldan, Carmen (9)

Fry-McKibbin, Renee (8)

Tang, Chrismin (8)

Koop, Gary (7)

Afonso, Antonio (6)

Gil-Alana, Luis (6)

Poskitt, Donald (6)

Esteve, Vicente (6)

Cites to:

Shephard, Neil (32)

Bollerslev, Tim (24)

Phillips, Peter (20)

McCabe, Brendan (20)

Forbes, Catherine (18)

Poskitt, Donald (16)

Martin, Vance (16)

Bauwens, Luc (15)

Hansen, Peter (14)

Diebold, Francis (14)

Lunde, Asger (13)

Main data


Where Gael Margaret Martin has published?


Journals with more than one article published# docs
Journal of Applied Econometrics3
International Journal of Forecasting3
Computational Statistics & Data Analysis3
Econometric Reviews3
Journal of Time Series Analysis2

Working Papers Series with more than one paper published# docs
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics36
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Gael Margaret Martin (2018 and 2017)


YearTitle of citing document
2017An empirical assessment of fiscal sustainability for selected South Asian economies. (2017). Giri, A K ; Shastri, Shruti ; Mohapatra, Geetilaxmi. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(610):y:2017:i:1(610):p:163-178.

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2017An empirical assessment of fiscal sustainability for selected South Asian economies. (2017). Mohapatra, Geetilaxmi ; Giri, A K ; Shastri, Shruti. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:1(610):p:163-178.

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2017Simulation Modelling To Provide Insights Into The Optimization Of Delivery Weights Of Finisher Pigs. (2017). Jef, Van Meensel ; Sam, Millet ; Ludwig, Lauwers ; Aluwe, Marijke ; van den Broeke, Alice ; Leen, Frederik. In: 2017 International Congress, August 28-September 1, 2017, Parma, Italy. RePEc:ags:eaae17:261272.

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2017Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods. (2017). Dahlin, Johan ; Schon, Thomas B. ; Villani, Mattias. In: Papers. RePEc:arx:papers:1506.06975.

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2017Option Pricing in Markets with Unknown Stochastic Dynamics. (2017). Nizami, Elpida ; Gottschalk, Hanno . In: Papers. RePEc:arx:papers:1602.04848.

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2017Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models. (2017). Kastner, Gregor ; Lopes, Hedibert Freitas ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:1602.08154.

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2017Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models. (2017). Kastner, Gregor ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:1706.05280.

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2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2019Stochastic model specification in Markov switching vector error correction models. (2019). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O. In: Papers. RePEc:arx:papers:1807.00529.

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2020Generalized Poisson Difference Autoregressive Processes. (2020). Casarin, Roberto ; Robert, Christian P ; Carallo, Giulia. In: Papers. RePEc:arx:papers:2002.04470.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:702.

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2017THE BEHAVIOR OF U.S. PUBLIC DEBT AND DEFICITS DURING THE GLOBAL FINANCIAL CRISIS. (2017). Suardi, Sandy ; Chua, Chew ; Nguyen, Thanh Dat. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:35:y:2017:i:1:p:201-215.

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2017Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: Documentos de Trabajo CIEF. RePEc:col:000122:015923.

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2017Bringing farmers into the game. Strengthening farmers role in the innovation process through a simulation game, a case from Tunisia. (2017). Dolinska, Aleksandra . In: Agricultural Systems. RePEc:eee:agisys:v:157:y:2017:i:c:p:129-139.

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2018Designing agricultural systems from invention to implementation: the contribution of agronomy. Lessons from a case study. (2018). Prost, Lorene ; Jeuffroy, Marie-Helene ; Cerf, Marianne ; Paravano, Laurette ; Reau, Raymond . In: Agricultural Systems. RePEc:eee:agisys:v:164:y:2018:i:c:p:122-132.

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2018Affordances of agricultural systems analysis tools: A review and framework to enhance tool design and implementation. (2018). Ditzler, Lenora ; Baudron, Frederic ; Andersson, Jens A ; Ridaura, Santiago Lopez ; Krupnik, Timothy J ; Posthumus, Helena ; Chan-Dentoni, Jacqueline ; Klerkx, Laurens. In: Agricultural Systems. RePEc:eee:agisys:v:164:y:2018:i:c:p:20-30.

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2020Sustainability of the fiscal imbalance and public debt under fiscal policy asymmetries in Sri Lanka. (2020). Shanika, Anuruddhi. In: Journal of Asian Economics. RePEc:eee:asieco:v:66:y:2020:i:c:s1049007819301319.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2019). Winkelmann, Lars ; Neely, Christopher ; Bibinger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:158-184.

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2019Saddlepoint approximations for short and long memory time series: A frequency domain approach. (2019). Ronchetti, Elvezio ; la Vecchia, Davide. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:578-592.

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2020Issues in the estimation of mis-specified models of fractionally integrated processes. (2020). Poskitt, D S ; Nadarajah, K ; Martin, Gael M. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:559-573.

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2017Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models. (2017). Tunaru, Diana . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:119-129.

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2017Bayesian testing for short term interest rate models. (2017). Chen, Zhongtian ; Li, Yong ; Zhang, Yonghui. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:146-152.

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2017Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:848-863.

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2018Predictions of short-term rates and the expectations hypothesis. (2018). Guidolin, Massimo ; Thornton, Daniel L. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:636-664.

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2019Threshold cointegration in international exchange rates:A Bayesian approach. (2019). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:458-473.

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2019Approximate Bayesian forecasting. (2019). , Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:521-539.

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2020Probabilistic forecasting of heterogeneous consumer transaction–sales time series. (2020). West, Mike ; Helman, Paul ; Berry, Lindsay R. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:552-569.

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2019Bivariate integer-autoregressive process with an application to mutual fund flows. (2019). darolles, serge ; le Fol, Gaelle ; Sun, Ran ; Lu, Yang. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:181-203.

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2019A panel data analysis of the fiscal sustainability of G-7 countries. (2019). Magazzino, Cosimo ; Forte, Francesco ; Brady, Gordon L. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:20:y:2019:i:c:s1703494919300660.

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2017European option pricing under the Student’s t noise with jumps. (2017). Zhuang, LE ; Wang, Xiao-Tian ; Li, Zhe. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:848-858.

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2017Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models. (2017). Juneja, Januj. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:292-305.

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2018Is there a bubble component in government debt? New international evidence. (2018). Chen, Shyh-Wei ; Wu, An-Chi . In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:467-486.

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2017Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2017). Neely, Christopher ; Winkelmann, Lars ; Bibinger, Markus. In: Working Papers. RePEc:fip:fedlwp:2017-012.

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2019Evaluating Approximate Point Forecasting of Count Processes. (2019). Gob, Rainer ; Frahm, Gabriel ; Alwan, Layth C ; Weiss, Christian H ; Homburg, Annika. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:30-:d:246272.

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2019Bivariate integer-autoregressive process with an application to mutual fund flows. (2019). Sun, Ran ; Lu, Yang ; le Fol, Gaelle ; Darolles, Serge. In: Post-Print. RePEc:hal:journl:halshs-02418967.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: CIS Discussion paper series. RePEc:hit:cisdps:667.

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2018Government spending and revenues in Sweden 1722–2011: evidence from hidden cointegration. (2018). Irandoust, Manuchehr. In: Empirica. RePEc:kap:empiri:v:45:y:2018:i:3:d:10.1007_s10663-017-9375-5.

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2020Public finances in the EU-27: Are they sustainable?. (2020). Cuestas, Juan ; Sauci, Laura ; Gil-Alana, Luis A. In: Empirica. RePEc:kap:empiri:v:47:y:2020:i:1:d:10.1007_s10663-018-9411-0.

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2017Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-14.

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2017Construction and visualization of optimal confidence sets for frequentist distributional forecasts. (2017). Poskitt, Donald ; Perera, Indeewara ; Martin, Gael M ; Harris, David. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-9.

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2018Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-17.

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2018Approximate Bayesian forecasting. (2018). McCabe, Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-2.

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2019Forecasting Observables with Particle Filters: Any Filter Will Do!. (2019). McCabe, Brendan ; Martin, Gael M ; Forbes, Catherine S ; Leung, Patrick. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-22.

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2019Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach. (2019). Poskitt, Donald ; Martin, Gael M ; Nadarajah, Kanchana. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-7.

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2020High-Frequency Jump Tests: Which Test Should We Use?. (2020). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-3.

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2018Stochastic model specification in Markov switching vector error correction models. (2018). Zoerner, Thomas ; Pfarrhofer, Michael ; Huber, Florian ; Zorner, Thomas O. In: Working Papers in Economics. RePEc:ris:sbgwpe:2018_003.

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2018Option pricing in an exponential MixedTS Lévy process. (2018). Mercuri, Lorenzo ; Rroji, Edit. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2180-x.

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2019Model-based INAR bootstrap for forecasting INAR(p) models. (2019). Gerolimetto, Margherita ; Bisaglia, Luisa. In: Computational Statistics. RePEc:spr:compst:v:34:y:2019:i:4:d:10.1007_s00180-019-00902-1.

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2017Forecast combination for discrete choice models: predicting FOMC monetary policy decisions. (2017). Vasnev, Andrey ; Pauwels, Laurent L. In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:1:d:10.1007_s00181-016-1080-x.

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2018Modelling of low count heavy tailed time series data consisting large number of zeros and ones. (2018). Maiti, Raju ; Chakraborty, Bibhas ; Biswas, Atanu. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:27:y:2018:i:3:d:10.1007_s10260-017-0413-z.

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2019Predicting China’s Monetary Policy with Forecast Combinations. (2019). Pauwels, Laurent. In: Working Papers. RePEc:syb:wpbsba:2123/20406.

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2019Point forecasting of intraday volume using Bayesian autoregressive conditional volume models. (2019). Huptas, Roman. In: Journal of Forecasting. RePEc:wly:jforec:v:38:y:2019:i:4:p:293-310.

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Works by Gael Margaret Martin:


YearTitleTypeCited
2016Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures In: Papers.
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2013Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures.(2013) In: Monash Econometrics and Business Statistics Working Papers.
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2014Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures.(2014) In: Monash Econometrics and Business Statistics Working Papers.
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2006Bayesian comparison of several continuous time models of the Australian short rate In: Accounting and Finance.
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article7
2011Efficient probabilistic forecasts for counts In: Journal of the Royal Statistical Society Series B.
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article14
2005Assessing Persistence In Discrete Nonstationary Time-Series Models In: Journal of Time Series Analysis.
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2005Implicit Bayesian Inference Using Option Prices In: Journal of Time Series Analysis.
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2000Implicit Bayesian Inference Using Option Prices..(2000) In: Monash Econometrics and Business Statistics Working Papers.
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2003Implicit Bayesian Inference Using Option Prices.(2003) In: Monash Econometrics and Business Statistics Working Papers.
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2004Testing for Dependence in Non-Gaussian Time Series Data In: Econometric Society 2004 Australasian Meetings.
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2004Testing for Dependence in Non-Gaussian Time Series Data.(2004) In: Monash Econometrics and Business Statistics Working Papers.
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2004Bayesian Estimation of Non-Gausian Time Series with Applicaitons to Transaction Data In: Econometric Society 2004 Australasian Meetings.
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2015A conceptual framework to support adaptation of farming systems – Development and application with Forage Rummy In: Agricultural Systems.
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2005Simulation-based Bayesian estimation of an affine term structure model In: Computational Statistics & Data Analysis.
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2003Simulation-Based Bayesian Estimation of Affine Term Structure Models.(2003) In: Monash Econometrics and Business Statistics Working Papers.
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2006Bayesian analysis of the stochastic conditional duration model In: Computational Statistics & Data Analysis.
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2003Bayesian Analysis of the Stochastic Conditional Duration Model.(2003) In: Monash Econometrics and Business Statistics Working Papers.
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2008Parameterisation and efficient MCMC estimation of non-Gaussian state space models In: Computational Statistics & Data Analysis.
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2006Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models.(2006) In: Monash Econometrics and Business Statistics Working Papers.
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2012Probabilistic forecasts of volatility and its risk premia In: Journal of Econometrics.
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2010Probabilistic Forecasts of Volatility and its Risk Premia.(2010) In: Monash Econometrics and Business Statistics Working Papers.
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1998The distribution of exchange rate returns and the pricing of currency options In: Journal of International Economics.
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2005Bayesian predictions of low count time series In: International Journal of Forecasting.
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2010Bayesian forecasting in economics In: International Journal of Forecasting.
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2013Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models In: International Journal of Forecasting.
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2011Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models.(2011) In: Monash Econometrics and Business Statistics Working Papers.
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2006Pricing currency options in the presence of time-varying volatility and non-normalities In: Journal of Multinational Financial Management.
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2008Feasible parameter regions for alternative discrete state space models In: Statistics & Probability Letters.
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2001Spot Market Competition with Stranded Costs in the Spanish Electricity Industry. In: Centro de Estudios Monetarios Y Financieros-.
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2000US deficit sustainability: a new approach based on multiple endogenous breaks In: Journal of Applied Econometrics.
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1998U.S. Deficit Sustainability: A New Approach Based on Multiple Endogenous Breaks.(1998) In: Monash Econometrics and Business Statistics Working Papers.
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2005Parametric pricing of higher order moments in S&P500 options In: Journal of Applied Econometrics.
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2002Parametric Pricing of Higher Order Moments in S&P500 Options..(2002) In: Monash Econometrics and Business Statistics Working Papers.
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2009Does the option market produce superior forecasts of noise-corrected volatility measures? In: Journal of Applied Econometrics.
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2007Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?.(2007) In: Monash Econometrics and Business Statistics Working Papers.
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1995Bayesian Analysis of a Cointegration Model Using Markov Chain Monte Carlo. In: Monash Econometrics and Business Statistics Working Papers.
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1995Fractional Cointegration: A Bayesian Aproach. In: Monash Econometrics and Business Statistics Working Papers.
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1997Private and Public Consumption Expenditure Substitutability : Bayesian Estimates for the G7 Countries. In: Monash Econometrics and Business Statistics Working Papers.
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1997Fractional Cointegration : Bayesian Inferences Using a Jeffreys Prior. In: Monash Econometrics and Business Statistics Working Papers.
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2002Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices. In: Monash Econometrics and Business Statistics Working Papers.
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2002Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns In: Monash Econometrics and Business Statistics Working Papers.
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2003Persistence and Nonstationary Models In: Monash Econometrics and Business Statistics Working Papers.
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2003Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter In: Monash Econometrics and Business Statistics Working Papers.
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2003Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms In: Monash Econometrics and Business Statistics Working Papers.
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2003Coherent Predictions of Low Count Time Series In: Monash Econometrics and Business Statistics Working Papers.
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2004Bayesian Analysis of Continuous Time Models of the Australian Short Rate In: Monash Econometrics and Business Statistics Working Papers.
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2006Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility In: Monash Econometrics and Business Statistics Working Papers.
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2007An Assessment of Alternative State Space Models for Count Time Series In: Monash Econometrics and Business Statistics Working Papers.
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2009Optimal Probabilistic Forecasts for Counts In: Monash Econometrics and Business Statistics Working Papers.
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2010A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data In: Monash Econometrics and Business Statistics Working Papers.
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2012Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap In: Monash Econometrics and Business Statistics Working Papers.
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2014Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap.(2014) In: Monash Econometrics and Business Statistics Working Papers.
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2012Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes In: Monash Econometrics and Business Statistics Working Papers.
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2013Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes.(2013) In: Monash Econometrics and Business Statistics Working Papers.
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2013Bias Correction of Persistence Measures in Fractionally Integrated Models In: Monash Econometrics and Business Statistics Working Papers.
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2014Bias Correction of Persistence Measures in Fractionally Integrated Models.(2014) In: Monash Econometrics and Business Statistics Working Papers.
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2014Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes In: Monash Econometrics and Business Statistics Working Papers.
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2014Approximate Bayesian Computation in State Space Models In: Monash Econometrics and Business Statistics Working Papers.
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2010The 21st Century Belongs to Bayes Debate: Introduction In: Review of Economic Analysis.
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1999Using simulation methods for bayesian econometric models: inference, development and communication: some comments In: Econometric Reviews.
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2001BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL In: Econometric Reviews.
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2007Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter In: Econometric Reviews.
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2012A Review of The Oxford Handbook of Bayesian Econometrics edited by Geweke (John), Koop (Gary) and van Dijk (Herman) In: Econometrics Journal.
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