Gael Margaret Martin : Citation Profile


Are you Gael Margaret Martin?

Monash University

9

H index

9

i10 index

285

Citations

RESEARCH PRODUCTION:

23

Articles

40

Papers

RESEARCH ACTIVITY:

   21 years (1995 - 2016). See details.
   Cites by year: 13
   Journals where Gael Margaret Martin has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 29 (9.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma416
   Updated: 2019-10-06    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 (12)

Martin, Vance (12)

Bajo-Rubio, Oscar (9)

Diaz-Roldan, Carmen (9)

Fry-McKibbin, Renee (8)

Tang, Chrismin (8)

Koop, Gary (7)

Omori, Yasuhiro (7)

Esteve, Vicente (6)

Afonso, Antonio (6)

Poskitt, Donald (6)

Cites to:

Shephard, Neil (31)

Bollerslev, Tim (24)

Phillips, Peter (20)

McCabe, Brendan (20)

Forbes, Catherine (18)

Poskitt, Donald (16)

Martin, Vance (16)

Ait-Sahalia, Yacine (16)

Bauwens, Luc (15)

Diebold, Francis (14)

Hansen, Peter (14)

Main data


Where Gael Margaret Martin has published?


Journals with more than one article published# docs
Econometric Reviews3
Computational Statistics & Data Analysis3
Journal of Applied Econometrics3
International Journal of Forecasting3
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). Leen, Frederik ; Jef, Van Meensel ; Sam, Millet ; Ludwig, Lauwers ; Aluwe, Marijke ; van den Broeke, Alice. 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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2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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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: Papers. RePEc:arx:papers:1807.00529.

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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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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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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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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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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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2017Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. 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). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. 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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2019Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach. (2019). Poskitt, Donald S ; Martin, Gael M ; Nadarajah, Kanchana. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-7.

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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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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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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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2011Efficient probabilistic forecasts for counts In: Journal of the Royal Statistical Society Series B.
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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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article7
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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article7
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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2003Simulation-Based Bayesian Estimation of Affine Term Structure Models 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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