Vance Lindsay Martin : Citation Profile

Are you Vance Lindsay Martin?

University of Melbourne

17

H index

26

i10 index

1372

Citations

RESEARCH PRODUCTION:

42

Articles

26

Papers

3

Books

2

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   30 years (1987 - 2017). See details.
   Cites by year: 45
   Journals where Vance Lindsay Martin has often published
   Relations with other researchers
   Recent citing documents: 86.    Total self citations: 27 (1.93 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pma552
   Updated: 2023-01-28    RAS profile: 2017-08-28    
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Relations with other researchers

Works with:

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

Is cited by:

Dungey, Mardi (52)

Fry-McKibbin, Renee (44)

Flavin, Thomas (36)

Hsiao, Cody Yu-Ling (28)

Fratzscher, Marcel (25)

Panopoulou, Ekaterini (22)

Sentana, Enrique (21)

Fiorentini, Gabriele (16)

GUPTA, RANGAN (14)

Baur, Dirk (13)

Thorp, Susan (13)

Cites to:

Kaminsky, Graciela (35)

Dungey, Mardi (34)

Fry-McKibbin, Renee (32)

Reinhart, Carmen (29)

Rose, Andrew (23)

Martin, Gael (18)

Engle, Robert (18)

Diebold, Francis (15)

Masson, Paul (14)

Rigobon, Roberto (14)

pagan, adrian (14)

Main data

Where Vance Lindsay Martin has published?

Journals with more than one article published# docs
Australian Economic Papers6
Journal of Applied Econometrics4
Journal of Time Series Analysis3
The North American Journal of Economics and Finance2
Journal of International Economics2
Journal of Business & Economic Statistics2
The Review of Economics and Statistics2
The Economic Record2

Working Papers Series with more than one paper published# docs
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics6
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Vance Lindsay Martin (2022 and 2021)

YearTitle of citing document
2021.

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2022Industry Characteristics and Financial Risk Spillovers. (2022). Chiua, Wan-Chien ; Wang, Chih-Wei ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02263.

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2022Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

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2022Doubly heterogeneous monetary spillovers. (2022). Shah, Nihar. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:2:p:126-150.

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2021Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression. (2021). Zhang, Yunyi ; Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9395.

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2022The Indirect Effects of Oil Price on Consumption through Assets. (2022). Dowlatabadi, Ehsan Mohaghegh ; Javad, Seyed Mohammad ; Torki, Leila ; Razmi, Seyedeh Fatemeh. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-01-29.

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2021Testing for rational bubbles in Australian housing market from a long-term perspective. (2021). Prats, Maria A ; Esteve, Vicente. In: Working Papers. RePEc:eec:wpaper:2113.

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2022Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis. (2022). Mehta, Chhavi ; Chopra, Monika. In: Journal of Asian Economics. RePEc:eee:asieco:v:79:y:2022:i:c:s1049007822000100.

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2021Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach. (2021). Ravazzolo, Francesco ; GUPTA, RANGAN ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302291.

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2022Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios. (2022). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940821002229.

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2022The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic. (2022). Liu, Fang ; Chen, Yajiao ; Zhou, Long ; Zhang, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000432.

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2021Empirical asset pricing with multi-period disaster risk: A simulation-based approach. (2021). Grammig, Joachim ; Sonksen, Jantje. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:805-832.

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2022Interest rates and foreign spillovers. (2022). Zimic, Sreko ; de Santis, Roberto A. In: European Economic Review. RePEc:eee:eecrev:v:144:y:2022:i:c:s001429212200006x.

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2021Dynamic dependence of oil, clean energy and the role of technology companies: New evidence from copulas with regime switching. (2021). Tiwari, Aviral ; Selmi, Refk ; Hammoudeh, Shawkat ; Nasreen, Samia. In: Energy. RePEc:eee:energy:v:220:y:2021:i:c:s0360544220326979.

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2022Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics. (2022). da Silva, Cristiano ; Matos, Paulo ; Costa, Antonio. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002051.

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2022Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic. (2022). Fry-McKibbin, Renee ; Qi, Lin ; Hsiao, Cody Yu-Ling ; Greenwood-Nimmo, Matthew. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002312.

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2021Exchange rate shocks in multicurrency interbank markets. (2021). Stefan, Martin ; Siklos, Pierre L. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s1572308921000486.

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2022Are higher U.S. interest rates always bad news for emerging markets?. (2022). Yoldas, Emre ; Kamin, Steve ; Hoek, Jasper. In: Journal of International Economics. RePEc:eee:inecon:v:137:y:2022:i:c:s0022199622000174.

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2021Causal and frequency analyses of purchasing power parity. (2021). Nagayasu, Jun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000068.

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2021The structure and degree of dependence in government bond markets. (2021). Vulanovic, Milos ; Swinkels, Laurens ; Piljak, Vanja ; Dimic, Nebojsa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001049.

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2021From dotcom to Covid-19: A convergence analysis of Islamic investments. (2021). Kenourgios, Dimitris ; Petropoulou, Athina ; Pappas, Vasileios ; Alexakis, Christos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001372.

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2022Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic. (2022). Marco, Chi Keung ; Lucey, Brian ; Goodell, John W ; Brzeszczyski, Janusz ; Yarovaya, Larisa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000725.

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2021Measuring financial interdependence in asset markets with an application to eurozone equities. (2021). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Martin, Vance L. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302478.

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2022A leverage-based measure of financial stability. (2022). Tepper, Alexander ; Borowiecki, Karol Jan ; Adrian, Tobias. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:51:y:2022:i:c:s1042957321000085.

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2021Land leverage and the housing market: Evidence from Germany1. (2021). Kajuth, Florian. In: Journal of Housing Economics. RePEc:eee:jhouse:v:51:y:2021:i:c:s1051137720300826.

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2021The intergenerational impact of house prices on education: evidence from China. (2021). You, Jing ; Wang, Sangui ; Nio-Zarazua, Miguel ; Ding, Xinxin. In: Journal of Housing Economics. RePEc:eee:jhouse:v:54:y:2021:i:c:s1051137721000383.

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2021Interconnectedness in the global financial market. (2021). Raddant, Matthias ; Kenett, Dror Y. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302369.

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2022Financial market linkages and the sovereign debt crisis. (2022). Amado, Cristina ; Campos-Martins, Susana. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s0261560621002473.

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2022Conditional specification of statistical models: Classical models, new developments and challenges. (2022). Sarabia, Jose Maria ; Arnold, Barry C. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:188:y:2022:i:c:s0047259x21000798.

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2021Heterogeneous consumers in the Euro-Area, facing homogeneous monetary policy: Tale of two large economies. (2021). Shah, Sarfaraz Ali. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:24:y:2021:i:c:s1703494921000190.

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2022Stock market in the age of COVID19: Mere acclimatization or Stockholm syndrome?. (2022). Shah, Sarfaraz Ali. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:25:y:2022:i:c:s1703494922000068.

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2021On the long-term common movement of resource and commodity prices.A methodological proposal. (2021). Esposti, Roberto. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000271.

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2021Equilibrium with computationally constrained agents. (2021). Kuhle, Wolfgang. In: Mathematical Social Sciences. RePEc:eee:matsoc:v:109:y:2021:i:c:p:77-92.

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2021New test of contagion with application on the Brexit referendum. (2021). Kevin, Ka Kwan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:564:y:2021:i:c:s0378437120307810.

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2021The numerical simulation of Quanto option prices using Bayesian statistical methods. (2021). Wu, Jianhong ; Gao, Rui ; Li, Yaqiong ; Lin, Lisha. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:567:y:2021:i:c:s0378437120309274.

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2022Predicting tail events in a RIA-EVT-Copula framework. (2022). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:600:y:2022:i:c:s0378437122003703.

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2021Monetary policy surprises, stock returns, and financial and liquidity constraints, in an exchange rate monetary policy system. (2021). Sequeira, John M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:81:y:2021:i:c:p:226-236.

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2021Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers. (2021). Mahadeo, Scott ; Legrenzi, Gabriella D ; Heinlein, Reinhold. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:223-229.

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2021The contagious effect of China’s energy policy on stock markets: The case of the solar photovoltaic industry. (2021). Hsiao, Cody Yu-Ling ; Sheng, NI ; Wei, Xinyang ; Ai, Dan. In: Renewable Energy. RePEc:eee:renene:v:164:y:2021:i:c:p:74-86.

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2021A joint test of policy contagion with application to the solar sector. (2021). Shao, Chengwu ; Sheng, NI ; Wei, Xinyang ; Hsiao, Cody Yu-Ling. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:141:y:2021:i:c:s1364032121000587.

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2021Constructing efficient portfolios of low-carbon technologies. (2021). Kim, Yeong Jae ; Sharma, Bijay P ; Cho, Seong-Hoon. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:150:y:2021:i:c:s1364032121007942.

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2022Financial Contagion of Russian Companies from the Oil Market under the Influence of Sanctions and Pandemic Shock. (2022). Ovcharov, Anton O ; Yu, Marina. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:220401:p:8-28.

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2022Predicting House Prices Using DMA Method: Evidence from Turkey. (2022). Drachal, Krzysztof ; Hacievliyagil, Nuri ; Eksi, Ibrahim Halil. In: Economies. RePEc:gam:jecomi:v:10:y:2022:i:3:p:64-:d:768364.

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2021Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions. (2021). TERESIENE, DEIMANTE ; Kanapickiene, Rasa ; Jurksas, Linas. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:1:p:35-:d:514849.

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2021Global Transmission of Returns among Financial, Traditional Energy, Renewable Energy and Carbon Markets: New Evidence. (2021). Yang, Xueqing ; Liu, Yang ; Wang, Mei. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:21:p:7286-:d:671615.

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2021Role of ICT Investment and Diffusion in the Economic Growth: A Threshold Approach for the Empirical Evidence from Pakistan. (2021). Zaman, Umer ; Ali, Ghulam ; Ur, Habib ; Pugnetti, Carlo. In: IJFS. RePEc:gam:jijfss:v:9:y:2021:i:1:p:14-:d:510503.

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2021Dynamic Effects of Material Production and Environmental Sustainability on Economic Vitality Indicators: A Panel VAR Approach. (2021). Leitão, João ; Ferreira, Joaquim ; Leito, Joo. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:2:p:74-:d:495741.

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2021.

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2021A Leverage-Based Measure of Financial Stability. (2021). Tepper, Alexander ; Borowiecki, Karol Jan ; Adrian, Tobias. In: Discussion Papers of Business and Economics. RePEc:hhs:sdueko:2021_003.

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2021An Analysis of the Stock Market Volatility Spread in Emerging Countries. (2021). Akkaya, Murat. In: Istanbul Business Research. RePEc:ist:ibsibr:v:50:y:2021:i:2:p:215-233.

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2022The determinants of sovereign risk premiums in the UK and the European government bond market: the impact of Brexit. (2022). Kadiric, Samir. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:19:y:2022:i:2:d:10.1007_s10368-022-00535-8.

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2021Testing stock market contagion properties between large and small stock markets. (2021). Su, EnDer. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00942-5.

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2022A multicountry measure of comovement and contagion in international markets: definition and applications. (2022). Venezia, Itzhak ; Tessler, Nina. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:4:d:10.1007_s11156-021-01025-9.

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2021Improving the Estimation and Predictions of Small Time Series Models. (2021). Liu-Evans, Gareth. In: Working Papers. RePEc:liv:livedp:202106.

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2021Oil and US stock market shocks: implications for Canadian equities. (2021). Mahadeo, Scott ; Heinlein, Reinhold. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2021-07.

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2021Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach. (2021). Tiwari, Aviral ; Raheem, Ibrahim ; Hille, Erik. In: MPRA Paper. RePEc:pra:mprapa:106684.

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2021Spillovers among Energy Commodities and the Russian Stock Market. (2021). Lorusso, Marco ; Costola, Michele. In: MPRA Paper. RePEc:pra:mprapa:108990.

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2021Spillover effects from China and the US to global emerging markets: a dynamic analysis. (2021). Bonga-Bonga, Lumengo ; Mpoha, Salifya. In: MPRA Paper. RePEc:pra:mprapa:109349.

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2022The ”climate adaptation problem” in biodiversity conservation: the role of reversible conservation investments in optimal reserve design under climate change. (2022). Hearne, John ; Schottker, Oliver ; Gerling, Charlotte. In: MPRA Paper. RePEc:pra:mprapa:114812.

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2021High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests. (2021). GUPTA, RANGAN ; Hassapis, Christis ; Christou, Christina ; Aye, Goodness C. In: Working Papers. RePEc:pre:wpaper:202159.

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2022Stock market and cryptocurrency market volatility. (2022). Peresetsky, Anatoly ; Pogorelova, Polina ; Manevich, Vyacheslav. In: Applied Econometrics. RePEc:ris:apltrx:0439.

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2022A meta-measure of performance related to both investors and investments characteristics. (2022). Billio, Monica ; Pelizzon, Loriana ; Maillet, Bertrand. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03771-w.

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2022Transmission of the Greek crisis on the sovereign debt markets in the euro area. (2022). Tahi, Sofiane ; Bellalah, Makram ; Kchaou, Oussama. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-021-03938-z.

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2022Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach. (2022). Tiwari, Aviral ; Hille, Erik ; Kumar, Satish ; Jena, Sangram Keshari. In: Annals of Operations Research. RePEc:spr:annopr:v:315:y:2022:i:1:d:10.1007_s10479-021-04218-6.

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2021Does cross-shareholding lead to Chinas stock returns comovement? Evidence from a GMM-based spatial AR model. (2021). Li, Xin ; Feng, Yun. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:6:d:10.1007_s00181-020-02002-2.

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2022Sector connectedness in the Chinese stock markets. (2022). Wang, Gang-Jin ; Zhou, Wei-Xing ; Ma, Jun-Chao ; Jiang, Zhi-Qiang ; Shen, Ying-Ying. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:2:d:10.1007_s00181-021-02036-0.

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2022Debt and financial market contagion. (2022). Morley, James ; Hsiao, Cody Yu-Ling. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:4:d:10.1007_s00181-021-02077-5.

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2022US partisan conflict shocks and international stock market returns. (2022). Apergis, Nicholas ; Chatziantoniou, Ioannis. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:6:d:10.1007_s00181-022-02237-1.

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2022A new analytical approach for identifying market contagion. (2022). Kim, Taeyoon ; Lee, Heesoo. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00339-4.

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2021Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis. (2021). Tuteja, Divya ; Dua, Pami. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:19:y:2021:i:1:d:10.1007_s40953-021-00273-9.

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2022A regime-switching skew-normal model of contagion in some selected stock markets. (2022). Bashir, Nafiu A ; Onipede, Samuel F ; Omoregie, David E ; Jamaladeen, Abubakar. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:12:d:10.1007_s43546-022-00357-5.

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2022The link between regional CDS spreads and equity returns: a multivariate GARCH approach. (2022). Manicaro, Christian. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:2:d:10.1007_s43546-021-00197-9.

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2022Sovereign contagion risk measure across financial markets in the eurozone: a bivariate copulas and Markov Regime Switching ARMA based approaches. (2022). Mansouri, Faysal ; Bouker, Sawsen. In: Review of World Economics (Weltwirtschaftliches Archiv). RePEc:spr:weltar:v:158:y:2022:i:2:d:10.1007_s10290-021-00440-3.

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2021Realized Volatility, Jump and Beta: evidence from Canadian Stock Market. (2021). Chowdhury, Biplob ; Gajurel, Dinesh. In: Applied Economics. RePEc:taf:applec:v:53:y:2021:i:55:p:6376-6397.

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2021What can SVAR models tell us about the impact of Public Expenditure Shocks on macroeconomic variables in algeria? A Slight Hint to the COVID-19 Pandemic. (2021). Chellai, Fatih. In: Folia Oeconomica Stetinensia. RePEc:vrs:foeste:v:21:y:2021:i:2:p:21-37:n:1.

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2022How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances. (2022). Dragan, Tevdovski ; Artan, Sulejmani. In: South East European Journal of Economics and Business. RePEc:vrs:seejeb:v:17:y:2022:i:1:p:1-13:n:8.

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2021Not everyone is a follower: The behaviour of interest rate and equity markets within major economies relative to the United States. (2021). Fabozzi, Frank J ; Tunaru, Diana. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2335-2350.

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2021The contagion phenomena of the Brexit process on main stock markets. (2021). Iiguez, Cristina ; Escribano, Ana. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4462-4481.

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2021Financial contagion across G10 stock markets: A study during major crises. (2021). Litimi, Houda ; Bensaida, Ahmed. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4798-4821.

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2022Financial contagion in real economy: The key role of policy uncertainty. (2022). Umar, Zaghum ; Kampouris, Elias ; Samitas, Aristeidis. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1633-1682.

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2022Nonlinear contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach. (2022). Wang, Shixuan ; Gupta, Rangan ; Bouri, Elie. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2089-2109.

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2022On the subprime crisis and the Latin American financial markets: A regime switching skew?normal approach. (2022). Palma, Andreza A ; Ferreira, Diego. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:3:p:3300-3314.

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2021The double?edged sword of global integration: Robustness, fragility, and contagion in the international firm network. (2021). Grant, Everett ; Yung, Julieta. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:6:p:760-783.

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2021Forecasting systemic risk in portfolio selection: The role of technical trading rules. (2021). Hocine, Amin ; Kouaissah, Noureddine. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:4:p:708-729.

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2022Modeling time varying risk of natural resource assets: Implications of climate change. (2022). Leroux, Anke ; st John, Kathryn A ; Martin, Vance L. In: Quantitative Economics. RePEc:wly:quante:v:13:y:2022:i:1:p:225-257.

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2021Cryptocurrencies: Key Risks and Challenges. (2021). Mzoughi, Hela ; Ghabri, Yosra ; ben Khelifa, Soumaya ; Arsi, Sonia. In: World Scientific Book Chapters. RePEc:wsi:wschap:9789811239670_0007.

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Vance Lindsay Martin has edited the books:

YearTitleTypeCited

Works by Vance Lindsay Martin:

YearTitleTypeCited
2011A Goodness of Fit Test for Ergodic Markov Processes In: ANU Working Papers in Economics and Econometrics.
[Full Text][Citation analysis]		paper0
2011A GOODNESS OF FIT TEST FOR ERGODIC MARKOV PROCESSES.(2011) In: KIER Working Papers.
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This paper has another version. Agregated cites: 0		paper
2014Optimal Portfolio Management of Urban Water In: 2014 Conference (58th), February 4-7, 2014, Port Macquarie, Australia.
[Full Text][Citation analysis]		paper0
1994A Spectral-Temporal Index with an Application to U.S. Interest Rates. In: Journal of Business & Economic Statistics.
[Citation analysis]		article0
2010A New Class of Tests of Contagion With Applications In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article92
1987Leads and Lags in the Australian Business Cycle: A Canonical Approach in the Frequency Domain. In: Australian Economic Papers.
[Citation analysis]		article0
1989Weighted Monetary Aggregates: An Empirical Study Using Australian Monetary Data, 1969-1987. In: Australian Economic Papers.
[Citation analysis]		article1
1992Testing the Causal Properties of Economic Theories: An Application to a Small Australian Macroeconomic Model. In: Australian Economic Papers.
[Citation analysis]		article1
1992No, Business Cycles Are Not All Alike: The United States and Australia Compared. In: Australian Economic Papers.
[Citation analysis]		article0
1994Australian Short-Term Interest Rates: An Empirical Analysis of the Transmission Process, 1988-1991. In: Australian Economic Papers.
[Citation analysis]		article1
2004CURRENCY MARKET CONTAGION IN THE ASIA?PACIFIC REGION In: Australian Economic Papers.
[Full Text][Citation analysis]		article23
1998Nonlinear Modelling Using the Generalized Exponential Family of Distributions. In: Bulletin of Economic Research.
[Citation analysis]		article1
2008The Role of Portfolio Shocks in a Structural Vector Autoregressive Model of the Australian Economy In: The Economic Record.
[Full Text][Citation analysis]		article7
2010Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy? In: The Economic Record.
[Full Text][Citation analysis]		article14
2009Overvaluation in Australian housing and equity markets: Wealth effects or monetary policy?.(2009) In: CAMA Working Papers.
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2003On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article13
2005Implicit Bayesian Inference Using Option Prices In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article10
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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2014EFFICIENT METHOD OF MOMENTS ESTIMATORS FOR INTEGER TIME SERIES MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article5
1994A Model of the Distribution of Prices. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]		article9
2009Interest Rate Conundrum In: The B.E. Journal of Macroeconomics.
[Full Text][Citation analysis]		article17
2014Modelling nonlinearities in equity returns: the mean impact curve analysis In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
2013Econometric Modelling with Time Series In: Cambridge Books.
[Citation analysis]		book25
2013Econometric Modelling with Time Series.(2013) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 25		book
1998ENDOGENOUS JUMPING AND ASSET PRICE DYNAMICS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article4
2004Empirical Modelling of Contagion: A Review of Methodologies In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper339
2004Empirical Modelling of Contagion: A Review of Methodologies.(2004) In: Econometric Society 2004 Far Eastern Meetings.
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2005Empirical modelling of contagion: a review of methodologies.(2005) In: Quantitative Finance.
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This paper has another version. Agregated cites: 339		article
2004Discounting The Equity Premium Puzzle In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper2
2008Computing the Distributions of Economic Models via Simulation In: Econometrica.
[Full Text][Citation analysis]		article17
1993Multiple equilibria and hysteresis in simple exchange models In: Economic Modelling.
[Full Text][Citation analysis]		article5
2006A reexamination of the equity-premium puzzle: A robust non-parametric approach In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article4
2006A reexamination of the equity-premium puzzle: A robust non-parametric approach.(2006) In: Departmental Working Papers.
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2007Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article31
1999Indirect estimation of ARFIMA and VARFIMA models In: Journal of Econometrics.
[Full Text][Citation analysis]		article17
1997Indirect Estimation of Arfima and Varfima Models..(1997) In: Department of Economics - Working Papers Series.
[Citation analysis]
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2006Contagion in international bond markets during the Russian and the LTCM crises In: Journal of Financial Stability.
[Full Text][Citation analysis]		article75
2004Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002 In: Global Finance Journal.
[Full Text][Citation analysis]		article6
1998The distribution of exchange rate returns and the pricing of currency options In: Journal of International Economics.
[Full Text][Citation analysis]		article4
2008International monetary policy surprise spillovers In: Journal of International Economics.
[Full Text][Citation analysis]		article52
2014Financial contagion and asset pricing In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article25
2013Financial Contagion and Asset Pricing.(2013) In: CAMA Working Papers.
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2009Optimal conservation, extinction debt, and the augmented quasi-option value In: Journal of Environmental Economics and Management.
[Full Text][Citation analysis]		article14
2013Intergenerational earnings mobility: A new decomposition of investment and endowment effects In: Labour Economics.
[Full Text][Citation analysis]		article16
2006Pricing currency options in the presence of time-varying volatility and non-normalities In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]		article6
2005SHOCKS AND SYSTEMIC INFLUENCES: CONTAGION IN GLOBAL EQUITY MARKETS IN 1998 In: CAMA Working Papers.
[Full Text][Citation analysis]		paper2
2008A NEW CLASS OF TESTS OF CONTAGION WITH APPLICATIONS TO REAL ESTATE MARKETS In: CAMA Working Papers.
[Full Text][Citation analysis]		paper8
2008ARE FINANCIAL CRISES ALIKE? In: CAMA Working Papers.
[Full Text][Citation analysis]		paper60
2017Joint tests of contagion with applications to financial crises In: CAMA Working Papers.
[Full Text][Citation analysis]		paper4
2013Dynamic letter volume models: how does an economic downturn affect substitution propensities? In: Chapters.
[Full Text][Citation analysis]		chapter0
2012Forecasting Letter Volumes: Augmenting Econometric Baseline Projections In: Chapters.
[Full Text][Citation analysis]		chapter1
1995Modelling the Term Structure. In: Australian National University - Department of Economics.
[Citation analysis]		paper61
1996A Non-linear Model of the Real US-UK Exchange Rate. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article9
2000A multivariate latent factor decomposition of international bond yield spreads In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article94
2005Parametric pricing of higher order moments in S&P500 options In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article20
2002Parametric Pricing of Higher Order Moments in S&P500 Options..(2002) In: Monash Econometrics and Business Statistics Working Papers.
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2007Unravelling financial market linkages during crises In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article140
1995Does Capital Chase Labour Internationally. In: Department of Economics - Working Papers Series.
[Citation analysis]		paper1
1995Testingh Speculative Efficiency: Pitfalls, Puzzles and Parametrics. In: Department of Economics - Working Papers Series.
[Citation analysis]		paper0
1995A Nonlinear Characterization of Asset Dynamics with an Application to the 1987 Stock Market Crash. In: Department of Economics - Working Papers Series.
[Citation analysis]		paper0
2014Hedging Supply Risks: An Optimal Urban Water Portfolio In: Monash Economics 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.
[Citation analysis]		paper0
2002Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns 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.
[Full Text][Citation analysis]		paper2
2016Hedging Supply Risks: An Optimal Water Portfolio In: American Journal of Agricultural Economics.
[Full Text][Citation analysis]		article4
2011Transmission of Financial Crises and Contagion: A Latent Factor Approach In: OUP Catalogue.
[Citation analysis]		book24
2014Sectoral Contagion: A Dynamic Factor Analysis of the Great Recession In: 2014 Meeting Papers.
[Citation analysis]		paper0
2003Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion? In: Australian Journal of Management.
[Full Text][Citation analysis]		article26
2004A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis In: Journal of Emerging Market Finance.
[Full Text][Citation analysis]		article25
2006Correlation, Contagion, and Asian Evidence In: Asian Economic Papers.
[Full Text][Citation analysis]		article21
1990Derivation of a Leading Index for the United States Using Kalman Filters. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article0
1995International Business Cycles and Financial Integration. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article10

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