Vance Lindsay Martin : Citation Profile


Are you Vance Lindsay Martin?

University of Melbourne

15

H index

21

i10 index

984

Citations

RESEARCH PRODUCTION:

45

Articles

31

Papers

3

Books

2

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   31 years (1986 - 2017). See details.
   Cites by year: 31
   Journals where Vance Lindsay Martin has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 29 (2.86 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pma552
   Updated: 2018-06-16    RAS profile: 2017-08-28    
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Relations with other researchers


Works with:

Fry-McKibbin, Renee (3)

Leroux, Anke (3)

Tang, Chrismin (2)

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 (54)

Flavin, Thomas (39)

Fry-McKibbin, Renee (29)

Panopoulou, Ekaterini (25)

Fratzscher, Marcel (24)

Thorp, Susan (13)

Sentana, Enrique (13)

Fiorentini, Gabriele (12)

Baur, Dirk (12)

Unalmis, Deren (12)

YALAMA, Abdullah (12)

Cites to:

Dungey, Mardi (47)

Kaminsky, Graciela (45)

Fry-McKibbin, Renee (34)

Rose, Andrew (33)

Reinhart, Carmen (31)

Masson, Paul (20)

Rigobon, Roberto (20)

Schmukler, Sergio (19)

Wyplosz, Charles (17)

Eichengreen, Barry (17)

Engle, Robert (16)

Main data


Where Vance Lindsay Martin has published?


Journals with more than one article published# docs
Australian Economic Papers6
The Economic Record4
Journal of Applied Econometrics4
Journal of Time Series Analysis3
The Review of Economics and Statistics2
Journal of Business & Economic Statistics2
The North American Journal of Economics and Finance2
Journal of International Economics2

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
IMF Working Papers / International Monetary Fund5
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Vance Lindsay Martin (2018 and 2017)


YearTitle of citing document
2017Relation between regional uncertainty spillovers in the global banking system. (2017). Tungsong, Sachapon ; Aste, Tomaso ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.05944.

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2017Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028.

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2017Derivative-Based Optimization with a Non-Smooth Simulated Criterion. (2017). Frazier, David T ; Zhu, Dan . In: Papers. RePEc:arx:papers:1708.02365.

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2017The Reaction of the Australian Stock Market to Monetary Policy Announcements from the Reserve Bank of Australia. (2017). Brown, Alexandra ; Karpaviius, Sigitas. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:300:p:20-41.

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2017On the Identification of Interdependence and Contagion of Financial Crises. (2017). Bacchiocchi, Emanuele. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:6:p:1148-1175.

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2017A ternary-state early warning system for the European Union. (2017). Papadopoulos, Savas ; Baranoff, Etti ; Sager, Thomas ; Stavroulias, Pantelis . In: Working Papers. RePEc:bog:wpaper:222.

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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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2018Transmission of Shock across International Stock Markets: An Econometric Analysis. (2018). Talwar, Shalini ; Pansare, Jayant . In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2018:i:1:p:110-119.

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2017Introducing global term structure in a risk parity framework. (2017). Stagnol, Lauren. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-23.

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2017On the Co-movements among East Asian Foreign Exchange Markets: A Multivariate FIAPARCH-DCC approach. (2017). el Abed, Riadh. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00370.

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2017Oil and stock markets before and after financial crises : a local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2016-11.

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2017The impact of EMU on bond yield convergence: Evidence from a time-varying dynamic factor model. (2017). Kishor, N ; Ma, Jun ; Bhatt, Vipul . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:206-222.

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2017Asset market response to monetary policy news from SNB press releases. (2017). Huning, Hendrik . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:160-177.

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2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2018Immunity and infection: Emerging and developed market sovereign spreads over the Global Financial Crisis. (2018). Wu, Eliza ; Thorp, Susan ; Cayon, Edgardo. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:162-174.

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2017International stock market comovement in time and scale outlined with a thick pen. (2017). Jach, Agnieszka. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:115-129.

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2017Intra- and inter-regional portfolio diversification strategies under regional market integration: Evidence from U.S. global banks. (2017). Lee, Eun-Joo . In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:1-22.

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2017Stock market contagion during the global financial crisis: A multiscale approach. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; Lin, Min ; Xie, Chi. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:163-168.

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2017Time varying contagion in EMU government bond spreads. (2017). Leschinski, Christian ; Bertram, Philip . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:72-91.

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2017International stock market leadership and its determinants. (2017). Cai, Charlie X ; Zhang, QI ; Mobarek, Asma. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:150-162.

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2018Measuring sovereign contagion in Europe. (2018). Pelizzon, Loriana ; Caporin, Massimiliano ; Rigobon, Roberto ; Ravazzolo, Francesco. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:150-181.

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2017Financial market implications of monetary policy coincidences: Evidence from the UK and Euro Area government-bond markets. (2017). Arestis, Philip ; Phelps, Peter . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:49:y:2017:i:c:p:88-102.

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2018Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?. (2018). Aristeidis, Samitas ; Elias, Kampouris. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:263-286.

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2017Federal reserves policy, global equity markets, and the local monetary policy stance. (2017). Chortareas, Georgios ; Noikokyris, Emmanouil . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:317-327.

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2017Transmission of financial stress in Europe: The pivotal role of Italy and Spain, but not Greece. (2017). Johnson, Christian ; Gonzalez-Hermosillo, Brenda . In: Journal of Economics and Business. RePEc:eee:jebusi:v:90:y:2017:i:c:p:49-64.

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2017A tale of two tails: Explaining extreme events in financialized agricultural markets. (2017). Algieri, Bernardina ; Koch, Nicolas ; Kalkuhl, Matthias. In: Food Policy. RePEc:eee:jfpoli:v:69:y:2017:i:c:p:256-269.

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2017Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis. (2017). Fratzscher, Marcel ; Ehrmann, Michael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:26-44.

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2017Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme. (2017). Beetsma, Roel ; Widijanto, Daniel ; Giuliodori, Massimo ; de Jong, Frank. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:75:y:2017:i:c:p:14-31.

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2018Factors of the term structure of sovereign yield spreads. (2018). Wellmann, Dennis ; Truck, Stefan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

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2017Bubbles in the Australian housing market. (2017). Baur, Dirk G ; Heaney, Richard. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:44:y:2017:i:c:p:113-126.

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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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2017Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events?. (2017). Henry, Darren ; Bhatti, Ishaq M ; Nguyen, Cuong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:480:y:2017:i:c:p:10-21.

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2017Renewables diffusion and contagion effect in Italian regional electricity markets: Assessment and policy implications. (2017). Polinori, Paolo ; Bollino, Carlo Andrea ; Bigerna, Simona ; Ciferri, Davide . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:68:y:2017:i:p1:p:199-211.

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2017The impact of FIFA’s official announcements on the stock market of Qatar: The case of the 2022 World Cup. (2017). al Refai, Hisham ; Eissa, Mohamed Abdelaziz . In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:347-353.

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2017Signed spillover effects building on historical decompositions. (2017). Siklos, Pierre ; Dungey, Mardi ; Volkov, Vladimir ; Harvey, John . In: CAMA Working Papers. RePEc:een:camaaa:2017-52.

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2018Measuring financial interdependence in asset returns with an application to euro zone equities. (2018). Fry-McKibbin, Renee ; Martin, Vance L ; Hsiao, Cody Yu-Ling. In: CAMA Working Papers. RePEc:een:camaaa:2018-05.

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2018Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105878.

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2018The Expansion of the Brazilian Winter Corn Crop and Its Impact on Price Transmission. (2018). Mattos, Fabio L ; Franco, Rodrigo Lanna . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:45-:d:142628.

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2018Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:1:p:15-:d:137130.

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2018A Leverage-Based Measure of Financial Stability. (2018). Borowiecki, Karol ; Tepper, Alexander ; Adrian, Tobias. In: Discussion Papers of Business and Economics. RePEc:hhs:sdueko:2018_001.

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2017Asynchronous Signaling in Global Equity Markets:Based on Opening Times. (2017). Dong, Huijian . In: International Business Research. RePEc:ibn:ibrjnl:v:10:y:2017:i:8:p:173-191.

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2017Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis. (2017). Zhou, Wei. In: Computational Economics. RePEc:kap:compec:v:50:y:2017:i:2:d:10.1007_s10614-016-9606-z.

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2018Is there really any Contagion among Major Equity and Securitized Real Estate Markets? Analysis from a New Perspective. (2018). , Eddie ; Kwan, KA. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:56:y:2018:i:4:d:10.1007_s11146-016-9580-1.

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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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2017On the Global Financial Market Integration “Swoosh” and the Trilemma. (2017). Mehl, Arnaud ; Bekaert, Geert. In: NBER Working Papers. RePEc:nbr:nberwo:23124.

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2018Global Commodity Prices and Global Stock Volatility Shocks. (2018). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: MPRA Paper. RePEc:pra:mprapa:84250.

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2017Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains. (2017). Wohar, Mark ; GUPTA, RANGAN ; Cunado, Juncal ; Tiwari, Aviral Kumar. In: Working Papers. RePEc:pre:wpaper:201780.

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2017Online Appendix to Aggregate Consequences of Dynamic Credit Relationships. (2017). Verani, Stephane. In: Technical Appendices. RePEc:red:append:15-244.

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2017Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study. (2017). Deisting, Florent ; Pandey, Piyush ; Sehgal, Sanjay. In: Working Papers. RePEc:tac:wpaper:2016-2017_7.

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2017The changing international network of sovereign debt and financial institutions. (2017). Dungey, Mardi ; Volkov, Vladimir ; Harvey, John . In: Working Papers. RePEc:tas:wpaper:23500.

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2018Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180024.

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2018Financial Contagion in the BRICS Stock Markets: An empirical analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis. (2018). Pereira, Dirceu. In: Journal of Economics and Financial Analysis. RePEc:trp:01jefa:jefa0011.

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2018Big data, computational science, economics, finance, marketing, management, and psychology: connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1805.

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2017The CO2 emissions in Finland, Norway and Sweden: a dynamic relationship. (2017). Alonso-Rodriguez, Agustin . In: EconStor Preprints. RePEc:zbw:esprep:171259.

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2017Interconnectedness in the global financial market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Kiel Working Papers. RePEc:zbw:ifwkwp:2076.

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2017Transmission channels of intergenerational income mobility: Empirical evidence from Germany and the Unites States. (2017). Coban, Mustafa ; Sauerhammer, Sarah . In: Discussion Paper Series. RePEc:zbw:wuewwb:138.

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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.
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paper0
2011A GOODNESS OF FIT TEST FOR ERGODIC MARKOV PROCESSES.(2011) In: KIER Working Papers.
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paper
2014Optimal Portfolio Management of Urban Water In: 2014 Conference (58th), February 4-7, 2014, Port Maquarie, Australia.
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paper0
1994A Spectral-Temporal Index with an Application to U.S. Interest Rates. In: Journal of Business & Economic Statistics.
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article0
2010A New Class of Tests of Contagion With Applications In: Journal of Business & Economic Statistics.
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article45
1987Leads and Lags in the Australian Business Cycle: A Canonical Approach in the Frequency Domain. In: Australian Economic Papers.
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article0
1989Weighted Monetary Aggregates: An Empirical Study Using Australian Monetary Data, 1969-1987. In: Australian Economic Papers.
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article0
1992Testing the Causal Properties of Economic Theories: An Application to a Small Australian Macroeconomic Model. In: Australian Economic Papers.
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article0
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.
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article0
2004CURRENCY MARKET CONTAGION IN THE ASIA-PACIFIC REGION In: Australian Economic Papers.
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article21
1998Nonlinear Modelling Using the Generalized Exponential Family of Distributions. In: Bulletin of Economic Research.
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article1
1986Asset Substitution and Aggregate Liquidity in Australia: 1969-1983. In: The Economic Record.
[Citation analysis]
article0
1989An Investigation into the Major Causes of Australias Recent Inflation and Some Policy Implications. In: The Economic Record.
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article4
2008The Role of Portfolio Shocks in a Structural Vector Autoregressive Model of the Australian Economy In: The Economic Record.
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article3
2010Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy? In: The Economic Record.
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article6
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.
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article12
2005Implicit Bayesian Inference Using Option Prices In: Journal of Time Series Analysis.
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article6
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.
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article2
1994A Model of the Distribution of Prices. In: Oxford Bulletin of Economics and Statistics.
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article6
2009Interest Rate Conundrum In: The B.E. Journal of Macroeconomics.
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article10
2014Modelling nonlinearities in equity returns: the mean impact curve analysis In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2013Econometric Modelling with Time Series In: Cambridge Books.
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book4
2013Econometric Modelling with Time Series.(2013) In: Cambridge Books.
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book
1998Econometric Society Australasian Meetings 1997 (ESAM97) In: Econometric Theory.
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article1
1998ENDOGENOUS JUMPING AND ASSET PRICE DYNAMICS In: Macroeconomic Dynamics.
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article4
2004Empirical Modelling of Contagion: A Review of Methodologies In: Econometric Society 2004 Australasian Meetings.
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2004Empirical Modelling of Contagion: A Review of Methodologies.(2004) In: Econometric Society 2004 Far Eastern Meetings.
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2004Empirical Modeling of Contagion; A Review of Methodologies.(2004) In: IMF Working Papers.
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2005Empirical modelling of contagion: a review of methodologies.(2005) In: Quantitative Finance.
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2004Discounting The Equity Premium Puzzle In: Econometric Society 2004 Australasian Meetings.
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2008Computing the Distributions of Economic Models via Simulation In: Econometrica.
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1993Multiple equilibria and hysteresis in simple exchange models In: Economic Modelling.
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article3
2006A reexamination of the equity-premium puzzle: A robust non-parametric approach In: The North American Journal of Economics and Finance.
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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.
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article20
1999Indirect estimation of ARFIMA and VARFIMA models In: Journal of Econometrics.
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article13
1997Indirect Estimation of Arfima and Varfima Models..(1997) In: Department of Economics - Working Papers Series.
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2006Contagion in international bond markets during the Russian and the LTCM crises In: Journal of Financial Stability.
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article47
2004Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002 In: Global Finance Journal.
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article3
1998The distribution of exchange rate returns and the pricing of currency options In: Journal of International Economics.
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article3
2008International monetary policy surprise spillovers In: Journal of International Economics.
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article30
2014Financial contagion and asset pricing In: Journal of Banking & Finance.
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article7
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.
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article12
2013Intergenerational earnings mobility: A new decomposition of investment and endowment effects In: Labour Economics.
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article6
2006Pricing currency options in the presence of time-varying volatility and non-normalities In: Journal of Multinational Financial Management.
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article5
2005SHOCKS AND SYSTEMIC INFLUENCES: CONTAGION IN GLOBAL EQUITY MARKETS IN 1998 In: CAMA Working Papers.
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2008A NEW CLASS OF TESTS OF CONTAGION WITH APPLICATIONS TO REAL ESTATE MARKETS In: CAMA Working Papers.
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paper2
2008ARE FINANCIAL CRISES ALIKE? In: CAMA Working Papers.
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paper51
2010Are Financial Crises Alike?.(2010) In: IMF Working Papers.
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2017Joint tests of contagion with applications to financial crises In: CAMA Working Papers.
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paper1
2013Dynamic letter volume models: how does an economic downturn affect substitution propensities? In: Chapters.
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2012Forecasting Letter Volumes: Augmenting Econometric Baseline Projections In: Chapters.
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chapter1
1995Modelling the Term Structure. In: Australian National University - Department of Economics.
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paper63
2002International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse In: IMF Working Papers.
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paper19
2003Characterizing Global Investors Risk Appetite for Emerging Market Debt During Financial Crises In: IMF Working Papers.
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paper8
2003Unanticipated Shocks and Systemic Influences; The Impact of Contagion in Global Equity Markets in 1998 In: IMF Working Papers.
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paper9
1996A Non-linear Model of the Real US-UK Exchange Rate. In: Journal of Applied Econometrics.
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article7
2000A multivariate latent factor decomposition of international bond yield spreads In: Journal of Applied Econometrics.
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article76
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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2007Unravelling financial market linkages during crises In: Journal of Applied Econometrics.
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article104
1995Does Capital Chase Labour Internationally. In: Department of Economics - Working Papers Series.
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paper1
1995Testingh Speculative Efficiency: Pitfalls, Puzzles and Parametrics. In: Department of Economics - Working Papers Series.
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1995A Nonlinear Characterization of Asset Dynamics with an Application to the 1987 Stock Market Crash. In: Department of Economics - Working Papers Series.
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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.
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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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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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2016Hedging Supply Risks: An Optimal Water Portfolio In: American Journal of Agricultural Economics.
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2011Transmission of Financial Crises and Contagion: A Latent Factor Approach In: OUP Catalogue.
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2014Sectoral Contagion: A Dynamic Factor Analysis of the Great Recession In: 2014 Meeting Papers.
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2003Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion? In: Australian Journal of Management.
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2004A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis In: Journal of Emerging Market Finance.
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2006Correlation, Contagion, and Asian Evidence In: Asian Economic Papers.
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1990Derivation of a Leading Index for the United States Using Kalman Filters. In: The Review of Economics and Statistics.
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1995International Business Cycles and Financial Integration. In: The Review of Economics and Statistics.
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