15
H index
22
i10 index
1098
Citations
Vance Lindsay Martin : Citation Profile
University of Melbourne | RESEARCH PRODUCTION: 45 Articles 31 Papers 3 Books 2 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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31 years (1986 - 2017). 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:
| Cites to:
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Main data
Where Vance Lindsay Martin has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics | 6 |
| IMF Working Papers / International Monetary Fund | 5 |
| Econometric Society 2004 Australasian Meetings / Econometric Society | 2 |
Recent works citing Vance Lindsay Martin (2018 and 2017)
| Year | Title of citing document | |
|---|---|---|
| 2018 | The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38. Full description at Econpapers || Download paper | |
| 2017 | Comparative Study of Short-Term Time Series Models: Use of Mobile Telecommunication Services in CR Regions. (2017). Koppelova, J ; Jindrova, A. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:262451. Full description at Econpapers || Download paper | |
| 2017 | The Use of Combined Models in the Construction of Foodstuffs Consumption Forecasting in the Czech Republic. (2017). Svatoova, L ; Koppelova, J. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276075. Full description at Econpapers || Download paper | |
| 2017 | Relation between regional uncertainty spillovers in the global banking system. (2017). Tungsong, Sachapon ; Aste, Tomaso ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.05944. Full description at Econpapers || Download paper | |
| 2017 | Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028. Full description at Econpapers || Download paper | |
| 2019 | Indirect Inference with a Non-Smooth Criterion Function. (2018). Oka, Tatsushi ; Zhu, Dan ; Frazier, David T. In: Papers. RePEc:arx:papers:1708.02365. Full description at Econpapers || Download paper | |
| 2018 | Determining the dimension of factor structures in non-stationary large datasets. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1806.03647. Full description at Econpapers || Download paper | |
| 2018 | Measuring the dynamics of APEC output connectedness. (2018). Ogbuabor, Jonathan E ; Charles, Manasseh O ; Aneke, Gladys C ; Eigbiremolen, Godastime O. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:32:y:2018:i:1:p:29-44. Full description at Econpapers || Download paper | |
| 2019 | Does money have a role in the inflation process? Evidence from Australia. (2019). Hossain, Akhand Akhtar. In: Australian Economic Papers. RePEc:bla:ausecp:v:58:y:2019:i:2:p:113-129. Full description at Econpapers || Download paper | |
| 2019 | How justified is abandoning money in the conduct of monetary policy in Australia on the grounds of instability in the money‐demand function?. (2019). Hossain, Akhand Akhtar. In: Economic Notes. RePEc:bla:ecnote:v:48:y:2019:i:2:n:e12131. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | Extreme Returns in the European financial crisis. (2017). Chouliaras, Andreas ; Grammatikos, Theoharry. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:4:p:728-760. Full description at Econpapers || Download paper | |
| 2018 | The contagion versus interdependence controversy between hedge funds and equity markets. (2018). Kim, Taeyoon ; Lee, Hee Soo. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:3:p:309-330. Full description at Econpapers || Download paper | |
| 2018 | Hedge Fund Styles and their Contagion from the Equity Market. (2018). Kim, Tae Yoon ; Lee, Hee Soo. In: International Review of Finance. RePEc:bla:irvfin:v:18:y:2018:i:1:p:91-112. Full description at Econpapers || Download paper | |
| 2017 | On 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. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2018 | CONTAGION AND CORRELATION IN EMPIRICAL MODELS OF BANK CREDIT RISK IN ISRAEL. (2018). Beenstock, Michael ; Khatib, Mahmood. In: Israel Economic Review. RePEc:boi:isrerv:v:15:y:2018:i:1:p:1-34. Full description at Econpapers || Download paper | |
| 2019 | A regime switching skew-normal model of contagion. (2019). Fry-McKibbin, Renee ; Chan, Joshua ; Yu-Ling, Hsiao Cody ; Renee, Fry-Mckibbin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:24:n:3. Full description at Econpapers || Download paper | |
| 2019 | Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach. (2019). GUPTA, RANGAN ; Caporin, Massimiliano ; Ravazzolo, Francesco. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps61. Full description at Econpapers || Download paper | |
| 2018 | Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy. (2018). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7279. Full description at Econpapers || Download paper | |
| 2019 | Mildly Explosive Dynamics in U.S. Fixed Income Markets. (2019). Guidolin, Massimo ; De Pace, Pierangelo ; Contessi, Silvio ; DePace, Pierangelo. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1001. Full description at Econpapers || Download paper | |
| 2018 | Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803. Full description at Econpapers || Download paper | |
| 2017 | Implicit 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. Full description at Econpapers || Download paper | |
| 2018 | Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824. Full description at Econpapers || Download paper | |
| 2017 | Risk Generating Industries for European Stock Markets. (2017). Calin, Adrian Cantemir ; Albu, Lucian ; Lupu, Radu. In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2017:i:4:p:5-17. Full description at Econpapers || Download paper | |
| 2018 | Transmission 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. Full description at Econpapers || Download paper | |
| 2017 | Introducing global term structure in a risk parity framework. (2017). Stagnol, Lauren. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-23. Full description at Econpapers || Download paper | |
| 2017 | On 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. Full description at Econpapers || Download paper | |
| 2019 | Interest rates and foreign spillovers. (2019). De Santis, Roberto A ; Zimic, Sreko. In: Working Paper Series. RePEc:ecb:ecbwps:20192221. Full description at Econpapers || Download paper | |
| 2017 | Oil 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. Full description at Econpapers || Download paper | |
| 2018 | News and expected returns in East Asian equity markets: The RV-GARCHM model. (2018). Yao, Wenying ; Tang, Chrismin ; Martin, Vance L. In: Journal of Asian Economics. RePEc:eee:asieco:v:57:y:2018:i:c:p:36-52. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2018 | Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes. (2018). Alexakis, Christos ; Pappas, Vasileios. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:222-239. Full description at Econpapers || Download paper | |
| 2017 | Asset 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. Full description at Econpapers || Download paper | |
| 2017 | Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). RodrÃguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420. Full description at Econpapers || Download paper | |
| 2018 | Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201. Full description at Econpapers || Download paper | |
| 2018 | Global and regional financial integration in East Asia and the ASEAN. (2018). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Martin, Vance L. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:202-221. Full description at Econpapers || Download paper | |
| 2019 | Financial contagion in the subprime crisis context: A copula approach. (2019). Zaabi, Elmoez ; Lakhal, Faten ; Zorgati, Imen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:269-282. Full description at Econpapers || Download paper | |
| 2018 | Testing 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. Full description at Econpapers || Download paper | |
| 2018 | A spectral EM algorithm for dynamic factor models. (2018). Sentana, Enrique ; Galesi, Alessandro ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:249-279. Full description at Econpapers || Download paper | |
| 2018 | Immunity 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. Full description at Econpapers || Download paper | |
| 2017 | International 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. Full description at Econpapers || Download paper | |
| 2018 | The contagious effects on economic development after resuming construction policy for nuclear power plants in Coastal China. (2018). Hsiao, Cody Yu-Ling ; Chen, Hsing Hung. In: Energy. RePEc:eee:energy:v:152:y:2018:i:c:p:291-302. Full description at Econpapers || Download paper | |
| 2017 | Intra- 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. Full description at Econpapers || Download paper | |
| 2018 | Is U.S. economic policy uncertainty priced in Chinas A-shares market? Evidence from market, industry, and individual stocks. (2018). Kutan, Ali ; Sun, Ping-Wen ; Hu, Zhijun. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:207-220. Full description at Econpapers || Download paper | |
| 2019 | A systematic review of sovereign connectedness on emerging economies. (2019). Gonzalez-Urteaga, Ana ; Diaz-Mendoza, Ana Carmen ; Ballester, Laura. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:157-163. Full description at Econpapers || Download paper | |
| 2019 | Financial markets of the LAC region: Does the crisis influence the financial integration?. (2019). da Silva, Jacinto Vidigal ; Dias, Rui ; Dionisio, Andreia. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:160-173. Full description at Econpapers || Download paper | |
| 2019 | Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach. (2019). Kumar, Satish ; Tiwari, Aviral Kumar ; Ji, Qiang ; Chauhan, Yogesh. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:273-284. Full description at Econpapers || Download paper | |
| 2017 | Stock 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. Full description at Econpapers || Download paper | |
| 2018 | Causality in the EMU sovereign bond markets. (2018). Gonzalez-Sanchez, Mariano. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:281-290. Full description at Econpapers || Download paper | |
| 2017 | Time 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. Full description at Econpapers || Download paper | |
| 2017 | International 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. Full description at Econpapers || Download paper | |
| 2018 | Measuring 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. Full description at Econpapers || Download paper | |
| 2018 | How sensitive is corporate debt to swings in commodity prices?. (2018). Donders, Pablo ; Wagner, Rodrigo ; Jara, Mauricio. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:237-258. Full description at Econpapers || Download paper | |
| 2019 | Afforestation as a real option with joint production of environmental services. (2019). Jacobsen, Jette Bredahl ; Strange, Niels ; Thorsen, Bo Jellesmark. In: Forest Policy and Economics. RePEc:eee:forpol:v:104:y:2019:i:c:p:146-156. Full description at Econpapers || Download paper | |
| 2019 | Asymptotics of multivariate conditional risk measures for Gaussian risks. (2019). Ling, Chengxiu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:205-215. Full description at Econpapers || Download paper | |
| 2017 | Financial 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. Full description at Econpapers || Download paper | |
| 2018 | Empirical 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. Full description at Econpapers || Download paper | |
| 2018 | Identifying contagion: A unifying approach. (2018). Gebka, Bartosz ; Robert, ; Sewraj, Deeya. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:224-240. Full description at Econpapers || Download paper | |
| 2018 | Financial market spillovers during the quantitative easing programmes of the global financial crisis (2007–2009) and the European debt crisis. (2018). Corbet, Shaen ; Larkin, Charles ; Meegan, Andrew. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:128-148. Full description at Econpapers || Download paper | |
| 2019 | Approximate 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. Full description at Econpapers || Download paper | |
| 2017 | Federal 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. Full description at Econpapers || Download paper | |
| 2018 | Asset market responses to conventional and unconventional monetary policy shocks in the United States. (2018). Krippner, Leo ; Claus, Edda. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:270-282. Full description at Econpapers || Download paper | |
| 2017 | Transmission 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. Full description at Econpapers || Download paper | |
| 2018 | An auction mechanism for the optimal provision of ecosystem services under climate change. (2018). Polasky, Stephen ; Lewis, David J. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:92:y:2018:i:c:p:20-34. Full description at Econpapers || Download paper | |
| 2017 | A 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. Full description at Econpapers || Download paper | |
| 2017 | Euro 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. Full description at Econpapers || Download paper | |
| 2017 | Realized (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. Full description at Econpapers || Download paper | |
| 2018 | Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Truck, Stefan ; Wellmann, Dennis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75. Full description at Econpapers || Download paper | |
| 2018 | “Risky” monetary aggregates for the UK and US. (2018). Binner, Jane M ; Swofford, James L ; Kelly, Logan ; Chaudhry, Sajid . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:89:y:2018:i:c:p:127-138. Full description at Econpapers || Download paper | |
| 2019 | On the global financial market integration “swoosh” and the trilemma. (2019). Mehl, Arnaud ; Bekaert, Geert. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:94:y:2019:i:c:p:227-245. Full description at Econpapers || Download paper | |
| 2017 | Bubbles 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. Full description at Econpapers || Download paper | |
| 2017 | European 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. Full description at Econpapers || Download paper | |
| 2017 | Are 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. Full description at Econpapers || Download paper | |
| 2018 | Univariate dependence among sectors in Chinese stock market and systemic risk implication. (2018). Hao, Jing ; He, Feng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:355-364. Full description at Econpapers || Download paper | |
| 2019 | The systemic risk of China’s stock market during the crashes in 2008 and 2015. (2019). Zhang, Junhuan ; Chen, Xinyi ; Zhao, Shangmei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:520:y:2019:i:c:p:161-177. Full description at Econpapers || Download paper | |
| 2018 | Quantile dependence between the stock, bond and foreign exchange markets – Evidence from the UK. (2018). Raza, Hamid ; Wu, Weiou. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:286-296. Full description at Econpapers || Download paper | |
| 2018 | Measuring bank downside systemic risk in Taiwan. (2018). Su, Ender ; Wong, Kai Wen. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:172-193. Full description at Econpapers || Download paper | |
| 2018 | Volatility spillovers across global asset classes: Evidence from time and frequency domains. (2018). Tiwari, Aviral Kumar ; Wohar, Mark E ; Gupta, Rangan ; Cunado, Juncal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:194-202. Full description at Econpapers || Download paper | |
| 2017 | Renewables 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. Full description at Econpapers || Download paper | |
| 2018 | Addressing water shortages by force of habit. (2018). Leroux, Anke D ; Zheng, Hao ; Martin, Vance L. In: Resource and Energy Economics. RePEc:eee:resene:v:53:y:2018:i:c:p:42-61. Full description at Econpapers || Download paper | |
| 2019 | Fossil fuel share in the energy mix and economic growth. (2019). Kibria, Ahsan ; Oladi, Reza ; Akhundjanov, Sherzod B. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:253-264. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2017 | Signed spillover effects building on historical decompositions. (2017). Siklos, Pierre ; Dungey, Mardi ; Volkov, Vladimir ; Harvey, John . In: CAMA Working Papers. RePEc:een:camaaa:2017-52. Full description at Econpapers || Download paper | |
| 2018 | Measuring financial interdependence in asset returns with an application to euro zone equities. (2018). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Martin, Vance L. In: CAMA Working Papers. RePEc:een:camaaa:2018-05. Full description at Econpapers || Download paper | |
| 2018 | Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:104260. Full description at Econpapers || Download paper | |
| 2018 | Decision 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. Full description at Econpapers || Download paper | |
| 2018 | International Spillovers of Monetary Policy : Conventional Policy vs. Quantitative Easing. (2018). Curcuru, Stephanie E ; del Giudice, Marius ; Li, Canlin ; Kamin, Steven B. In: International Finance Discussion Papers. RePEc:fip:fedgif:1234. Full description at Econpapers || Download paper | |
| 2019 | Dynamic specification tests for dynamic factor models. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_07. Full description at Econpapers || Download paper | |
| 2019 | Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis. (2019). Vieira, Isabel ; Ferreira, Paulo ; Dionisio, Andreia ; Mohti, Wahbeeah. In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:1:p:15-:d:209311. Full description at Econpapers || Download paper | |
| 2018 | Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets. (2018). Toyoshima, Yuki ; Hamori, Shigeyuki. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:11:p:2893-:d:178030. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2018 | Big 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. Full description at Econpapers || Download paper | |
| 2019 | The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe. (2019). Stanciu, Cristian-Valeriu ; Clichici, Dorina ; Moagr-Poladian, Simona. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:14:p:3985-:d:250829. Full description at Econpapers || Download paper | |
| 2017 | Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study. (2018). Sehgal, Sanjay ; Deisting, Florent ; Pandey, Piyush. In: Working Papers. RePEc:hal:wpaper:hal-01885142. Full description at Econpapers || Download paper | |
| 2018 | A 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. Full description at Econpapers || Download paper | |
| 2018 | TAIWAN AND U.S. EQUITY MARKET INTERDEPENDENCE AND CONTAGION: EVIDENCE FROM FOUR-FACTOR MODEL. (2018). Li, Chun-An ; Huang, Chin-Sheng ; Lee, Min-Ching. In: The International Journal of Business and Finance Research. RePEc:ibf:ijbfre:v:12:y:2018:i:2:p:95-115. Full description at Econpapers || Download paper | |
| 2017 | Asynchronous 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. Full description at Econpapers || Download paper | |
| 2018 | Logistics and stock market inter-dependence: the case of China. (2018). Cai, Jinghan ; Li, Xiaobing. In: International Journal of Logistics Economics and Globalisation. RePEc:ids:injleg:v:7:y:2018:i:3:p:292-306. Full description at Econpapers || Download paper | |
| 2017 | Dynamic 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. Full description at Econpapers || Download paper | |
| 2019 | Welfare Implications of Water Scarcity: Higher Prices of Desalination. (2019). Salam, Yiit. In: Environmental & Resource Economics. RePEc:kap:enreec:v:73:y:2019:i:4:d:10.1007_s10640-018-0284-2. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Vance Lindsay Martin has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Vance Lindsay Martin:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2011 | A Goodness of Fit Test for Ergodic Markov Processes In: ANU Working Papers in Economics and Econometrics. [Full Text][Citation analysis] | paper | 0 |
| 2011 | A GOODNESS OF FIT TEST FOR ERGODIC MARKOV PROCESSES.(2011) In: KIER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2014 | Optimal Portfolio Management of Urban Water In: 2014 Conference (58th), February 4-7, 2014, Port Macquarie, Australia. [Full Text][Citation analysis] | paper | 0 |
| 1994 | A Spectral-Temporal Index with an Application to U.S. Interest Rates. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 0 |
| 2010 | A New Class of Tests of Contagion With Applications In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 56 |
| 1987 | Leads and Lags in the Australian Business Cycle: A Canonical Approach in the Frequency Domain. In: Australian Economic Papers. [Citation analysis] | article | 0 |
| 1989 | Weighted Monetary Aggregates: An Empirical Study Using Australian Monetary Data, 1969-1987. In: Australian Economic Papers. [Citation analysis] | article | 1 |
| 1992 | Testing the Causal Properties of Economic Theories: An Application to a Small Australian Macroeconomic Model. In: Australian Economic Papers. [Citation analysis] | article | 0 |
| 1992 | No, Business Cycles Are Not All Alike: The United States and Australia Compared. In: Australian Economic Papers. [Citation analysis] | article | 0 |
| 1994 | Australian Short-Term Interest Rates: An Empirical Analysis of the Transmission Process, 1988-1991. In: Australian Economic Papers. [Citation analysis] | article | 0 |
| 2004 | CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION In: Australian Economic Papers. [Full Text][Citation analysis] | article | 22 |
| 1998 | Nonlinear Modelling Using the Generalized Exponential Family of Distributions. In: Bulletin of Economic Research. [Citation analysis] | article | 1 |
| 1986 | Asset Substitution and Aggregate Liquidity in Australia: 1969-1983. In: The Economic Record. [Citation analysis] | article | 0 |
| 1989 | An Investigation into the Major Causes of Australias Recent Inflation and Some Policy Implications. In: The Economic Record. [Citation analysis] | article | 6 |
| 2008 | The Role of Portfolio Shocks in a Structural Vector Autoregressive Model of the Australian Economy In: The Economic Record. [Full Text][Citation analysis] | article | 6 |
| 2010 | Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy? In: The Economic Record. [Full Text][Citation analysis] | article | 6 |
| 2009 | OVERVALUATION IN AUSTRALIAN HOUSING AND EQUITY MARKETS: WEALTH EFFECTS OR MONETARY POLICY?.(2009) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2003 | On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations* In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 11 |
| 2005 | Implicit Bayesian Inference Using Option Prices In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 7 |
| 2000 | Implicit Bayesian Inference Using Option Prices..(2000) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2003 | Implicit Bayesian Inference Using Option Prices.(2003) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2014 | EFFICIENT METHOD OF MOMENTS ESTIMATORS FOR INTEGER TIME SERIES MODELS In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 3 |
| 1994 | A Model of the Distribution of Prices. In: Oxford Bulletin of Economics and Statistics. [Citation analysis] | article | 6 |
| 2009 | Interest Rate Conundrum In: The B.E. Journal of Macroeconomics. [Full Text][Citation analysis] | article | 11 |
| 2014 | Modelling nonlinearities in equity returns: the mean impact curve analysis In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2013 | Econometric Modelling with Time Series In: Cambridge Books. [Citation analysis] | book | 9 |
| 2013 | Econometric Modelling with Time Series.(2013) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 9 | book | |
| 1998 | Econometric Society Australasian Meetings 1997 (ESAM97) In: Econometric Theory. [Full Text][Citation analysis] | article | 1 |
| 1998 | ENDOGENOUS JUMPING AND ASSET PRICE DYNAMICS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 4 |
| 2004 | Empirical Modelling of Contagion: A Review of Methodologies In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 288 |
| 2004 | Empirical Modelling of Contagion: A Review of Methodologies.(2004) In: Econometric Society 2004 Far Eastern Meetings. [Full Text][Citation analysis] This paper has another version. Agregated cites: 288 | paper | |
| 2004 | Empirical Modeling of Contagion; A Review of Methodologies.(2004) In: IMF Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 288 | paper | |
| 2005 | Empirical modelling of contagion: a review of methodologies.(2005) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 288 | article | |
| 2004 | Discounting The Equity Premium Puzzle In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 2 |
| 2008 | Computing the Distributions of Economic Models via Simulation In: Econometrica. [Full Text][Citation analysis] | article | 12 |
| 1993 | Multiple equilibria and hysteresis in simple exchange models In: Economic Modelling. [Full Text][Citation analysis] | article | 4 |
| 2006 | A reexamination of the equity-premium puzzle: A robust non-parametric approach In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 4 |
| 2006 | A reexamination of the equity-premium puzzle: A robust non-parametric approach.(2006) In: Departmental Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2007 | Contagion 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] | article | 20 |
| 1999 | Indirect estimation of ARFIMA and VARFIMA models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 14 |
| 1997 | Indirect Estimation of Arfima and Varfima Models..(1997) In: Department of Economics - Working Papers Series. [Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
| 2006 | Contagion in international bond markets during the Russian and the LTCM crises In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 55 |
| 2004 | Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002 In: Global Finance Journal. [Full Text][Citation analysis] | article | 3 |
| 1998 | The distribution of exchange rate returns and the pricing of currency options In: Journal of International Economics. [Full Text][Citation analysis] | article | 3 |
| 2008 | International monetary policy surprise spillovers In: Journal of International Economics. [Full Text][Citation analysis] | article | 35 |
| 2014 | Financial contagion and asset pricing In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 11 |
| 2013 | Financial Contagion and Asset Pricing.(2013) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2009 | Optimal conservation, extinction debt, and the augmented quasi-option value In: Journal of Environmental Economics and Management. [Full Text][Citation analysis] | article | 14 |
| 2013 | Intergenerational earnings mobility: A new decomposition of investment and endowment effects In: Labour Economics. [Full Text][Citation analysis] | article | 6 |
| 2006 | Pricing currency options in the presence of time-varying volatility and non-normalities In: Journal of Multinational Financial Management. [Full Text][Citation analysis] | article | 5 |
| 2005 | SHOCKS AND SYSTEMIC INFLUENCES: CONTAGION IN GLOBAL EQUITY MARKETS IN 1998 In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | A NEW CLASS OF TESTS OF CONTAGION WITH APPLICATIONS TO REAL ESTATE MARKETS In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2008 | ARE FINANCIAL CRISES ALIKE? In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 53 |
| 2010 | Are Financial Crises Alike?.(2010) In: IMF Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
| 2017 | Joint tests of contagion with applications to financial crises In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Dynamic letter volume models: how does an economic downturn affect substitution propensities? In: Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2012 | Forecasting Letter Volumes: Augmenting Econometric Baseline Projections In: Chapters. [Full Text][Citation analysis] | chapter | 1 |
| 1995 | Modelling the Term Structure. In: Australian National University - Department of Economics. [Citation analysis] | paper | 64 |
| 2002 | International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse In: IMF Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 2003 | Characterizing Global Investors Risk Appetite for Emerging Market Debt During Financial Crises In: IMF Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2003 | Unanticipated Shocks and Systemic Influences; The Impact of Contagion in Global Equity Markets in 1998 In: IMF Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 1996 | A Non-linear Model of the Real US-UK Exchange Rate. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 8 |
| 2000 | A multivariate latent factor decomposition of international bond yield spreads In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 83 |
| 2005 | Parametric pricing of higher order moments in S&P500 options In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 15 |
| 2002 | Parametric Pricing of Higher Order Moments in S&P500 Options..(2002) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
| 2007 | Unravelling financial market linkages during crises In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 118 |
| 1995 | Does Capital Chase Labour Internationally. In: Department of Economics - Working Papers Series. [Citation analysis] | paper | 1 |
| 1995 | Testingh Speculative Efficiency: Pitfalls, Puzzles and Parametrics. In: Department of Economics - Working Papers Series. [Citation analysis] | paper | 0 |
| 1995 | A Nonlinear Characterization of Asset Dynamics with an Application to the 1987 Stock Market Crash. In: Department of Economics - Working Papers Series. [Citation analysis] | paper | 0 |
| 2014 | Hedging Supply Risks: An Optimal Urban Water Portfolio In: Monash Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Private and Public Consumption Expenditure Substitutability : Bayesian Estimates for the G7 Countries. In: Monash Econometrics and Business Statistics Working Papers. [Citation analysis] | paper | 0 |
| 2002 | Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Hedging Supply Risks: An Optimal Water Portfolio In: American Journal of Agricultural Economics. [Full Text][Citation analysis] | article | 2 |
| 2011 | Transmission of Financial Crises and Contagion: A Latent Factor Approach In: OUP Catalogue. [Citation analysis] | book | 16 |
| 2014 | Sectoral Contagion: A Dynamic Factor Analysis of the Great Recession In: 2014 Meeting Papers. [Citation analysis] | paper | 0 |
| 2003 | Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion? In: Australian Journal of Management. [Full Text][Citation analysis] | article | 19 |
| 2004 | A 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] | article | 18 |
| 2006 | Correlation, Contagion, and Asian Evidence In: Asian Economic Papers. [Full Text][Citation analysis] | article | 18 |
| 1990 | Derivation of a Leading Index for the United States Using Kalman Filters. In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 1995 | International Business Cycles and Financial Integration. In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 9 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team