Vance Lindsay Martin : Citation Profile


Are you Vance Lindsay Martin?

University of Melbourne

15

H index

22

i10 index

1098

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: 35
   Journals where Vance Lindsay Martin has often published
   Relations with other researchers
   Recent citing documents: 134.    Total self citations: 29 (2.57 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pma552
   Updated: 2019-10-15    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 (55)

Flavin, Thomas (39)

Fry-McKibbin, Renee (34)

Panopoulou, Ekaterini (25)

Fratzscher, Marcel (24)

Sentana, Enrique (19)

Hsiao, Cody Yu-Ling (15)

Fiorentini, Gabriele (15)

Thorp, Susan (13)

Unalmis, Deren (12)

Baur, Dirk (12)

Cites to:

Dungey, Mardi (47)

Kaminsky, Graciela (45)

Fry-McKibbin, Renee (34)

Rose, Andrew (33)

Reinhart, Carmen (31)

Rigobon, Roberto (20)

Masson, Paul (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
Journal of International Economics2
The Review of Economics and Statistics2
Journal of Business & Economic Statistics2
The North American Journal of Economics and Finance2

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
2018The 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.

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2017Comparative 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.

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2017The 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.

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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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2019Indirect Inference with a Non-Smooth Criterion Function. (2018). Oka, Tatsushi ; Zhu, Dan ; Frazier, David T. In: Papers. RePEc:arx:papers:1708.02365.

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2018Determining the dimension of factor structures in non-stationary large datasets. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1806.03647.

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2018Measuring 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.

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2019Does 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.

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2019How 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.

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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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2017Extreme 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.

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2018The 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.

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2018Hedge 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.

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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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2018CONTAGION 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.

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2019A 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.

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2019Contagion 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.

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2018Energy 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.

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2019Mildly 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.

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2018Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803.

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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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2018Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824.

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2017Risk 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.

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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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2019Interest rates and foreign spillovers. (2019). De Santis, Roberto A ; Zimic, Sreko. In: Working Paper Series. RePEc:ecb:ecbwps:20192221.

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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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2018News 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.

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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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2018Sectoral 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.

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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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2018Volatility 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.

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2018Global 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.

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2019Financial 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.

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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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2018A 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.

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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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2018The 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.

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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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2018Is 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.

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2019A 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.

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2019Financial 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.

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2019Dependence 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.

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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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2018Causality 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.

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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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2018How 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.

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2019Afforestation 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.

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2019Asymptotics 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.

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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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2018Identifying 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.

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2018Financial 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.

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

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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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2018Asset 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.

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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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2018An 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.

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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). 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.

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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.

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2019On 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.

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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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2018Univariate 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.

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2019The 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.

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2018Quantile 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.

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2018Measuring 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.

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2018Volatility 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.

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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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2018Addressing 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.

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2019Fossil 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.

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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). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Martin, Vance L. In: CAMA Working Papers. RePEc:een:camaaa:2018-05.

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2018Big 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.

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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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2018International 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.

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2019Dynamic specification tests for dynamic factor models. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_07.

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2019Contagion 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.

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2018Measuring 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.

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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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2019The 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.

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2017Time 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.

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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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2018TAIWAN 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.

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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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2018Logistics 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.

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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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2019Welfare 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.

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More than 100 citations found, this list is not complete...

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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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.
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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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article56
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]
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.
[Citation analysis]
article0
2004CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION In: Australian Economic Papers.
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article22
1998Nonlinear Modelling Using the Generalized Exponential Family of Distributions. In: Bulletin of Economic Research.
[Citation analysis]
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.
[Citation analysis]
article6
2008The Role of Portfolio Shocks in a Structural Vector Autoregressive Model of the Australian Economy In: The Economic Record.
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article6
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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This paper has another version. Agregated cites: 6
paper
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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article11
2005Implicit Bayesian Inference Using Option Prices In: Journal of Time Series Analysis.
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article7
2000Implicit Bayesian Inference Using Option Prices..(2000) In: Monash Econometrics and Business Statistics Working Papers.
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paper
2003Implicit 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
2014EFFICIENT METHOD OF MOMENTS ESTIMATORS FOR INTEGER TIME SERIES MODELS In: Journal of Time Series Analysis.
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article3
1994A Model of the Distribution of Prices. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article6
2009Interest Rate Conundrum In: The B.E. Journal of Macroeconomics.
[Full Text][Citation analysis]
article11
2014Modelling nonlinearities in equity returns: the mean impact curve analysis In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2013Econometric Modelling with Time Series In: Cambridge Books.
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book9
2013Econometric Modelling with Time Series.(2013) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 9
book
1998Econometric Society Australasian Meetings 1997 (ESAM97) In: Econometric Theory.
[Full Text][Citation analysis]
article1
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.
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paper288
2004Empirical Modelling of Contagion: A Review of Methodologies.(2004) In: Econometric Society 2004 Far Eastern Meetings.
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This paper has another version. Agregated cites: 288
paper
2004Empirical 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
2005Empirical modelling of contagion: a review of methodologies.(2005) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 288
article
2004Discounting The Equity Premium Puzzle In: Econometric Society 2004 Australasian Meetings.
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paper2
2008Computing the Distributions of Economic Models via Simulation In: Econometrica.
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article12
1993Multiple equilibria and hysteresis in simple exchange models In: Economic Modelling.
[Full Text][Citation analysis]
article4
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
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]
article20
1999Indirect estimation of ARFIMA and VARFIMA models In: Journal of Econometrics.
[Full Text][Citation analysis]
article14
1997Indirect 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
2006Contagion in international bond markets during the Russian and the LTCM crises In: Journal of Financial Stability.
[Full Text][Citation analysis]
article55
2004Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002 In: Global Finance Journal.
[Full Text][Citation analysis]
article3
1998The distribution of exchange rate returns and the pricing of currency options In: Journal of International Economics.
[Full Text][Citation analysis]
article3
2008International monetary policy surprise spillovers In: Journal of International Economics.
[Full Text][Citation analysis]
article35
2014Financial contagion and asset pricing In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article11
2013Financial Contagion and Asset Pricing.(2013) In: CAMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
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]
article6
2006Pricing currency options in the presence of time-varying volatility and non-normalities In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]
article5
2005SHOCKS AND SYSTEMIC INFLUENCES: CONTAGION IN GLOBAL EQUITY MARKETS IN 1998 In: CAMA Working Papers.
[Full Text][Citation analysis]
paper1
2008A NEW CLASS OF TESTS OF CONTAGION WITH APPLICATIONS TO REAL ESTATE MARKETS In: CAMA Working Papers.
[Full Text][Citation analysis]
paper3
2008ARE FINANCIAL CRISES ALIKE? In: CAMA Working Papers.
[Full Text][Citation analysis]
paper53
2010Are Financial Crises Alike?.(2010) In: IMF Working Papers.
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This paper has another version. Agregated cites: 53
paper
2017Joint tests of contagion with applications to financial crises In: CAMA Working Papers.
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paper2
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]
paper64
2002International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse In: IMF Working Papers.
[Full Text][Citation analysis]
paper19
2003Characterizing Global Investors Risk Appetite for Emerging Market Debt During Financial Crises In: IMF Working Papers.
[Full Text][Citation analysis]
paper8
2003Unanticipated Shocks and Systemic Influences; The Impact of Contagion in Global Equity Markets in 1998 In: IMF Working Papers.
[Full Text][Citation analysis]
paper9
1996A Non-linear Model of the Real US-UK Exchange Rate. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article8
2000A multivariate latent factor decomposition of international bond yield spreads In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article83
2005Parametric pricing of higher order moments in S&P500 options In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article15
2002Parametric 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
2007Unravelling financial market linkages during crises In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article118
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.
[Full Text][Citation analysis]
paper0
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.
[Full Text][Citation analysis]
paper0
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]
article2
2011Transmission of Financial Crises and Contagion: A Latent Factor Approach In: OUP Catalogue.
[Citation analysis]
book16
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]
article19
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]
article18
2006Correlation, Contagion, and Asian Evidence In: Asian Economic Papers.
[Full Text][Citation analysis]
article18
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]
article9

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team