Vance Lindsay Martin : Citation Profile

Are you Vance Lindsay Martin?

University of Melbourne

14

H index

19

i10 index

892

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: 28
   Journals where Vance Lindsay Martin has often published
   Relations with other researchers
   Recent citing documents: 71.    Total self citations: 27 (2.94 %)

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   Permalink: http://citec.repec.org/pma552
   Updated: 2017-09-23    RAS profile: 2017-08-28    
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Relations with other researchers

Works with:

Leroux, Anke (3)

Fry-McKibbin, Renee (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 (44)

Flavin, Thomas (36)

Panopoulou, Ekaterini (23)

Fratzscher, Marcel (23)

Fry-McKibbin, Renee (22)

Sentana, Enrique (13)

Fiorentini, Gabriele (12)

Unalmis, Deren (12)

YALAMA, Abdullah (11)

Baur, Dirk (10)

Candelon, Bertrand (10)

Cites to:

Kaminsky, Graciela (45)

Dungey, Mardi (38)

Rose, Andrew (33)

Reinhart, Carmen (31)

Fry-McKibbin, Renee (27)

Schmukler, Sergio (19)

Rigobon, Roberto (19)

Masson, Paul (18)

Eichengreen, Barry (17)

Wyplosz, Charles (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
The North American Journal of Economics and Finance2
Journal of Business & Economic Statistics2

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 (2017 and 2016)

YearTitle of citing document
2016Quantile Dependence between Stock Markets and its Application in Volatility Forecasting. (2016). Han, Heejoon. In: Papers. RePEc:arx:papers:1608.07193.

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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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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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2016Measuring the Real and Financial Connectedness of Selected African Economies with the Global Economy. (2016). Orji, Anthony ; Ogbuabor, Jonathan E ; Erdene-Urnukh, Oyun ; Aneke, Gladys C. In: South African Journal of Economics. RePEc:bla:sajeco:v:84:y:2016:i:3:p:364-399.

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2016Systemic early warning systems for EU15 based on the 2008 crisis. (2016). Papadopoulos, Savas ; Sager, Thomas ; Stavroulias, Pantelis . In: Working Papers. RePEc:bog:wpaper:202.

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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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2016Multi-criteria classification for pricing European options. (2016). Gradojevic, Nikola. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:2:p:123-139:n:4.

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2016Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly. (2016). Sheenan, Lisa ; Flavin, Thomas ; Cronin, David. In: Research Technical Papers. RePEc:cbi:wpaper:03/rt/16.

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2016Contagion in International Stock and Currency Markets During Recent Crisis Episodes. (2016). Tuteja, Divya ; Dua, Pami. In: Working papers. RePEc:cde:cdewps:258.

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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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2016THE MACROECONOMIC AND FINANCIAL IMPACTS OF EUROPEAN CRISIS ON SAUDI ARABIA. (2016). Mseddi, Slim ; Benlagha, Noureddine . In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:16:y:2016:i:1_12.

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2016Credit constraints and the international propagation of US financial shocks. (2016). Metiu, Norbert ; Grill, Michael ; Hilberg, Bjorn . In: Working Paper Series. RePEc:ecb:ecbwps:20161954.

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2016Nonlinearity in intergenerational income transmission: A cross-country analysis. (2016). Berrittella, Maria ; Dardanoni, Valentino . In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:52:y:2016:i:c:p:1-10.

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2016No contagion from Russia toward global equity markets after the 2014 international sanctions. (2016). Castagneto-Gissey, G ; Nivorozhkin, E. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:52:y:2016:i:c:p:79-98.

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2016What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets. (2016). Masih, Abul ; Mansur, A ; Dewandaru, Ginanjar . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:981-996.

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2016Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion. (2016). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta . In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:133-147.

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2016Evidence of cross-asset contagion in U.S. markets. (2016). Chang, Guang-Di ; Cheng, Po-Ching . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:219-226.

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2016The dark side of the black gold shock onto Europe: One stocks joy is another stocks sorrow. (2016). Kaabia, Olfa ; Mkaouar, Farid ; Abid, Ilyes . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:642-654.

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2016Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries. (2016). Brooks, Rob ; Fenech, Jean Pierre ; Silvapulle, Param ; Thomas, Alice. In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:83-92.

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2016Financial crises and dynamic linkages across international stock and currency markets. (2016). Tuteja, Divya ; Dua, Pami. In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:249-261.

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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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2016Contagion in CDS, banking and equity markets. (2016). Tabak, Benjamin ; da Silva, Mauricio ; de Castro, Rodrigo . In: Economic Systems. RePEc:eee:ecosys:v:40:y:2016:i:1:p:120-134.

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2016Financial crises and contagion vulnerability of MENA stock markets. (2016). Neaime, Simon. In: Emerging Markets Review. RePEc:eee:ememar:v:27:y:2016:i:c:p:14-35.

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2016Nonlinear relationship between crude oil price and net futures positions: A dynamic conditional distribution approach. (2016). Park, Sung Y. ; Kim, Myeong Jun ; Li, Haiqi . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:217-225.

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2016Regime-dependent determinants of Euro area sovereign CDS spreads. (2016). Eijffinger, Sylvester ; Blommestein, Hans ; Qian, Zongxin . In: Journal of Financial Stability. RePEc:eee:finsta:v:22:y:2016:i:c:p:10-21.

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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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2016Equity market contagion during global financial and Eurozone crises: Evidence from a dynamic correlation analysis. (2016). Mollah, Sabur ; Zafirov, Goran . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:41:y:2016:i:c:p:151-167.

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2016Credit constraints and the international propagation of US financial shocks. (2016). Metiu, Norbert ; Grill, Michael ; Hilberg, Bjorn . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:c:p:67-80.

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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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2016Determinants of global spillovers from US monetary policy. (2016). Georgiadis, Georgios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:67:y:2016:i:c:p:41-61.

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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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2016Can monetary policy surprises affect the term structure?. (2016). Dungey, Mardi ; Claus, Edda. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:47:y:2016:i:pa:p:68-83.

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2016Are international securitized property markets converging or diverging?. (2016). Kwan, KA ; Chen, Jia . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:446:y:2016:i:c:p:1-10.

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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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2016Stock and currency market linkages: New evidence from realized spillovers in higher moments. (2016). Wu, Eliza ; Do, Hung Xuan ; Treepongkaruna, Sirimon ; Brooks, Robert . In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:167-185.

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2016Contagion effects in selected European capital markets during the financial crisis of 2007–2009. (2016). Burzala, Milda. In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:556-571.

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2016Financial crises and estimation bias in international bond markets. (2016). Juneja, Januj A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:593-607.

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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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2016Editorial statement: Switching costs in the European postal service. Are there any solutions?. (2016). Garcia-Iglesias, Jesus M. ; Pateiro-Rodriguez, Carlos ; Prado-Dominguez, Carlos Javier ; Barreiro-Vian, Jose M. In: European Journal of Government and Economics. RePEc:egr:ejge00:v:5:i:2:p:104-119.

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2016European Government Bond Market Contagion in Turbulent Times. (2016). Chuliá, Helena ; Abad, Pilar. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:3:p:263-276.

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2016The Russian Stock Market during the Ukrainian Crisis: A Network Perspective. (2016). Uluceviz, Erhan ; Schmidbauer, Harald ; Erkol, Narod ; Rosch, Angi . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:6:p:478-509.

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2016Are Islamic Equity Markets “Safe Havens”? Testing the Contagion Effect using DCC-GARCH. (2016). Buğan, Mehmet ; Kilic, Yunus . In: International Journal of Academic Research in Accounting, Finance and Management Sciences. RePEc:hur:ijaraf:v:6:y:2016:i:4:p:167-176.

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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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2016Identifying and Measuring the Contagion Channels at Work in the European Financial Crises. (2016). Guidolin, Massimo ; Pedio, Manuela . In: Working Papers. RePEc:igi:igierp:586.

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2016Characteristics of Banking Crises: A Comparative Study with Geographical Contagion. (2016). Stremmel, Hanno ; Fendel, Ralf . In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik). RePEc:jns:jbstat:v:236:y:2016:i:1:p:349-388.

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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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2016Stochastic Economic Assessment of Afforestation on Marginal Land in Irrigated Farming System. (2016). Djanibekov, Utkur ; Khamzina, Asia . In: Environmental & Resource Economics. RePEc:kap:enreec:v:63:y:2016:i:1:d:10.1007_s10640-014-9843-3.

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2016Confronting the Food–Energy–Environment Trilemma: Global Land Use in the Long Run. (2016). Steinbuks, Jevgenijs ; Hertel, Thomas. In: Environmental & Resource Economics. RePEc:kap:enreec:v:63:y:2016:i:3:d:10.1007_s10640-014-9848-y.

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2016When noise trading fades, volatility rises. (2016). Li, Jinliang . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:47:y:2016:i:3:d:10.1007_s11156-015-0508-2.

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2016Comovements between Chinese and global stock markets: evidence from aggregate and sectoral data. (2016). Lao, LanJun ; Chiang, Thomas C ; Xue, Qingfeng . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:47:y:2016:i:4:d:10.1007_s11156-015-0529-x.

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2016Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly. (2016). Sheenan, Lisa ; Flavin, Thomas ; Cronin, David. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n267-16.pdf.

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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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2016Monetary policy spillovers across the Pacific when interest rates are at the zero lower bound. (2016). Krippner, Leo ; Claus, Iris. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2016/08.

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2016A component model for Dynamic Conditional Correlations: Disentangling interdependence from contagion. (2016). Urbina, Jilber. In: MPRA Paper. RePEc:pra:mprapa:75579.

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2016Aggregate Consequences of Dynamic Credit Relationships. (2016). Verani, Stephane. In: 2016 Meeting Papers. RePEc:red:sed016:4.

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2016Status Traps. (2016). Tan, Chih Ming ; Durlauf, Steven ; Kourtellos, Andros . In: Working Paper Series. RePEc:rim:rimwps:16-13.

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2016The Impact of Recent Crisis on the Real Estate Market on the UAE: Evidence from Asymmetric Methods. (2016). Hatemi-J, Abdulnasser ; Al-Mohana, Safa . In: Economia Internazionale / International Economics. RePEc:ris:ecoint:0787.

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2016The Contagion Effects on Real Economy: Emerging Markets during the Recent Crises. (2016). demiralay, sercan. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2016:i:1:p:104-121.

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2016Incomplete financial markets and jumps in asset prices. (2016). Tvede, Mich ; Cres, Herve . In: Economic Theory. RePEc:spr:joecth:v:62:y:2016:i:1:d:10.1007_s00199-015-0884-9.

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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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2016Crisis-Contingent Dynamics of Connectedness: An SVAR-Spatial-Network “Tripod” Model with Thresholds. (2016). Sun, Hang . In: Research Memorandum. RePEc:unm:umagsb:2016032.

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2016Asset market response to monetary policy news from SNB press releases. (2016). Huning, Hendrik . In: HWWI Research Papers. RePEc:zbw:hwwirp:177.

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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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2016Interconnectedness in the global financial market. (2016). Raddant, Matthias ; Kenett, Dror . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145560.

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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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2011A GOODNESS OF FIT TEST FOR ERGODIC MARKOV PROCESSES.(2011) In: KIER Working Papers.
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2014Optimal Portfolio Management of Urban Water In: 2014 Conference (58th), February 4-7, 2014, Port Maquarie, Australia.
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1994A Spectral-Temporal Index with an Application to U.S. Interest Rates. In: Journal of Business & Economic Statistics.
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2010A New Class of Tests of Contagion With Applications In: Journal of Business & Economic Statistics.
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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.
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1992Testing the Causal Properties of Economic Theories: An Application to a Small Australian Macroeconomic Model. In: Australian Economic Papers.
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1992No, Business Cycles Are Not All Alike: The United States and Australia Compared. In: Australian Economic Papers.
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1994Australian Short-Term Interest Rates: An Empirical Analysis of the Transmission Process, 1988-1991. In: Australian Economic Papers.
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2004CURRENCY MARKET CONTAGION IN THE ASIA-PACIFIC REGION In: Australian Economic Papers.
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1998Nonlinear Modelling Using the Generalized Exponential Family of Distributions. In: Bulletin of Economic Research.
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1986Asset Substitution and Aggregate Liquidity in Australia: 1969-1983. In: The Economic Record.
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1989An Investigation into the Major Causes of Australias Recent Inflation and Some Policy Implications. In: The Economic Record.
[Citation analysis]		article4
2008The Role of Portfolio Shocks in a Structural Vector Autoregressive Model of the Australian Economy In: The Economic Record.
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2010Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy? In: The Economic Record.
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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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2005Implicit Bayesian Inference Using Option Prices In: Journal of Time Series Analysis.
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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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1994A Model of the Distribution of Prices. In: Oxford Bulletin of Economics and Statistics.
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2009Interest Rate Conundrum In: The B.E. Journal of Macroeconomics.
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2014Modelling nonlinearities in equity returns: the mean impact curve analysis In: Studies in Nonlinear Dynamics & Econometrics.
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2013Econometric Modelling with Time Series In: Cambridge Books.
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2013Econometric Modelling with Time Series.(2013) In: Cambridge Books.
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1998Econometric Society Australasian Meetings 1997 (ESAM97) In: Econometric Theory.
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1998ENDOGENOUS JUMPING AND ASSET PRICE DYNAMICS In: Macroeconomic Dynamics.
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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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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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