17
H index
26
i10 index
1372
Citations
University of Melbourne | 17 H index 26 i10 index 1372 Citations RESEARCH PRODUCTION: 42 Articles 26 Papers 3 Books 2 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
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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: |
Working Papers Series with more than one paper published | # docs |
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Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics | 6 |
Econometric Society 2004 Australasian Meetings / Econometric Society | 2 |
Year | Title of citing document |
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2021 | . Full description at Econpapers || Download paper |
2022 | Industry Characteristics and Financial Risk Spillovers. (2022). Chiua, Wan-Chien ; Wang, Chih-Wei ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02263. Full description at Econpapers || Download paper |
2022 | Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471. Full description at Econpapers || Download paper |
2022 | Doubly heterogeneous monetary spillovers. (2022). Shah, Nihar. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:2:p:126-150. Full description at Econpapers || Download paper |
2021 | Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression. (2021). Zhang, Yunyi ; Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9395. Full description at Econpapers || Download paper |
2022 | The Indirect Effects of Oil Price on Consumption through Assets. (2022). Dowlatabadi, Ehsan Mohaghegh ; Javad, Seyed Mohammad ; Torki, Leila ; Razmi, Seyedeh Fatemeh. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-01-29. Full description at Econpapers || Download paper |
2021 | Testing for rational bubbles in Australian housing market from a long-term perspective. (2021). Prats, Maria A ; Esteve, Vicente. In: Working Papers. RePEc:eec:wpaper:2113. Full description at Econpapers || Download paper |
2022 | Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis. (2022). Mehta, Chhavi ; Chopra, Monika. In: Journal of Asian Economics. RePEc:eee:asieco:v:79:y:2022:i:c:s1049007822000100. Full description at Econpapers || Download paper |
2021 | Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach. (2021). Ravazzolo, Francesco ; GUPTA, RANGAN ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302291. Full description at Econpapers || Download paper |
2022 | Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios. (2022). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940821002229. Full description at Econpapers || Download paper |
2022 | The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic. (2022). Liu, Fang ; Chen, Yajiao ; Zhou, Long ; Zhang, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000432. Full description at Econpapers || Download paper |
2021 | Empirical asset pricing with multi-period disaster risk: A simulation-based approach. (2021). Grammig, Joachim ; Sonksen, Jantje. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:805-832. Full description at Econpapers || Download paper |
2022 | Interest rates and foreign spillovers. (2022). Zimic, Sreko ; de Santis, Roberto A. In: European Economic Review. RePEc:eee:eecrev:v:144:y:2022:i:c:s001429212200006x. Full description at Econpapers || Download paper |
2021 | Dynamic dependence of oil, clean energy and the role of technology companies: New evidence from copulas with regime switching. (2021). Tiwari, Aviral ; Selmi, Refk ; Hammoudeh, Shawkat ; Nasreen, Samia. In: Energy. RePEc:eee:energy:v:220:y:2021:i:c:s0360544220326979. Full description at Econpapers || Download paper |
2022 | Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics. (2022). da Silva, Cristiano ; Matos, Paulo ; Costa, Antonio. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002051. Full description at Econpapers || Download paper |
2022 | Higher-order comoment contagion among G20 equity markets during the COVID-19 pandemic. (2022). Fry-McKibbin, Renee ; Qi, Lin ; Hsiao, Cody Yu-Ling ; Greenwood-Nimmo, Matthew. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002312. Full description at Econpapers || Download paper |
2021 | Exchange rate shocks in multicurrency interbank markets. (2021). Stefan, Martin ; Siklos, Pierre L. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s1572308921000486. Full description at Econpapers || Download paper |
2022 | Are higher U.S. interest rates always bad news for emerging markets?. (2022). Yoldas, Emre ; Kamin, Steve ; Hoek, Jasper. In: Journal of International Economics. RePEc:eee:inecon:v:137:y:2022:i:c:s0022199622000174. Full description at Econpapers || Download paper |
2021 | Causal and frequency analyses of purchasing power parity. (2021). Nagayasu, Jun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000068. Full description at Econpapers || Download paper |
2021 | The structure and degree of dependence in government bond markets. (2021). Vulanovic, Milos ; Swinkels, Laurens ; Piljak, Vanja ; Dimic, Nebojsa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001049. Full description at Econpapers || Download paper |
2021 | From dotcom to Covid-19: A convergence analysis of Islamic investments. (2021). Kenourgios, Dimitris ; Petropoulou, Athina ; Pappas, Vasileios ; Alexakis, Christos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001372. Full description at Econpapers || Download paper |
2022 | Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic. (2022). Marco, Chi Keung ; Lucey, Brian ; Goodell, John W ; Brzeszczyski, Janusz ; Yarovaya, Larisa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000725. Full description at Econpapers || Download paper |
2021 | Measuring financial interdependence in asset markets with an application to eurozone equities. (2021). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Martin, Vance L. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302478. Full description at Econpapers || Download paper |
2022 | A leverage-based measure of financial stability. (2022). Tepper, Alexander ; Borowiecki, Karol Jan ; Adrian, Tobias. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:51:y:2022:i:c:s1042957321000085. Full description at Econpapers || Download paper |
2021 | Land leverage and the housing market: Evidence from Germany1. (2021). Kajuth, Florian. In: Journal of Housing Economics. RePEc:eee:jhouse:v:51:y:2021:i:c:s1051137720300826. Full description at Econpapers || Download paper |
2021 | The intergenerational impact of house prices on education: evidence from China. (2021). You, Jing ; Wang, Sangui ; Nio-Zarazua, Miguel ; Ding, Xinxin. In: Journal of Housing Economics. RePEc:eee:jhouse:v:54:y:2021:i:c:s1051137721000383. Full description at Econpapers || Download paper |
2021 | Interconnectedness in the global financial market. (2021). Raddant, Matthias ; Kenett, Dror Y. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302369. Full description at Econpapers || Download paper |
2022 | Financial market linkages and the sovereign debt crisis. (2022). Amado, Cristina ; Campos-Martins, Susana. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s0261560621002473. Full description at Econpapers || Download paper |
2022 | Conditional specification of statistical models: Classical models, new developments and challenges. (2022). Sarabia, Jose Maria ; Arnold, Barry C. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:188:y:2022:i:c:s0047259x21000798. Full description at Econpapers || Download paper |
2021 | Heterogeneous consumers in the Euro-Area, facing homogeneous monetary policy: Tale of two large economies. (2021). Shah, Sarfaraz Ali. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:24:y:2021:i:c:s1703494921000190. Full description at Econpapers || Download paper |
2022 | Stock market in the age of COVID19: Mere acclimatization or Stockholm syndrome?. (2022). Shah, Sarfaraz Ali. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:25:y:2022:i:c:s1703494922000068. Full description at Econpapers || Download paper |
2021 | On the long-term common movement of resource and commodity prices.A methodological proposal. (2021). Esposti, Roberto. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000271. Full description at Econpapers || Download paper |
2021 | Equilibrium with computationally constrained agents. (2021). Kuhle, Wolfgang. In: Mathematical Social Sciences. RePEc:eee:matsoc:v:109:y:2021:i:c:p:77-92. Full description at Econpapers || Download paper |
2021 | New test of contagion with application on the Brexit referendum. (2021). Kevin, Ka Kwan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:564:y:2021:i:c:s0378437120307810. Full description at Econpapers || Download paper |
2021 | The numerical simulation of Quanto option prices using Bayesian statistical methods. (2021). Wu, Jianhong ; Gao, Rui ; Li, Yaqiong ; Lin, Lisha. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:567:y:2021:i:c:s0378437120309274. Full description at Econpapers || Download paper |
2022 | Predicting tail events in a RIA-EVT-Copula framework. (2022). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:600:y:2022:i:c:s0378437122003703. Full description at Econpapers || Download paper |
2021 | Monetary policy surprises, stock returns, and financial and liquidity constraints, in an exchange rate monetary policy system. (2021). Sequeira, John M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:81:y:2021:i:c:p:226-236. Full description at Econpapers || Download paper |
2021 | Crude oil and stock markets in the COVID-19 crisis: Evidence from oil exporters and importers. (2021). Mahadeo, Scott ; Legrenzi, Gabriella D ; Heinlein, Reinhold. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:223-229. Full description at Econpapers || Download paper |
2021 | The contagious effect of China’s energy policy on stock markets: The case of the solar photovoltaic industry. (2021). Hsiao, Cody Yu-Ling ; Sheng, NI ; Wei, Xinyang ; Ai, Dan. In: Renewable Energy. RePEc:eee:renene:v:164:y:2021:i:c:p:74-86. Full description at Econpapers || Download paper |
2021 | A joint test of policy contagion with application to the solar sector. (2021). Shao, Chengwu ; Sheng, NI ; Wei, Xinyang ; Hsiao, Cody Yu-Ling. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:141:y:2021:i:c:s1364032121000587. Full description at Econpapers || Download paper |
2021 | Constructing efficient portfolios of low-carbon technologies. (2021). Kim, Yeong Jae ; Sharma, Bijay P ; Cho, Seong-Hoon. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:150:y:2021:i:c:s1364032121007942. Full description at Econpapers || Download paper |
2022 | Financial Contagion of Russian Companies from the Oil Market under the Influence of Sanctions and Pandemic Shock. (2022). Ovcharov, Anton O ; Yu, Marina. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:220401:p:8-28. Full description at Econpapers || Download paper |
2022 | Predicting House Prices Using DMA Method: Evidence from Turkey. (2022). Drachal, Krzysztof ; Hacievliyagil, Nuri ; Eksi, Ibrahim Halil. In: Economies. RePEc:gam:jecomi:v:10:y:2022:i:3:p:64-:d:768364. Full description at Econpapers || Download paper |
2021 | Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions. (2021). TERESIENE, DEIMANTE ; Kanapickiene, Rasa ; Jurksas, Linas. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:1:p:35-:d:514849. Full description at Econpapers || Download paper |
2021 | Global Transmission of Returns among Financial, Traditional Energy, Renewable Energy and Carbon Markets: New Evidence. (2021). Yang, Xueqing ; Liu, Yang ; Wang, Mei. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:21:p:7286-:d:671615. Full description at Econpapers || Download paper |
2021 | Role of ICT Investment and Diffusion in the Economic Growth: A Threshold Approach for the Empirical Evidence from Pakistan. (2021). Zaman, Umer ; Ali, Ghulam ; Ur, Habib ; Pugnetti, Carlo. In: IJFS. RePEc:gam:jijfss:v:9:y:2021:i:1:p:14-:d:510503. Full description at Econpapers || Download paper |
2021 | Dynamic Effects of Material Production and Environmental Sustainability on Economic Vitality Indicators: A Panel VAR Approach. (2021). Leitão, João ; Ferreira, Joaquim ; Leito, Joo. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:2:p:74-:d:495741. Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | A Leverage-Based Measure of Financial Stability. (2021). Tepper, Alexander ; Borowiecki, Karol Jan ; Adrian, Tobias. In: Discussion Papers of Business and Economics. RePEc:hhs:sdueko:2021_003. Full description at Econpapers || Download paper |
2021 | An Analysis of the Stock Market Volatility Spread in Emerging Countries. (2021). Akkaya, Murat. In: Istanbul Business Research. RePEc:ist:ibsibr:v:50:y:2021:i:2:p:215-233. Full description at Econpapers || Download paper |
2022 | The determinants of sovereign risk premiums in the UK and the European government bond market: the impact of Brexit. (2022). Kadiric, Samir. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:19:y:2022:i:2:d:10.1007_s10368-022-00535-8. Full description at Econpapers || Download paper |
2021 | Testing stock market contagion properties between large and small stock markets. (2021). Su, EnDer. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:1:d:10.1007_s11156-020-00942-5. Full description at Econpapers || Download paper |
2022 | A multicountry measure of comovement and contagion in international markets: definition and applications. (2022). Venezia, Itzhak ; Tessler, Nina. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:4:d:10.1007_s11156-021-01025-9. Full description at Econpapers || Download paper |
2021 | Improving the Estimation and Predictions of Small Time Series Models. (2021). Liu-Evans, Gareth. In: Working Papers. RePEc:liv:livedp:202106. Full description at Econpapers || Download paper |
2021 | Oil and US stock market shocks: implications for Canadian equities. (2021). Mahadeo, Scott ; Heinlein, Reinhold. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2021-07. Full description at Econpapers || Download paper |
2021 | Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach. (2021). Tiwari, Aviral ; Raheem, Ibrahim ; Hille, Erik. In: MPRA Paper. RePEc:pra:mprapa:106684. Full description at Econpapers || Download paper |
2021 | Spillovers among Energy Commodities and the Russian Stock Market. (2021). Lorusso, Marco ; Costola, Michele. In: MPRA Paper. RePEc:pra:mprapa:108990. Full description at Econpapers || Download paper |
2021 | Spillover effects from China and the US to global emerging markets: a dynamic analysis. (2021). Bonga-Bonga, Lumengo ; Mpoha, Salifya. In: MPRA Paper. RePEc:pra:mprapa:109349. Full description at Econpapers || Download paper |
2022 | The ”climate adaptation problem” in biodiversity conservation: the role of reversible conservation investments in optimal reserve design under climate change. (2022). Hearne, John ; Schottker, Oliver ; Gerling, Charlotte. In: MPRA Paper. RePEc:pra:mprapa:114812. Full description at Econpapers || Download paper |
2021 | High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests. (2021). GUPTA, RANGAN ; Hassapis, Christis ; Christou, Christina ; Aye, Goodness C. In: Working Papers. RePEc:pre:wpaper:202159. Full description at Econpapers || Download paper |
2022 | Stock market and cryptocurrency market volatility. (2022). Peresetsky, Anatoly ; Pogorelova, Polina ; Manevich, Vyacheslav. In: Applied Econometrics. RePEc:ris:apltrx:0439. Full description at Econpapers || Download paper |
2022 | A meta-measure of performance related to both investors and investments characteristics. (2022). Billio, Monica ; Pelizzon, Loriana ; Maillet, Bertrand. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03771-w. Full description at Econpapers || Download paper |
2022 | Transmission of the Greek crisis on the sovereign debt markets in the euro area. (2022). Tahi, Sofiane ; Bellalah, Makram ; Kchaou, Oussama. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-021-03938-z. Full description at Econpapers || Download paper |
2022 | Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach. (2022). Tiwari, Aviral ; Hille, Erik ; Kumar, Satish ; Jena, Sangram Keshari. In: Annals of Operations Research. RePEc:spr:annopr:v:315:y:2022:i:1:d:10.1007_s10479-021-04218-6. Full description at Econpapers || Download paper |
2021 | Does cross-shareholding lead to Chinas stock returns comovement? Evidence from a GMM-based spatial AR model. (2021). Li, Xin ; Feng, Yun. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:6:d:10.1007_s00181-020-02002-2. Full description at Econpapers || Download paper |
2022 | Sector connectedness in the Chinese stock markets. (2022). Wang, Gang-Jin ; Zhou, Wei-Xing ; Ma, Jun-Chao ; Jiang, Zhi-Qiang ; Shen, Ying-Ying. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:2:d:10.1007_s00181-021-02036-0. Full description at Econpapers || Download paper |
2022 | Debt and financial market contagion. (2022). Morley, James ; Hsiao, Cody Yu-Ling. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:4:d:10.1007_s00181-021-02077-5. Full description at Econpapers || Download paper |
2022 | US partisan conflict shocks and international stock market returns. (2022). Apergis, Nicholas ; Chatziantoniou, Ioannis. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:6:d:10.1007_s00181-022-02237-1. Full description at Econpapers || Download paper |
2022 | A new analytical approach for identifying market contagion. (2022). Kim, Taeyoon ; Lee, Heesoo. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00339-4. Full description at Econpapers || Download paper |
2021 | Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis. (2021). Tuteja, Divya ; Dua, Pami. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:19:y:2021:i:1:d:10.1007_s40953-021-00273-9. Full description at Econpapers || Download paper |
2022 | A regime-switching skew-normal model of contagion in some selected stock markets. (2022). Bashir, Nafiu A ; Onipede, Samuel F ; Omoregie, David E ; Jamaladeen, Abubakar. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:12:d:10.1007_s43546-022-00357-5. Full description at Econpapers || Download paper |
2022 | The link between regional CDS spreads and equity returns: a multivariate GARCH approach. (2022). Manicaro, Christian. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:2:d:10.1007_s43546-021-00197-9. Full description at Econpapers || Download paper |
2022 | Sovereign contagion risk measure across financial markets in the eurozone: a bivariate copulas and Markov Regime Switching ARMA based approaches. (2022). Mansouri, Faysal ; Bouker, Sawsen. In: Review of World Economics (Weltwirtschaftliches Archiv). RePEc:spr:weltar:v:158:y:2022:i:2:d:10.1007_s10290-021-00440-3. Full description at Econpapers || Download paper |
2021 | Realized Volatility, Jump and Beta: evidence from Canadian Stock Market. (2021). Chowdhury, Biplob ; Gajurel, Dinesh. In: Applied Economics. RePEc:taf:applec:v:53:y:2021:i:55:p:6376-6397. Full description at Econpapers || Download paper |
2021 | What can SVAR models tell us about the impact of Public Expenditure Shocks on macroeconomic variables in algeria? A Slight Hint to the COVID-19 Pandemic. (2021). Chellai, Fatih. In: Folia Oeconomica Stetinensia. RePEc:vrs:foeste:v:21:y:2021:i:2:p:21-37:n:1. Full description at Econpapers || Download paper |
2022 | How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances. (2022). Dragan, Tevdovski ; Artan, Sulejmani. In: South East European Journal of Economics and Business. RePEc:vrs:seejeb:v:17:y:2022:i:1:p:1-13:n:8. Full description at Econpapers || Download paper |
2021 | Not everyone is a follower: The behaviour of interest rate and equity markets within major economies relative to the United States. (2021). Fabozzi, Frank J ; Tunaru, Diana. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2335-2350. Full description at Econpapers || Download paper |
2021 | The contagion phenomena of the Brexit process on main stock markets. (2021). Iiguez, Cristina ; Escribano, Ana. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4462-4481. Full description at Econpapers || Download paper |
2021 | Financial contagion across G10 stock markets: A study during major crises. (2021). Litimi, Houda ; Bensaida, Ahmed. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4798-4821. Full description at Econpapers || Download paper |
2022 | Financial contagion in real economy: The key role of policy uncertainty. (2022). Umar, Zaghum ; Kampouris, Elias ; Samitas, Aristeidis. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1633-1682. Full description at Econpapers || Download paper |
2022 | Nonlinear contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach. (2022). Wang, Shixuan ; Gupta, Rangan ; Bouri, Elie. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2089-2109. Full description at Econpapers || Download paper |
2022 | On the subprime crisis and the Latin American financial markets: A regime switching skew?normal approach. (2022). Palma, Andreza A ; Ferreira, Diego. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:3:p:3300-3314. Full description at Econpapers || Download paper |
2021 | The double?edged sword of global integration: Robustness, fragility, and contagion in the international firm network. (2021). Grant, Everett ; Yung, Julieta. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:6:p:760-783. Full description at Econpapers || Download paper |
2021 | Forecasting systemic risk in portfolio selection: The role of technical trading rules. (2021). Hocine, Amin ; Kouaissah, Noureddine. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:4:p:708-729. Full description at Econpapers || Download paper |
2022 | Modeling time varying risk of natural resource assets: Implications of climate change. (2022). Leroux, Anke ; st John, Kathryn A ; Martin, Vance L. In: Quantitative Economics. RePEc:wly:quante:v:13:y:2022:i:1:p:225-257. Full description at Econpapers || Download paper |
2021 | Cryptocurrencies: Key Risks and Challenges. (2021). Mzoughi, Hela ; Ghabri, Yosra ; ben Khelifa, Soumaya ; Arsi, Sonia. In: World Scientific Book Chapters. RePEc:wsi:wschap:9789811239670_0007. Full description at Econpapers || Download paper |
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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 | 92 |
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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 | 1 |
2004 | CURRENCY MARKET CONTAGION IN THE ASIA?PACIFIC REGION In: Australian Economic Papers. [Full Text][Citation analysis] | article | 23 |
1998 | Nonlinear Modelling Using the Generalized Exponential Family of Distributions. In: Bulletin of Economic Research. [Citation analysis] | article | 1 |
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 | 7 |
2010 | Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy? In: The Economic Record. [Full Text][Citation analysis] | article | 14 |
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: 14 | 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 | 13 |
2005 | Implicit Bayesian Inference Using Option Prices In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 10 |
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: 10 | 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: 10 | paper | |
2014 | EFFICIENT METHOD OF MOMENTS ESTIMATORS FOR INTEGER TIME SERIES MODELS In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 5 |
1994 | A Model of the Distribution of Prices. In: Oxford Bulletin of Economics and Statistics. [Citation analysis] | article | 9 |
2009 | Interest Rate Conundrum In: The B.E. Journal of Macroeconomics. [Full Text][Citation analysis] | article | 17 |
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 | 25 |
2013 | Econometric Modelling with Time Series.(2013) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 25 | book | |
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 | 339 |
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: 339 | 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: 339 | 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 | 17 |
1993 | Multiple equilibria and hysteresis in simple exchange models In: Economic Modelling. [Full Text][Citation analysis] | article | 5 |
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 | 31 |
1999 | Indirect estimation of ARFIMA and VARFIMA models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 17 |
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: 17 | paper | |
2006 | Contagion in international bond markets during the Russian and the LTCM crises In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 75 |
2004 | Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002 In: Global Finance Journal. [Full Text][Citation analysis] | article | 6 |
1998 | The distribution of exchange rate returns and the pricing of currency options In: Journal of International Economics. [Full Text][Citation analysis] | article | 4 |
2008 | International monetary policy surprise spillovers In: Journal of International Economics. [Full Text][Citation analysis] | article | 52 |
2014 | Financial contagion and asset pricing In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 25 |
2013 | Financial Contagion and Asset Pricing.(2013) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | 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 | 16 |
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 | 6 |
2005 | SHOCKS AND SYSTEMIC INFLUENCES: CONTAGION IN GLOBAL EQUITY MARKETS IN 1998 In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 2 |
2008 | A NEW CLASS OF TESTS OF CONTAGION WITH APPLICATIONS TO REAL ESTATE MARKETS In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 8 |
2008 | ARE FINANCIAL CRISES ALIKE? In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 60 |
2017 | Joint tests of contagion with applications to financial crises In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 4 |
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 | 61 |
1996 | A Non-linear Model of the Real US-UK Exchange Rate. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 9 |
2000 | A multivariate latent factor decomposition of international bond yield spreads In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 94 |
2005 | Parametric pricing of higher order moments in S&P500 options In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 20 |
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: 20 | paper | |
2007 | Unravelling financial market linkages during crises In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 140 |
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 | 4 |
2011 | Transmission of Financial Crises and Contagion: A Latent Factor Approach In: OUP Catalogue. [Citation analysis] | book | 24 |
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 | 26 |
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 | 25 |
2006 | Correlation, Contagion, and Asian Evidence In: Asian Economic Papers. [Full Text][Citation analysis] | article | 21 |
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 |
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