18
H index
31
i10 index
1553
Citations
University of Melbourne | 18 H index 31 i10 index 1553 Citations RESEARCH PRODUCTION: 63 Articles 39 Papers 3 Books 3 Chapters EDITOR: Books edited RESEARCH ACTIVITY: 38 years (1986 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pma552 |
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: |
Year | Title of citing document |
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2023 | Analysis of Dynamic Connectedness among Sovereign CDS Premia. (2023). Ceylan, Ozcan. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:33-47. Full description at Econpapers || Download paper |
2023 | 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 |
2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper |
2023 | The inverse Black-Scholes problem in Radon measures space revisited: towards a new measure of market uncertainty. (2023). Riane, Nizar. In: Papers. RePEc:arx:papers:2303.16773. Full description at Econpapers || Download paper |
2023 | Artificial neural networks and time series of counts: A class of nonlinear INGARCH models. (2023). Jahn, Malte. In: Papers. RePEc:arx:papers:2304.01025. Full description at Econpapers || Download paper |
2024 | Generalized measure Black-Scholes equation: Towards option self-similar pricing. (2024). David, Claire ; Riane, Nizar. In: Papers. RePEc:arx:papers:2404.05214. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | House Prices, Monetary Policy and Commodities: Evidence from Australia. (2023). Read, Alistair ; Graham, James. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:324:p:1-31. Full description at Econpapers || Download paper |
2023 | The Tsunami: Measures of Contagion in the 2007–2008 Credit Crunch. (2008). Dungey, Mardi. In: CESifo Forum. RePEc:ces:ifofor:v:9:y:2008:i:4:p:33-43. Full description at Econpapers || Download paper |
2023 | The Global Transmission of U.S. Monetary Policy. (2022). Ricco, Giovanni ; Hong, Seokki Simon ; Degasperi, Riccardo. In: Working Papers. RePEc:crs:wpaper:2023-02. Full description at Econpapers || Download paper |
2023 | Risk, monetary policy and asset prices in a global world. (2023). Bekaert, Geert ; Hoerova, Marie ; Xu, Nancy R. In: Working Paper Series. RePEc:ecb:ecbwps:20232879. Full description at Econpapers || Download paper |
2023 | A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (2023). Ge, Shuyi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002688. Full description at Econpapers || Download paper |
2024 | A contagion test with unspecified heteroscedastic errors. (2024). Peng, Liang ; Hsiao, Cody Yu-Ling ; Lo, Chia Chun ; Ko, Stanley Iat-Meng ; Aboagye, Ernest. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923002105. Full description at Econpapers || Download paper |
2024 | The determinants of systemic risk contagion. (2024). Erden, Lutfi ; Ozkan, Brahim ; Atasoy, Burak Sencer. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s026499932300408x. Full description at Econpapers || Download paper |
2023 | Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578. Full description at Econpapers || Download paper |
2023 | Insurance value of biodiversity in the Anthropocene is the full resilience value. (2023). Folke, Carl ; Gomez-Baggethun, Erik ; Brondizio, Eduardo ; Elmqvist, Thomas ; Gasparatos, Alexandros ; Takeuchi, Kazuhiko ; Sioen, Giles B ; Fukushi, Kensuke ; Hahn, Thomas ; Jarzebski, Marcin Pawel ; Arini, Enggar Yustisi ; Atmaja, Tri ; Setiawati, Martiwi Diah. In: Ecological Economics. RePEc:eee:ecolec:v:208:y:2023:i:c:s0921800923000629. Full description at Econpapers || Download paper |
2024 | Industrial Connectedness and Business Cycle Comovements. (2024). Owyang, Michael ; Guisinger, Amy ; Soques, Daniel. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:132-149. Full description at Econpapers || Download paper |
2024 | The international impact of a fragile EMU. (2024). Stracca, Livio ; Pagliari, Maria Sole ; Ioannou, Demosthenes. In: European Economic Review. RePEc:eee:eecrev:v:161:y:2024:i:c:s0014292123002751. Full description at Econpapers || Download paper |
2023 | Financial technology stocks, green financial assets, and energy markets: A quantile causality and dependence analysis. (2023). Abakah, Emmanuel ; Ntowgyamfi, Matthew ; Le, Tn-Lan ; Shao, Xuefeng ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988322006272. Full description at Econpapers || Download paper |
2023 | Energy price shocks, exchange rates and inflation nexus. (2023). Bigerna, Simona. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006540. Full description at Econpapers || Download paper |
2023 | Evaluations of policy contagion for new energy vehicle industry in China. (2023). Chiu, Yi-Bin ; Zheng, Xin ; Yang, Rui ; Hsiao, Cody Yu-Ling. In: Energy Policy. RePEc:eee:enepol:v:173:y:2023:i:c:s0301421522006218. Full description at Econpapers || Download paper |
2023 | Stock–bond dependence and flight to/from quality. (2023). Ning, Cathy ; Ponrajah, Jeremey. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004173. Full description at Econpapers || Download paper |
2023 | Foreign exchange market return spillovers and connectedness among African countries. (2023). Osei, Kofi Acheampong ; Kang, Sang Hoon ; Mensah, Lord Kwaku ; Boakye, Robert Owusu. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000212. Full description at Econpapers || Download paper |
2023 | Co-movement between commodity and equity markets revisited—An application of the Thick Pen method. (2023). Lee, Seungho ; Durand, Robert B ; Gronwald, Marc ; Wadud, Sania. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000844. Full description at Econpapers || Download paper |
2023 | Time-varying bond market integration and the impact of financial crises. (2023). Hyde, Stuart ; Cho, Sungjun ; Qin, Weiping. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004258. Full description at Econpapers || Download paper |
2024 | Silicon Valley Bank bankruptcy and Stablecoins stability. (2024). Galati, Luca ; Capalbo, Francesco. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005173. Full description at Econpapers || Download paper |
2024 | Asymmetric and high-order risk transmission across VIX and Chinese futures markets. (2024). Luo, Jiawen ; Zhang, Zhendong. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000462. Full description at Econpapers || Download paper |
2024 | The impact of the Russia–Ukraine war on volatility spillovers. (2024). Wang, Yizhi ; Lin, Yongjia ; Sio-Chong, Tony. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001261. Full description at Econpapers || Download paper |
2024 | Contagion and linkages across international currencies. (2024). Tuteja, Divya ; Bhatia, Shipra. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002333. Full description at Econpapers || Download paper |
2024 | Financial stability through the lens of complex systems. (2024). Battiston, Stefano ; Martinez-Jaramillo, Serafin ; Haaj, Grzegorz. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000135. Full description at Econpapers || Download paper |
2023 | The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies. (2023). Alshater, Muneer M ; el Khoury, Rim ; Tian, Maoxi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001846. Full description at Econpapers || Download paper |
2023 | Market risks that change US-European equity correlations. (2023). Sarwar, Ghulam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443122002037. Full description at Econpapers || Download paper |
2023 | Determinants of financial stability and risk transmission in dual financial system: Evidence from the COVID pandemic. (2023). Elsayed, Ahmed ; Helmi, Mohamad Husam ; Ahmed, Habib. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000525. Full description at Econpapers || Download paper |
2023 | Gold-mining stocks, risk factors, and tail patterns. (2023). , James ; Cai, Jun ; Qin, Yiyi ; Webb, Robert I. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000914. Full description at Econpapers || Download paper |
2024 | Bayesian forecasting in economics and finance: A modern review. (2024). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839. Full description at Econpapers || Download paper |
2023 | Complexity and the default risk of mortgage-backed securities. (2023). Dufour, Alfonso ; Varotto, Simone ; Segato, Samuele ; Billio, Monica. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001917. Full description at Econpapers || Download paper |
2023 | Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis N ; Bampinas, Georgios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001031. Full description at Econpapers || Download paper |
2024 | Revisiting capital flow drivers: Regional dynamics, constraints, and geopolitical influences. (2024). Awijen, Haithem ; Anastasiou, Dimitris ; Louhichi, Wael ; ben Ameur, Hachmi ; Ftiti, Zied. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000366. Full description at Econpapers || Download paper |
2023 | The evolution of commodity market financialization: Implications for portfolio diversification. (2023). Fry-McKibbin, Renee ; McKinnon, Kate. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000508. Full description at Econpapers || Download paper |
2024 | Revisiting the pricing impact of commodity market spillovers on equity markets. (2024). Hyde, Stuart ; Bowe, Michael ; Pinto-Avalos, Francisco. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000594. Full description at Econpapers || Download paper |
2024 | Quantile coherency across bonds, commodities, currencies, and equities. (2024). Stenvall, David ; Rahman, Md Lutfur ; Lucey, Brian ; Uddin, Gazi Salah. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000697. Full description at Econpapers || Download paper |
2024 | Connectedness analysis of oil price shocks, inflation, and exchange rate for the MENA region countries. (2024). Bigerna, Simona. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723010553. Full description at Econpapers || Download paper |
2024 | Oil shocks and financial stability in MENA countries. (2024). Sousa, Ricardo ; Sohag, Kazi ; Elsayed, Ahmed. In: Resources Policy. RePEc:eee:jrpoli:v:89:y:2024:i:c:s0301420724000205. Full description at Econpapers || Download paper |
2023 | Extreme illiquidity and stock returns: Evidence from Thailand market. (2023). Wang, Yanchu ; Chen, XI ; Zhong, Xiaoling. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002627. Full description at Econpapers || Download paper |
2023 | News-based economic policy uncertainty and financial contagion: An international evidence. (2023). Hadhri, Sinda. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:63-76. Full description at Econpapers || Download paper |
2023 | Irrigation technology adaptation for a sustainable agriculture: A panel endogenous switching analysis on the Italian farmland productivity. (2023). Pronti, Andrea ; Auci, Sabrina. In: Resource and Energy Economics. RePEc:eee:resene:v:74:y:2023:i:c:s0928765523000465. Full description at Econpapers || Download paper |
2023 | Crisis stress for the diversity of financial portfolios — evidence from European households. (2023). Stephan, Andreas ; Schäfer, Dorothea ; Weser, Henriette ; Schafer, Dorothea. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:330-347. Full description at Econpapers || Download paper |
2023 | What impacts foreign capital flows to Chinas stock markets? Evidence from financial risk spillover networks. (2023). Li, Songsong ; Xu, Hao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:559-577. Full description at Econpapers || Download paper |
2024 | Towards understanding MILA stock markets integration beyond MILA: New evidence between the pre-Global financial crisis and the COVID19 periods. (2024). Gomez-Bravo, Yuli Paola ; Sanchez-Barrios, Luis Javier ; Lukanima, Benedicto Kulwizira. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:478-497. Full description at Econpapers || Download paper |
2023 | Revisited Multi-moment Approximate Option. (2002). Negrea, Bogdan ; Maillet, Bertrand ; Jurczenko, Emmanuel . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp430. Full description at Econpapers || Download paper |
2024 | Financial Contagion of the Russian Stock Market from the European Stock Market During the COVID-19 Pandemic. (2024). Yu, Dmitry. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:240202:p:27-42. Full description at Econpapers || Download paper |
2023 | Flight-to-Liquidity and Excess Stock Return: Empirical Evidence from a Dynamic Panel Model. (2023). Ur, Habib ; Ali, Asif ; Sands, John ; Arian, Adam. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:12:p:515-:d:1298848. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis ; Bampinas, Georgios. In: Post-Print. RePEc:hal:journl:hal-04164277. Full description at Econpapers || Download paper |
2023 | Uncertainty and the effectiveness of fiscal policy in the United States and Brasil: SVAR Approach. (2023). de Sa, Eduardo. In: Working Papers. RePEc:inf:wpaper:2023.03. Full description at Econpapers || Download paper |
2023 | Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-1. Full description at Econpapers || Download paper |
2023 | How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?. (2023). Panagiotidis, Theodore ; Bampinas, Georgios. In: MPRA Paper. RePEc:pra:mprapa:117094. Full description at Econpapers || Download paper |
2023 | Comparative Study of ASEAN Research Productivity. (2023). Wicaksono, Hendro ; Lutfian, Muhammad Vinka ; Muqaffi, Humam Nur ; Putra, Rizky Ananda ; Sukoco, Badri Munir. In: SAGE Open. RePEc:sae:sagope:v:13:y:2023:i:1:p:21582440221145157. Full description at Econpapers || Download paper |
2023 | Changing vulnerability in Asia: contagion and spillovers. (2023). Volkov, Vladimir ; Dungey, Mardi ; Kangogo, Moses. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:5:d:10.1007_s00181-022-02322-5. Full description at Econpapers || Download paper |
2023 | Risk-sharing within Brazil and South America. (2023). Ferreira, Alex ; Silva, Eduardo. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-022-02350-1. Full description at Econpapers || Download paper |
2023 | Currencies of greater interest for central Asian economies: an analysis of exchange market pressure amid global and regional interdependence. (2023). Arora, Kapil ; Ganiev, Omonjon ; Ur-Rehman, Naqeeb ; Jain, Devendra Kumar. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00417-7. Full description at Econpapers || Download paper |
2023 | Intelligent design: stablecoins (in)stability and collateral during market turbulence. (2023). Galati, Luca ; Webb, Alexander ; Blasis, Riccardo. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00492-4. Full description at Econpapers || Download paper |
2023 | Crisis transmission degree measurement under crisis propagation model. (2023). Jilani, Faouzi ; Hallara, Slaheddine ; Bedoui-Belghith, Imen. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00361-9. Full description at Econpapers || Download paper |
2023 | An empirical investigation of the impact of spillover dynamics from crude to NSE Nifty Index during and prior to the COVID-19 pandemic period. (2023). Paliwal, Riya ; Shahani, Rakesh. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:8:d:10.1007_s43546-023-00517-1. Full description at Econpapers || Download paper |
2023 | Oil and US stock market shocks: Implications for Canadian equities. (2023). Mahadeo, Scott ; Heinlein, Reinhold. In: Canadian Journal of Economics/Revue canadienne d'économique. RePEc:wly:canjec:v:56:y:2023:i:1:p:247-287. Full description at Econpapers || Download paper |
2024 | 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 |
2023 | Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets. (2023). Apergis, Nicholas ; Tsionas, Mike G. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:1137-1155. Full description at Econpapers || Download paper |
2023 | Explaining Monetary Spillovers: The Matrix Reloaded. (2023). Xia, Fan Dora ; Schrimpf, Andreas ; Kearns, Jonathan. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:6:p:1535-1568. Full description at Econpapers || Download paper |
2023 | Contagion between selected European indexes during the Covid-19 pandemic. (2023). Syrek, Robert ; Gurgul, Henryk. In: Operations Research and Decisions. RePEc:wut:journl:v:33:y:2023:i:1:p:47-59:id:4. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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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 nother 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 |
2019 | Coastal Dynamics and Adaptation to Uncertain Sea Level Rise: Optimal Portfolios for Salt Marsh Migration In: 2019 Conference (63rd), February 12-15, 2019, Melbourne, Australia. [Full Text][Citation analysis] | paper | 2 |
2019 | Coastal dynamics and adaptation to uncertain sea level rise: Optimal portfolios for salt marsh migration.(2019) In: Journal of Environmental Economics and Management. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
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 | 103 |
1987 | Leads and Lags in the Australian Business Cycle: A Canonical Approach in the Frequency Domain. In: Australian Economic Papers. [Citation analysis] | article | 0 |
1989 | Weighted Monetary Aggregates: An Empirical Study Using Australian Monetary Data, 1969-1987. In: Australian Economic Papers. [Citation analysis] | article | 1 |
1992 | Testing the Causal Properties of Economic Theories: An Application to a Small Australian Macroeconomic Model. In: Australian Economic Papers. [Citation analysis] | article | 1 |
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 |
1986 | Asset Substitution and Aggregate Liquidity in Australia: 1969–1983 In: The Economic Record. [Full Text][Citation analysis] | article | 0 |
1989 | An Investigation into the Major Causes 01 Australias Recent Inflation and Some Policy Implications In: The Economic Record. [Full Text][Citation analysis] | article | 8 |
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 | 8 |
2010 | Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy? In: The Economic Record. [Full Text][Citation analysis] | article | 16 |
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 nother version. Agregated cites: 16 | paper | |
2019 | Once in a Lifetime? The Effects of the Global Financial Crisis on Household Willingness to Take Financial Risk In: The Economic Record. [Full Text][Citation analysis] | article | 2 |
2022 | The Dynamics of Structural Transformation in Australia, 1960–2020 In: The Economic Record. [Full Text][Citation analysis] | article | 0 |
1992 | THRESHOLD TIME SERIES MODELS AS MULTIMODAL DISTRIBUTION JUMP PROCESSES In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
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 nother 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 nother 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 |
2009 | Interest Rate Conundrum.(2009) In: Department of Economics, Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2009 | The Interest Rate Conundrum.(2009) In: Department of Economics, Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2014 | Modelling nonlinearities in equity returns: the mean impact curve analysis In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
2019 | A nonlinear model of asset returns with multiple shocks In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
2020 | A threshold mixed count time series model: estimation and application In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 2 |
2013 | Econometric Modelling with Time Series In: Cambridge Books. [Citation analysis] | book | 26 |
2013 | Econometric Modelling with Time Series.(2013) In: Cambridge Books. [Citation analysis] This paper has nother version. Agregated cites: 26 | book | |
1998 | ENDOGENOUS JUMPING AND ASSET PRICE DYNAMICS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 4 |
2024 | Teaching Financial Econometrics to Students Converting to Finance In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | Empirical Modelling of Contagion: A Review of Methodologies In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 355 |
2004 | Empirical Modelling of Contagion: A Review of Methodologies.(2004) In: Econometric Society 2004 Far Eastern Meetings. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 355 | paper | |
2004 | Empirical Modeling of Contagion: A Review of Methodologies.(2004) In: IMF Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 355 | paper | |
2005 | Empirical modelling of contagion: a review of methodologies.(2005) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 355 | 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 |
2018 | News and expected returns in East Asian equity markets: The RV-GARCHM model In: Journal of Asian Economics. [Full Text][Citation analysis] | article | 0 |
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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 nother 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 | 32 |
2018 | Global and regional financial integration in East Asia and the ASEAN In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 11 |
2019 | The effects of the Global Financial Crisis on the stock holding decisions of Australian households In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 7 |
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 nother 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 | 81 |
2004 | Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002 In: Global Finance Journal. [Full Text][Citation analysis] | article | 7 |
1998 | The distribution of exchange rate returns and the pricing of currency options In: Journal of International Economics. [Full Text][Citation analysis] | article | 3 |
2008 | International monetary policy surprise spillovers In: Journal of International Economics. [Full Text][Citation analysis] | article | 54 |
2021 | Forecasting the volatility of asset returns: The informational gains from option prices In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
2021 | Measuring financial interdependence in asset markets with an application to eurozone equities In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 10 |
2014 | Financial contagion and asset pricing In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 26 |
2013 | Financial Contagion and Asset Pricing.(2013) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
2009 | Optimal conservation, extinction debt, and the augmented quasi-option value In: Journal of Environmental Economics and Management. [Full Text][Citation analysis] | article | 16 |
2013 | Intergenerational earnings mobility: A new decomposition of investment and endowment effects In: Labour Economics. [Full Text][Citation analysis] | article | 17 |
2019 | Real sectoral spillovers: A dynamic factor analysis of the great recession In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 8 |
2018 | Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession.(2018) In: IMF Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
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 | 7 |
2018 | Addressing water shortages by force of habit In: Resource and Energy Economics. [Full Text][Citation analysis] | article | 4 |
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 | 9 |
2008 | ARE FINANCIAL CRISES ALIKE? In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 59 |
2010 | Are Financial Crises Alike?.(2010) In: IMF Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | paper | |
2017 | Joint tests of contagion with applications to financial crises In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 3 |
2017 | Joint tests of contagion with applications to financial crises.(2017) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2018 | Measuring financial interdependence in asset returns with an application to euro zone equities In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
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 | Regression?based cointegration estimators with applications In: Journal of Economic Studies. [Full Text][Citation analysis] | article | 1 |
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2002 | International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse In: IMF Working Papers. [Full Text][Citation analysis] | paper | 23 |
2003 | Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998 In: IMF Working Papers. [Full Text][Citation analysis] | paper | 13 |
2003 | Characterizing Global Investors Risk Appetite for Emerging Market Debt During Financial Crises In: IMF Working Papers. [Full Text][Citation analysis] | paper | 9 |
1996 | A Non-linear Model of the Real US-UK Exchange Rate. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 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 | 27 |
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 nother version. Agregated cites: 27 | paper | |
2005 | Parametric pricing of higher order moments in S&P500 options.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
2007 | Unravelling financial market linkages during crises In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 146 |
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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 | 1 |
2011 | Transmission of Financial Crises and Contagion: A Latent Factor Approach In: OUP Catalogue. [Citation analysis] | book | 28 |
2000 | Weighted Monetary Aggregates: Empirical Evidence for Australia In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
2022 | Measuring Global Interest Rate Comovements with Implications for Monetary Policy Interdependence In: RBA Annual Conference Papers. [Full Text][Citation analysis] | paper | 0 |
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 | 25 |
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 | 29 |
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2019 | Joint tests of contagion with applications In: Quantitative Finance. [Full Text][Citation analysis] | article | 17 |
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 | 2 |
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2022 | Modeling time varying risk of natural resource assets: Implications of climate change In: Quantitative Economics. [Full Text][Citation analysis] | article | 0 |
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