Vance Lindsay Martin : Citation Profile


Are you Vance Lindsay Martin?

University of Melbourne

18

H index

31

i10 index

1553

Citations

RESEARCH PRODUCTION:

63

Articles

39

Papers

3

Books

3

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   38 years (1986 - 2024). See details.
   Cites by year: 40
   Journals where Vance Lindsay Martin has often published
   Relations with other researchers
   Recent citing documents: 87.    Total self citations: 44 (2.76 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pma552
   Updated: 2024-11-08    RAS profile: 2024-04-27    
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Relations with other researchers


Works with:

Fry-McKibbin, Renee (3)

Leroux, Anke (3)

Tang, Chrismin (2)

Johnston, Robert (2)

Cardak, Buly (2)

Hsiao, Cody Yu-Ling (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:

Flavin, Thomas (38)

Fry-McKibbin, Renee (33)

Hsiao, Cody Yu-Ling (27)

Fratzscher, Marcel (25)

Panopoulou, Ekaterini (24)

Sentana, Enrique (22)

Fiorentini, Gabriele (16)

GUPTA, RANGAN (15)

Baur, Dirk (13)

Thorp, Susan (13)

Ehrmann, Michael (12)

Cites to:

Fry-McKibbin, Renee (53)

Kaminsky, Graciela (48)

Reinhart, Carmen (41)

Rose, Andrew (35)

Engle, Robert (32)

Diebold, Francis (31)

Bekaert, Geert (29)

Bollerslev, Tim (26)

Harvey, Campbell (25)

Campbell, John (23)

Masson, Paul (22)

Main data


Where Vance Lindsay Martin has published?


Journals with more than one article published# docs
The Economic Record6
Australian Economic Papers6
Journal of Time Series Analysis4
Journal of Applied Econometrics4
The North American Journal of Economics and Finance4
Studies in Nonlinear Dynamics & Econometrics3
Quantitative Finance2
Journal of International Economics2
The Review of Economics and Statistics2
Journal of Business & Economic Statistics2
Journal of Environmental Economics and Management2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
IMF Working Papers / International Monetary Fund6
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics6
Econometric Society 2004 Australasian Meetings / Econometric Society2
Department of Economics, Working Paper Series / Department of Economics, Institute for Business and Economic Research, UC Berkeley2

Recent works citing Vance Lindsay Martin (2024 and 2023)


YearTitle of citing document
2023Analysis 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.

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2023Bayesian 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.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2023The 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.

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2023Artificial neural networks and time series of counts: A class of nonlinear INGARCH models. (2023). Jahn, Malte. In: Papers. RePEc:arx:papers:2304.01025.

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2024Generalized measure Black-Scholes equation: Towards option self-similar pricing. (2024). David, Claire ; Riane, Nizar. In: Papers. RePEc:arx:papers:2404.05214.

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2023.

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2023House 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.

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2023The 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.

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2023The Global Transmission of U.S. Monetary Policy. (2022). Ricco, Giovanni ; Hong, Seokki Simon ; Degasperi, Riccardo. In: Working Papers. RePEc:crs:wpaper:2023-02.

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2023Risk, 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.

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2023A 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.

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2024A 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.

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2024The 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.

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2023Forecasting 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.

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2023Insurance 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.

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2024Industrial 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.

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2024The 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.

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2023Financial 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.

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2023Energy price shocks, exchange rates and inflation nexus. (2023). Bigerna, Simona. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006540.

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2023Evaluations 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.

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2023Stock–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.

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2023Foreign 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.

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2023Co-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.

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2023Time-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.

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2024Silicon 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.

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2024Asymmetric 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.

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2024The 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.

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2024Contagion 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.

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2024Financial 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.

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2023The 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.

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2023Market 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.

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2023Determinants 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.

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2023Gold-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.

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2024Bayesian 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.

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2023Complexity 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.

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2023Sovereign 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.

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2024Revisiting 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.

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2023The 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.

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2024Revisiting 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.

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2024Quantile 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.

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2024Connectedness 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.

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2024Oil 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.

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2023Extreme 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.

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2023News-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.

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2023Irrigation 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.

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2023Crisis 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.

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2023What 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.

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2024Towards 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.

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2023Revisited Multi-moment Approximate Option. (2002). Negrea, Bogdan ; Maillet, Bertrand ; Jurczenko, Emmanuel . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp430.

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2024Financial 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.

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2023Flight-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.

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2023.

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2023Sovereign 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.

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2023Uncertainty 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.

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2023Bayesian 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.

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2023How 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.

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2023Comparative 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.

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2023Changing 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.

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2023Risk-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.

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2023Currencies 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.

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2023Intelligent 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.

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2023Crisis 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.

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2023An 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.

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2023Oil 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.

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2024On 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.

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2023Another 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.

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2023Explaining 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.

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2023Contagion 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.

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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 Macquarie, Australia.
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2019Coastal Dynamics and Adaptation to Uncertain Sea Level Rise: Optimal Portfolios for Salt Marsh Migration In: 2019 Conference (63rd), February 12-15, 2019, Melbourne, Australia.
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2019Coastal dynamics and adaptation to uncertain sea level rise: Optimal portfolios for salt marsh migration.(2019) In: Journal of Environmental Economics and Management.
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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.
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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 01 Australias Recent Inflation and Some Policy Implications In: The Economic Record.
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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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2019Once in a Lifetime? The Effects of the Global Financial Crisis on Household Willingness to Take Financial Risk In: The Economic Record.
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2022The Dynamics of Structural Transformation in Australia, 1960–2020 In: The Economic Record.
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1992THRESHOLD TIME SERIES MODELS AS MULTIMODAL DISTRIBUTION JUMP PROCESSES In: Journal of Time Series Analysis.
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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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article13
2005Implicit Bayesian Inference Using Option Prices In: Journal of Time Series Analysis.
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