Vance Lindsay Martin : Citation Profile

University of Melbourne

18

H index

31

i10 index

1573

Citations

RESEARCH PRODUCTION:

65

Articles

39

Papers

3

Books

3

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   38 years (1986 - 2024). See details.
   Cites by year: 41
   Journals where Vance Lindsay Martin has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 44 (2.72 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pma552
   Updated: 2025-04-19    RAS profile: 2024-04-27    
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Relations with other researchers

Works with:

Tang, Chrismin (2)

Hurn, Stan (2)

Fry-McKibbin, Renee (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)

Panopoulou, Ekaterini (24)

Fratzscher, Marcel (24)

Sentana, Enrique (21)

Fiorentini, Gabriele (15)

GUPTA, RANGAN (15)

Thorp, Susan (13)

Baur, Dirk (13)

Mahadeo, Scott (12)

Cites to:

Fry-McKibbin, Renee (53)

Kaminsky, Graciela (48)

Reinhart, Carmen (41)

Rose, Andrew (35)

Engle, Robert (32)

Diebold, Francis (31)

Bekaert, Geert (30)

Bollerslev, Tim (26)

Harvey, Campbell (25)

Campbell, John (25)

Masson, Paul (23)

Main data

Production by document typepaperchapterbookarticle1986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240510Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published198619871988198919901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year1989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240100200300400Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 18Most cited documents12345678910111213141516171819200200400Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250401020h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Vance Lindsay Martin has published?

Journals with more than one article published# docs
The Economic Record6
Australian Economic Papers6
Journal of Time Series Analysis5
The North American Journal of Economics and Finance4
Journal of Applied Econometrics4
Studies in Nonlinear Dynamics & Econometrics3
Journal of Banking & Finance3
Journal of Environmental Economics and Management2
Journal of Business & Economic Statistics2
The Review of Economics and Statistics2
Journal of International Economics2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics6
IMF Working Papers / International Monetary Fund6
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 (2025 and 2024)

Year  ↓Title of citing document  ↓
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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2024Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658.

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2024The global transmission of U.S. monetary policy. (2024). Ricco, Giovanni ; Hong, Seokki Simon ; Degasperi, Riccardo. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1466_24.

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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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2025Cost-effective policy instruments for biodiversity conservation under climate change – The need for flexibility. (2025). Wtzold, Frank ; Sturm, Astrid ; Leins, Johannes A ; Drechsler, M ; Gerling, Charlotte. In: Ecological Economics. RePEc:eee:ecolec:v:227:y:2025:i:c:s0921800924003112.

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2024Shock resistors or transmitters? Contagion across industries and countries during the COVID-19 pandemic and the global financial crisis. (2024). Umutlu, Mehmet ; Harb, Hadi. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s016517652400510x.

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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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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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2024Global dynamics of bond co-movements: insights from the response to the US bond yields using wavelet methods. (2024). Adhikari, Hari ; Gladson, Eben Josecliff ; Choi, Youngran. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324010304.

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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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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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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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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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2024Tail connectedness: Measuring the volatility connectedness network of equity markets during crises. (2024). Yao, Wenying ; Liu, Junli ; Cheng, Tingting. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:87:y:2024:i:c:s0927538x2400249x.

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2024Financial contagion dynamics from the US to the PIIGS amidst the global financial crisis. (2024). Tzomakas, Christos. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924001017.

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2024How does the supply chain market respond to policy shocks? Evidence from solar photovoltaic sectors in China. (2024). Ou, Yinlin ; Hsiao, Cody Yu-Ling ; Chui, Chin Man. In: Renewable Energy. RePEc:eee:renene:v:232:y:2024:i:c:s0960148124011972.

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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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2024The Federal Reserve’s Quantitative Easing policy and volatility spillovers: Evidence from Australia. (2024). de Mello, Lurion ; Yahyaei, Hamid ; Singh, Abhay. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003897.

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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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2025.

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2025The ‘Climate Adaptation Problem’ in Biodiversity Conservation: The Value of Spatial Flexibility in Land Purchase. (2025). Hearne, John ; Schttker, Oliver ; Gerling, Charlotte. In: Environmental & Resource Economics. RePEc:kap:enreec:v:88:y:2025:i:2:d:10.1007_s10640-024-00932-4.

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2024Co-movements, option pricing and risk management: an application to WTI versus Brent spread options. (2024). Loccisano, Debora ; Leccadito, Arturo ; de Giovanni, Domenico. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05059-7.

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2024Spillovers of good and bad volatility in Asian emerging markets: insights from global and regional perspectives. (2024). Baba, Boubekeur. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:48:y:2024:i:4:d:10.1007_s12197-024-09696-5.

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2024Financial contagion in the US, European and Chinese stock markets during global shocks. (2024). Yu, Marina. In: Journal of New Economy. RePEc:url:izvest:v:25:y:2024:i:4:p:47-67.

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Vance Lindsay Martin has edited the books:

Year  ↓Title  ↓Type  ↓Cited  ↓

Works by Vance Lindsay Martin:

Year  ↓Title  ↓Type  ↓Cited  ↓
2011A Goodness of Fit Test for Ergodic Markov Processes In: ANU Working Papers in Economics and Econometrics.
[Full Text][Citation analysis]		paper0
2011A 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
2014Optimal Portfolio Management of Urban Water In: 2014 Conference (58th), February 4-7, 2014, Port Macquarie, Australia.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		paper2
2019Coastal 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
1994A Spectral-Temporal Index with an Application to U.S. Interest Rates. In: Journal of Business & Economic Statistics.
[Citation analysis]		article0
2010A New Class of Tests of Contagion With Applications In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article109
1987Leads and Lags in the Australian Business Cycle: A Canonical Approach in the Frequency Domain. In: Australian Economic Papers.
[Citation analysis]		article0
1989Weighted Monetary Aggregates: An Empirical Study Using Australian Monetary Data, 1969-1987. In: Australian Economic Papers.
[Citation analysis]		article1
1992Testing the Causal Properties of Economic Theories: An Application to a Small Australian Macroeconomic Model. In: Australian Economic Papers.
[Citation analysis]		article1
1992No, Business Cycles Are Not All Alike: The United States and Australia Compared. In: Australian Economic Papers.
[Citation analysis]		article0
1994Australian Short-Term Interest Rates: An Empirical Analysis of the Transmission Process, 1988-1991. In: Australian Economic Papers.
[Citation analysis]		article1
2004CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION In: Australian Economic Papers.
[Full Text][Citation analysis]		article23
1998Nonlinear Modelling Using the Generalized Exponential Family of Distributions. In: Bulletin of Economic Research.
[Citation analysis]		article1
1986Asset Substitution and Aggregate Liquidity in Australia: 1969–1983 In: The Economic Record.
[Full Text][Citation analysis]		article0
1989An Investigation into the Major Causes 01 Australias Recent Inflation and Some Policy Implications In: The Economic Record.
[Full Text][Citation analysis]		article8
2008The Role of Portfolio Shocks in a Structural Vector Autoregressive Model of the Australian Economy In: The Economic Record.
[Full Text][Citation analysis]		article8
2010Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy? In: The Economic Record.
[Full Text][Citation analysis]		article16
2009Overvaluation in Australian housing and equity markets: Wealth effects or monetary policy?.(2009) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 16		paper
2019Once 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]		article2
2022The Dynamics of Structural Transformation in Australia, 1960–2020 In: The Economic Record.
[Full Text][Citation analysis]		article0
1992THRESHOLD TIME SERIES MODELS AS MULTIMODAL DISTRIBUTION JUMP PROCESSES In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
1994NON‐LINEAR TIME SERIES MODELLING AND DISTRIBUTIONAL FLEXIBILITY In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
2003On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article13
2005Implicit Bayesian Inference Using Option Prices In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article11
2000Implicit Bayesian Inference Using Option Prices..(2000) In: Monash Econometrics and Business Statistics Working Papers.
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2003Implicit Bayesian Inference Using Option Prices.(2003) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 11		paper
2014EFFICIENT METHOD OF MOMENTS ESTIMATORS FOR INTEGER TIME SERIES MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article5
1994A Model of the Distribution of Prices. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]		article9
2009Interest Rate Conundrum In: The B.E. Journal of Macroeconomics.
[Full Text][Citation analysis]		article16
2009Interest Rate Conundrum.(2009) In: Department of Economics, Working Paper Series.
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2009The Interest Rate Conundrum.(2009) In: Department of Economics, Working Paper Series.
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This paper has nother version. Agregated cites: 16		paper
2014Modelling nonlinearities in equity returns: the mean impact curve analysis In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2019A nonlinear model of asset returns with multiple shocks In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2020A threshold mixed count time series model: estimation and application In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article2
2013Econometric Modelling with Time Series In: Cambridge Books.
[Citation analysis]		book25
2013Econometric Modelling with Time Series.(2013) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 25		book
1998ENDOGENOUS JUMPING AND ASSET PRICE DYNAMICS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article4
2024Teaching Financial Econometrics to Students Converting to Finance In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]		paper0
2004Empirical Modelling of Contagion: A Review of Methodologies In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper357
2004Empirical Modelling of Contagion: A Review of Methodologies.(2004) In: Econometric Society 2004 Far Eastern Meetings.
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2004Empirical Modeling of Contagion: A Review of Methodologies.(2004) In: IMF Working Papers.
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2005Empirical modelling of contagion: a review of methodologies.(2005) In: Quantitative Finance.
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2004Discounting The Equity Premium Puzzle In: Econometric Society 2004 Australasian Meetings.
[Full Text][Citation analysis]		paper2
2008Computing the Distributions of Economic Models via Simulation In: Econometrica.
[Full Text][Citation analysis]		article17
2018News and expected returns in East Asian equity markets: The RV-GARCHM model In: Journal of Asian Economics.
[Full Text][Citation analysis]		article0
1993Multiple equilibria and hysteresis in simple exchange models In: Economic Modelling.
[Full Text][Citation analysis]		article5
2006A reexamination of the equity-premium puzzle: A robust non-parametric approach In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article4
2006A reexamination of the equity-premium puzzle: A robust non-parametric approach.(2006) In: Departmental Working Papers.
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This paper has nother version. Agregated cites: 4		paper
2007Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article32
2018Global and regional financial integration in East Asia and the ASEAN In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article12
2019The 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]		article7
1999Indirect estimation of ARFIMA and VARFIMA models In: Journal of Econometrics.
[Full Text][Citation analysis]		article17
1997Indirect 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
2006Contagion in international bond markets during the Russian and the LTCM crises In: Journal of Financial Stability.
[Full Text][Citation analysis]		article81
2004Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002 In: Global Finance Journal.
[Full Text][Citation analysis]		article7
1998The distribution of exchange rate returns and the pricing of currency options In: Journal of International Economics.
[Full Text][Citation analysis]		article3
2008International monetary policy surprise spillovers In: Journal of International Economics.
[Full Text][Citation analysis]		article57
2021Forecasting the volatility of asset returns: The informational gains from option prices In: International Journal of Forecasting.
[Full Text][Citation analysis]		article1
2021Measuring financial interdependence in asset markets with an application to eurozone equities In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article10
2023Household willingness to take financial risk: Stockmarket movements and life‐cycle effects In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article2
2014Financial contagion and asset pricing In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article29
2013Financial Contagion and Asset Pricing.(2013) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 29		paper
2009Optimal conservation, extinction debt, and the augmented quasi-option value In: Journal of Environmental Economics and Management.
[Full Text][Citation analysis]		article18
2013Intergenerational earnings mobility: A new decomposition of investment and endowment effects In: Labour Economics.
[Full Text][Citation analysis]		article18
2019Real sectoral spillovers: A dynamic factor analysis of the great recession In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article8
2018Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession.(2018) In: IMF Working Papers.
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This paper has nother version. Agregated cites: 8		paper
2006Pricing currency options in the presence of time-varying volatility and non-normalities In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]		article7
2018Addressing water shortages by force of habit In: Resource and Energy Economics.
[Full Text][Citation analysis]		article4
2005SHOCKS AND SYSTEMIC INFLUENCES: CONTAGION IN GLOBAL EQUITY MARKETS IN 1998 In: CAMA Working Papers.
[Full Text][Citation analysis]		paper2
2008A NEW CLASS OF TESTS OF CONTAGION WITH APPLICATIONS TO REAL ESTATE MARKETS In: CAMA Working Papers.
[Full Text][Citation analysis]		paper9
2008ARE FINANCIAL CRISES ALIKE? In: CAMA Working Papers.
[Full Text][Citation analysis]		paper60
2010Are Financial Crises Alike?.(2010) In: IMF Working Papers.
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This paper has nother version. Agregated cites: 60		paper
2017Joint tests of contagion with applications to financial crises In: CAMA Working Papers.
[Full Text][Citation analysis]		paper3
2017Joint tests of contagion with applications to financial crises.(2017) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 3		paper
2018Measuring financial interdependence in asset returns with an application to euro zone equities In: CAMA Working Papers.
[Full Text][Citation analysis]		paper0
2013Dynamic letter volume models: how does an economic downturn affect substitution propensities? In: Chapters.
[Full Text][Citation analysis]		chapter0
2012Forecasting Letter Volumes: Augmenting Econometric Baseline Projections In: Chapters.
[Full Text][Citation analysis]		chapter1
1995Regression‐based cointegration estimators with applications In: Journal of Economic Studies.
[Full Text][Citation analysis]		article1
1995Modelling the Term Structure. In: Australian National University - Department of Economics.
[Citation analysis]		paper61
2002International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse In: IMF Working Papers.
[Full Text][Citation analysis]		paper23
2003Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998 In: IMF Working Papers.
[Full Text][Citation analysis]		paper13
2003Characterizing Global Investors Risk Appetite for Emerging Market Debt During Financial Crises In: IMF Working Papers.
[Full Text][Citation analysis]		paper9
1996A Non-linear Model of the Real US-UK Exchange Rate. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article9
2000A multivariate latent factor decomposition of international bond yield spreads In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article93
2005Parametric pricing of higher order moments in S&P500 options In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article27
2002Parametric Pricing of Higher Order Moments in S&P500 Options..(2002) In: Monash Econometrics and Business Statistics Working Papers.
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This paper has nother version. Agregated cites: 27		paper
2005Parametric pricing of higher order moments in S&P500 options.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
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