Vance L. Martin

University of Melbourne - Department of Economics

Melbourne, 3010

Australia

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

ANU College of Business and Economics

Canberra, Australian Capital Territory 0200

Australia

SCHOLARLY PAPERS

15

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2,249

SSRN CITATIONS
Rank 21,367

SSRN RANKINGS

Top 21,367

in Total Papers Citations

16

CROSSREF CITATIONS

31

Scholarly Papers (15)

1.

Monetary Policy Shocks and Security Market Responses

University of California, Berkeley Economics Working Paper
Number of pages: 29 Posted: 22 Nov 2003
Roger Craine and Vance L. Martin
University of California, Berkeley - Department of Economics and University of Melbourne - Department of Economics
Downloads 473 (73,752)
Citation 18

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Monetary policy, yield curve, stock market, factor model

2.

International Contagion Effects from the Russian Crisis and the Ltcm Near-Collapse

IMF Working Paper No. 02/74
Number of pages: 48 Posted: 15 Feb 2006
University of Cambridge - Cambridge Endowment for Research in Finance (CERF), affiliation not provided to SSRN, International Monetary Fund and University of Melbourne - Department of Economics
Downloads 419 (85,221)
Citation 1

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financial crises contagion effects international spillovers Russia LTCM

Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises

IMF Working Paper No. 03/251
Number of pages: 44 Posted: 07 Apr 2008
University of Cambridge - Cambridge Endowment for Research in Finance (CERF), Australian National University (ANU) - Department of Economics, University of Melbourne - Department of Economics and International Monetary Fund
Downloads 241 (154,285)

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Emerging markets, Bonds, Debt, Financial crisis, fINANCIAL RISK, Economic models

Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises

IMF Working Paper No. 03/251
Number of pages: 44 Posted: 27 Jan 2006
University of Cambridge - Cambridge Endowment for Research in Finance (CERF), Australian National University (ANU) - Department of Economics, International Monetary Fund and University of Melbourne - Department of Economics
Downloads 123 (277,556)

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Risk Aversion, Bond Markets, Financial Crises, SVAR

4.

Are Financial Crises Alike?

IMF Working Paper No. 10/14
Number of pages: 59 Posted: 18 Jan 2010
University of Cambridge - Cambridge Endowment for Research in Finance (CERF), Australian National University (ANU) - Department of Economics, University of Melbourne - Department of Economics, University of Melbourne and International Monetary Fund
Downloads 290 (128,358)

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Banking crisis, Capital markets, Cross country analysis, Developed countries, Economic models, Emerging markets, External shocks, Financial crisis, Spillovers

5.

COVID-19 and the Discounting of Real Economic Activity in the U.S. and European Stock Markets

Number of pages: 36 Posted: 24 Apr 2020 Last Revised: 27 Jan 2021
Juha-Pekka Junttila and Vance L. Martin
Jyväskylä University School of Business and Economics and University of Melbourne - Department of Economics
Downloads 172 (211,078)

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COVID-19, discounting, stock markets, macro factors, rare disasters, tail risk, unconventional monetary policy

6.

Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998

IMF Working Paper No. 03/84
Number of pages: 28 Posted: 29 Jan 2006
University of Cambridge - Cambridge Endowment for Research in Finance (CERF), Australian National University (ANU) - Department of Economics, International Monetary Fund and University of Melbourne - Department of Economics
Downloads 133 (260,634)

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Financial Crises, Contagion, International Spillovers, Russia, LTCM, Equity Markets

7.

Exchange Rate Indicators and Optimal Currency Baskets: A Macroeconomic Analysis with Application to Developing Countries

IMF Working Paper No. 87/40
Number of pages: 26 Posted: 15 Feb 2006
Jocelyn Horne and Vance L. Martin
affiliation not provided to SSRN and University of Melbourne - Department of Economics
Downloads 93 (334,293)

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8.

Financial Contagion and Asset Pricing

CAMA working paper no 61/2013
Number of pages: 41 Posted: 02 Sep 2013
Renee Fry-McKibbin, Vance L. Martin and Chrismin Tang
Australian National University (ANU) - Crawford School of Public Policy, University of Melbourne - Department of Economics and University of Melbourne
Downloads 81 (363,735)
Citation 4

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financial crises, contagion, exchange options, Delta hedging

9.

Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates

IMF Working Paper No. 98/29
Number of pages: 39 Posted: 15 Feb 2006
Jenny N. Lye, Vance L. Martin and Leslie Teo
University of Melbourne - Department of Economics, University of Melbourne - Department of Economics and International Monetary Fund (IMF)
Downloads 58 (434,563)

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ARCH, Generalized Student t Distributions, Modeling Variance, Exchange Rates

Joint Tests of Contagion with Applications to Financial Crises

CAMA Working Paper No. 23/2017
Number of pages: 42 Posted: 27 Mar 2017
Renee Fry-McKibbin, Cody Hsiao and Vance L. Martin
Australian National University (ANU) - Crawford School of Public Policy, Macao University of Science and Technology (MUST) - School of Business and University of Melbourne - Department of Economics
Downloads 35 (544,295)

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Coskewness, Cokurtosis, Covolatility, Lagrange multiplier tests, European debt crisis, equity markets

Joint Tests of Contagion with Applications to Financial Crises

CAMA Working Paper No. 65/2017
Number of pages: 43 Posted: 31 Oct 2017
Renee Fry-McKibbin, Cody Hsiao and Vance L. Martin
Australian National University (ANU) - Crawford School of Public Policy, Macao University of Science and Technology (MUST) - School of Business and University of Melbourne - Department of Economics
Downloads 19 (650,521)
Citation 5

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Coskewness, Cokurtosis, Covolatility, Lagrange Multiplier Tests, European Financial Crisis, Equity Markets

11.

On the Efficacy of Simulated Maximum Likelihood for Estimating the Parameters of Stochastic Differential Equation

Number of pages: 19 Posted: 03 Jun 2003
Stan Hurn, Kenneth Lindsay and Vance L. Martin
Queensland University of Technology - School of Economics and Finance, University of Glasgow - Department of Mathematics and University of Melbourne - Department of Economics
Downloads 36 (526,630)
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12.

Measuring Financial Interdependence in Asset Returns with an Application to Euro Zone Equities

CAMA Working Paper No. 5/2018
Number of pages: 51 Posted: 17 Jan 2018
Renee Fry-McKibbin, Cody Hsiao and Vance L. Martin
Australian National University (ANU) - Crawford School of Public Policy, Macao University of Science and Technology (MUST) - School of Business and University of Melbourne - Department of Economics
Downloads 31 (552,821)
Citation 1

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Entropy theory, generalized exponential family, higher order comoment decomposition, independence testing

13.

Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession

IMF Working Paper No. 18/100
Number of pages: 53 Posted: 01 Aug 2018
Nan Li and Vance L. Martin
International Monetary Fund (IMF) and University of Melbourne - Department of Economics
Downloads 15 (657,512)
Citation 3

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Spillovers, External shocks, Real sector, Business cycles, Output growth, Industrial production, Econometric models, United States, Intersectoral Linkages, Dynamic Factor Models, Real Business Cycles, Input-output Structure, Time-Series Models, Input-Output Models

14.

Implicit Bayesian Inference Using Option Prices

Number of pages: 26 Posted: 19 Apr 2005
Gael M. Martin, Catherine S. Forbes and Vance L. Martin
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and University of Melbourne - Department of Economics
Downloads 15 (657,512)
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15.

Currency Market Contagion in the Asia-Pacific Region

Number of pages: 17 Posted: 11 Dec 2004
Mardi Dungey, Renee Fry and Vance L. Martin
University of Cambridge - Cambridge Endowment for Research in Finance (CERF), Australian National University (ANU) - Department of Economics and University of Melbourne - Department of Economics
Downloads 15 (657,512)
Citation 2
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