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PROF VANCE LINDSAY MARTIN



Contact Details

Organization: Economics
Position: CHAIR OF ECONOMETRICS
Email:
Homepage: http://www.economics.unimelb.edu.au/staffprofile/vmartin.htm
Work: 8344 5396
Fax: 8344 6899
Room: 534
Level: 05
Building: Economics And Commerce
Campus: Parkville

Qualifications, Honours, Fellowships and Other Awards

Qualifications

Title Institution Date Awarded Abbreviation
Bachelor of Science University of Melbourne
Master of Economics University of Melbourne
Doctor of Philosophy Monash University

Government Research Classifications

Research Fields, Courses and Discipline Classifications

Socio-Economic Objective Classifications

Grants and Contracts

Research Grants, Contracts and Consultancies awarded to the University of Melbourne as the administering institution (since 2003) as recorded in Themis Agreements.

Grants

Title Role Funding Source Scheme Award Date
A Multivariate Dynamic Factor Model of the Australian Business Cycle: Specification, Estimation and Empirical Results Chief Investigator AUST RESEARCH COUNCIL Discovery Projects 01/01/2002
MODELLING THE TRANSMISSION OF INTERNATIONAL MONETARY POLICY SHOCKS: IMPLICATIONS FOR AUSTRALIAN ASSET MARKETS Chief Investigator AUST RESEARCH COUNCIL Discovery Projects 01/01/2005
WHY POORER STUDENTS ARE LESS LIKELY TO GO TO UNIVERSITY: THEORETICAL AND EMPIRICAL EVIDENCE FOR AUSTRALIA WITH IMPLICATIONS FOR POLICY Chief Investigator LA TROBE UNIVERSITY Discovery Projects (AUST RESEARCH COUNCIL) 20/07/2006

Publications

Publications produced at the University of Melbourne and reported in the Annual Publications Collection and 'Research Report' since 2001. The Themis Publications module, released in November 2006, allows additional publications from previous institutions and publications from past years to be entered.

Publications in 2007

Journal Articles

  • Contagion in Global Equity Markets in 1998: The Effects of the Russian and LTCM Crises
    Year: 2007
    Journal: North American Journal of Economics and Finance
    Volume: 18
    Issue: 1
    Page numbers: 155-174
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  • Unravelling Financial Market Linkages During Crises
    Year: 2007
    Journal: Journal of Applied Econometrics
    Volume: 22
    Issue: 1
    Page numbers: 89-119
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Publications in 2006

Journal Articles

  • A re-examination of the equity premium puzzle: a robust non-parametric approach


    Year: 2006
    Journal: North American Journal of Economics and Finance
    Volume: 17
    Issue: 2
    Page numbers: 173-189
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  • Pricing currency options in the presence of time-varying volatility and non-normalities


    Year: 2006
    Journal: Journal of Multinational Financial Management
    Volume: 16
    Issue: 3
    Page numbers: 291-314
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  • Contagion in international bond markets during the Russian and the LTCM crises
    Year: 2006
    Journal: Journal of Financial Stability
    Volume: 2
    Issue: 1
    Page numbers: 1-27
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Publications in 2005

Book Chapters

  • A comparison of alternative tests of contagion with applications
    Year: 2005
    Book: Indentifying international financial contagion: progress and challenges
    Publisher: Oxford University Press(New York)
    Authors(s):

Journal Articles

  • Empirical modelling of contagion: a review of methodologies
    Year: 2005
    Journal: Quantitative Finance
    Volume: 5
    Issue: 1
    Page numbers: 9-24
    Publisher: Routledge
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  • Implicit bayesian inference using option prices
    Year: 2005
    Journal: Journal of Time Series Analysis
    Volume: 26
    Issue: 3
    Page numbers: 437-462
    Publisher: Blackwell Publishers
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  • Parametric pricing of higher order moments in S&P500 options
    Year: 2005
    Journal: Journal of Applied Econometrics
    Volume: 20
    Issue: 3
    Page numbers: 377-404
    Publisher: John Wiley & Sons(West Sussex)
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  • Pricing Australian S&P200options: a bayesian approach based on generalized distributional forms
    Year: 2005
    Journal: Australian and New Zealand Journal of Statistics
    Volume: 47
    Issue: 1
    Page numbers: 101-117
    Publisher: Blackwell Publishing Asia
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Publications in 2004

Journal Articles

  • A multifactor model of exchange rates with unanticipated shocks: measuring contagion in the East Asian currency market
    Year: 2004
    Journal: Journal of Emerging Market Finance
    Volume: 3
    Issue: 3
    Page numbers: 305-330
    Publisher: Sage Publications
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  • Currency market contagion in the Asia-Pacific region
    Year: 2004
    Journal: Australian Economic Papers
    Volume: 43
    Issue: 4
    Page numbers: 379-395
    Publisher: Blackwell Publishers
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  • Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002
    Year: 2004
    Journal: Global Finance Journal
    Volume: 15
    Issue: 1
    Page numbers: 81-102
    Publisher: Elsevier Science, North Holland(Amsterdam)
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Publications in 2003

Journal Articles

  • Equity transmission mechanisms from Asia to Australia: interdependence or contagion?
    Year: 2003
    Journal: Australian Journal of Management
    Volume: 28
    Issue: 2
    Page numbers: 157-182
    Publisher: Australian Graduate School of Management
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  • On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential equations
    Year: 2003
    Journal: Journal of Time Series Analysis
    Volume: 24
    Issue: 1
    Page numbers: 45-63
    Publisher: Blackwell Publishers
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Reports

  • Unanticipated shocks and systemic influences: the impact of contagion in global equity in 1998
    Year: 2003
    Report No:: 03/84
    Publisher: International Monetary Fund(Washington DC)
    Authors:

Publications in 2002

Book Chapters

  • A Labour Market Equilibrium Model of the Personal Distribution of Earnings
    Year: 2002
    Book: Modelling Income Distribution
    Publisher: Edward Elgar Publishing(Cheltenham)
    Authors(s):
  • A Non-linear Model of the Real US/UK Exchange Rate
    Year: 2002
    Book: Modelling Income Distribution
    Publisher: Edward Elgar Publishing(Cheltenham)
    Authors(s):

Publications in 2001

Book Chapters

  • Contagion in the East Asian currency crisis.
    Year: 2001
    Book: Restructuring Asian economics for the new millenium. Volume 9A.
    Publisher: JAI Press(Amsterdam)
    Authors(s):
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