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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2,356

SSRN CITATIONS
Rank 21,894

SSRN RANKINGS

Top 21,894

in Total Papers Citations

16

CROSSREF CITATIONS

29

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 506 (77,077)
Citation 18

Abstract:

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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 428 (94,094)
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 243 (171,742)

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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 140 (280,194)

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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 MelbourneAustralian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA) and International Monetary Fund
Downloads 293 (142,882)

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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
University of Jyväskylä - Jyväskylä International Macro & Finance Research Group (JyIMaF) and University of Melbourne - Department of Economics
Downloads 197 (209,782)

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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 134 (288,823)

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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 94 (369,183)

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8.

Financial Contagion and Asset Pricing

CAMA working paper no 61/2013
Number of pages: 41 Posted: 02 Sep 2013
Australian National University (ANU) - Crawford School of Public Policy, University of Melbourne - Department of Economics and University of MelbourneAustralian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 83 (398,291)
Citation 4

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financial crises, contagion, exchange options, Delta hedging

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 38 (584,064)

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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 21 (700,004)
Citation 5

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

10.

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 59 (477,523)

Abstract:

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

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 (582,016)

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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 34 (592,946)
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 20 (685,807)
Citation 3

Abstract:

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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 (724,886)

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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 (724,886)
Citation 2

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