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Research Output 1997 2019

2019
2 Citations (Scopus)

Approximate Bayesian forecasting

Frazier, D. T., Maneesoonthorn, W., Martin, G. M. & McCabe, B. P. M., 1 Apr 2019, In : International Journal of Forecasting. 35, 2, p. 521-539 19 p.

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)

Auxiliary likelihood-based approximate Bayesian computation in state space models

Martin, G. M., McCabe, B. P. M., Frazier, D. T., Maneesoonthorn, W. & Robert, C. P., 2019, In : Journal of Computational and Graphical Statistics. 28, 3, p. 508-522 15 p.

Research output: Contribution to journalArticleResearchpeer-review

Construction and visualization of confidence sets for frequentist distributional forecasts

Harris, D., Martin, G. M., Perera, I. & Poskitt, D. S., 2019, In : Journal of Computational and Graphical Statistics. 28, 1, p. 92-104 13 p.

Research output: Contribution to journalArticleResearchpeer-review

Issues in the estimation of mis-specified models of fractionally integrated processes

Martin, G. M., Nadarajah, K. & Poskitt, D. S., 2019, (Accepted/In press) In : Journal of Econometrics. 15 p.

Research output: Contribution to journalArticleResearchpeer-review

2018
10 Citations (Scopus)

Asymptotic properties of approximate Bayesian computation

Frazier, D. T., Martin, G. M., Robert, C. P. & Rousseau, J., Sep 2018, In : Biometrika. 105, 3, p. 593-607 15 p.

Research output: Contribution to journalArticleResearchpeer-review

2017

Bias correction of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap

Poskitt, D. S., Martin, G. M. & Grose, S. D., Jun 2017, In : Econometric Theory. 33, 3, p. 578-609 32 p.

Research output: Contribution to journalArticleResearchpeer-review

7 Citations (Scopus)

Inference on self-exciting jumps in prices and volatility using high-frequency measures

Maneesoonthorn, W., Forbes, C. S. & Martin, G. M., Apr 2017, In : Journal of Applied Econometrics. 32, 3, p. 504-532 29 p.

Research output: Contribution to journalArticleResearchpeer-review

2015

Bias correction of persistence measures in fractionally integrated models

Grose, S. D., Martin, G. M. & Poskitt, D. S., 2015, In : Journal of Time Series Analysis. 36, 5, p. 721 - 740 20 p.

Research output: Contribution to journalArticleResearchpeer-review

4 Citations (Scopus)

Higher-order improvements of the sieve bootstrap for fractionally integrated processes

Poskitt, D. S., Grose, S. D. & Martin, G. M., 2015, In : Journal of Econometrics. 188, 1, p. 94 - 110 17 p.

Research output: Contribution to journalArticleResearchpeer-review

2013
4 Citations (Scopus)

Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models

Ng, J. W. J., Forbes, C. S., Martin, G. M. & McCabe, B. P. M., 2013, In : International Journal of Forecasting. 29, 3, p. 411 - 430 20 p.

Research output: Contribution to journalArticleResearchpeer-review

2012
6 Citations (Scopus)

Probabilistic forecasts of volatility and its risk premia

Maneesoonthorn, W., Martin, G. M., Forbes, C. S. & Grose, S. D., 2012, In : Journal of Econometrics. 171, 2, p. 217 - 236 20 p.

Research output: Contribution to journalArticleResearchpeer-review

2011

A quasi-locally most powerful test for correlation in the conditional variance of positive data

McCabe, B., Martin, G. & Freeland, K., 2011, In : Australian and New Zealand Journal of Statistics. 53, 1, p. 43 - 62 20 p.

Research output: Contribution to journalArticleResearchpeer-review

35 Citations (Scopus)

Efficient probabilistic forecasts for counts

McCabe, B., Martin, G. & Harris, D., 2011, In : Journal of the Royal Statistical Society Series B-Statistical Methodology. 73, 2, p. 253 - 272 20 p.

Research output: Contribution to journalArticleResearchpeer-review

2009
11 Citations (Scopus)

Does the option market produce superior forecasts of noise-corrected volatility measures?

Martin, G. M., Reidy, A. & Wright, J. D., 2009, In : Journal of Applied Econometrics. 24, 1, p. 77 - 104 28 p.

Research output: Contribution to journalArticleResearchpeer-review

2008
5 Citations (Scopus)

Feasible parameter regions for alternative discrete state space models

Feigin, P. D., Gould, P. G., Martin, G. M. & Snyder, R. D., 2008, In : Statistics and Probability Letters. 78, 17, p. 2963 - 2970 8 p.

Research output: Contribution to journalArticleResearchpeer-review

14 Citations (Scopus)

Parameterisation and efficient MCMC estimation of non-Gaussian state space models

Strickland, C. M., Martin, G. M. & Forbes, C. S., 2008, In : Computational Statistics and Data Analysis. 52, 6, p. 2911 - 2930 20 p.

Research output: Contribution to journalArticleResearchpeer-review

2007
9 Citations (Scopus)

Inference for a class of stochastic volatility models using option and spot prices: Application of a bivariate Kalman Filter

Forbes, C. S., Martin, G. M. & Wright, J. D., 2007, In : Econometric Reviews. 26, 2-4, p. 387 - 418 32 p.

Research output: Contribution to journalArticleResearchpeer-review

2006
24 Citations (Scopus)

Bayesian analysis of the stochastic conditional duration model

Strickland, C. M., Forbes, C. S. & Martin, G. M., 2006, In : Computational Statistics and Data Analysis. 50, 9, p. 2247 - 2267 21 p.

Research output: Contribution to journalArticleResearchpeer-review

6 Citations (Scopus)

Bayesian comparison of several continuous time models of the Australian short rate

Sanford, A. D. & Martin, G. M., 2006, In : Accounting and Finance. 46, 2, p. 309 - 326 18 p.

Research output: Contribution to journalArticleResearchpeer-review

Parameterisation and efficient MCMC estimation of non-Gaussian state space models

Strickland, C. M., Martin, G. M. & Forbes, C. S., 2006, Proceedings of ESAM 2006: Australasian Meeting of the Econometric Society. Bardsley, P. & Dungey, M. (eds.). http://esam06.anu.edu.au: The Econometric Society, p. 1 - 33 33 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

10 Citations (Scopus)

Pricing currency options in the presence of time-varying volatility and non-normalities

Lim, G. C., Martin, G. M. & Martin, V. L., 2006, In : Journal of Multinational Financial Management. 16, 3, p. 291 - 314 24 p.

Research output: Contribution to journalArticleResearchpeer-review

2005

Assessing persistence in discrete nonstationary time-series models

McCabe, B. P. M., Martin, G. M. & Tremayne, A. R., 2005, In : Journal of Time Series Analysis. 26, 2, p. 305 - 317 13 p.

Research output: Contribution to journalArticleResearchpeer-review

47 Citations (Scopus)

Bayesian predictions of low count time series

McCabe, B. P. M. & Martin, G. M., 2005, In : International Journal of Forecasting. 21, 2, p. 315 - 330 16 p.

Research output: Contribution to journalArticleResearchpeer-review

8 Citations (Scopus)

Implicit Bayesian inference using option prices

Martin, G. M., Forbes, C. S. & Martin, V. L., 2005, In : Journal of Time Series Analysis. 26, 3, p. 437 - 462 26 p.

Research output: Contribution to journalArticleResearchpeer-review

20 Citations (Scopus)

Parametric pricing of higher order moments in S&P500 options

Lim, G. C., Martin, G. M. & Martin, V. L., 2005, In : Journal of Applied Econometrics. 20, 3, p. 377 - 404 28 p.

Research output: Contribution to journalArticleResearchpeer-review

4 Citations (Scopus)

Pricing australian S&P200 options: A bayesian approach based on generalized distributional forms

Flynn, D. B., Grose, S. D., Martin, G. M. & Martin, V. L., 2005, In : Australian and New Zealand Journal of Statistics. 47, 1, p. 101 - 117 17 p.

Research output: Contribution to journalArticleResearchpeer-review

12 Citations (Scopus)

Simulation-based Bayesian estimation of an affine term structure model

Sanford, A. D. & Martin, G. M., 2005, In : Computational Statistics and Data Analysis. 49, 2, p. 527 - 554 28 p.

Research output: Contribution to journalArticleResearchpeer-review

2001
5 Citations (Scopus)

Bayesian analysis of a fractional cointegration model

Martin, G. M., 2001, In : Econometric Reviews. 20, 2, p. 217-234 18 p.

Research output: Contribution to journalArticleResearchpeer-review

2000
5 Citations (Scopus)

Bayesian inference in the triangular cointegration model using a Jeffreys prior

Martin, G. M. & Martin, V. L., 2000, In : Communications in Statistics: Theory and Methods. p. 1759 - 1785 27 p.

Research output: Contribution to journalArticleResearchpeer-review

80 Citations (Scopus)

US deficit sustainability: a new approach based on multiple endogenous breaks

Martin, G. M., 2000, In : Journal of Applied Econometrics. 15, 1, p. 83-105 23 p.

Research output: Contribution to journalArticleResearchpeer-review

US deficit sustainability: A new approach based on mutliple endogenous breaks

Martin, G. M., 2000, In : Journal of Applied Econometrics. p. 83 - 105 23 p.

Research output: Contribution to journalArticleResearchpeer-review

62 Citations (Scopus)

Using simulation methods for bayesian econometric models: inference, development and communication: Some comments

Martin, G. M. & Forbes, C. S., 1999, In : Econometric Reviews. 18, 1, p. 113-118 6 p.

Research output: Contribution to journalArticleResearchpeer-review

1998
9 Citations (Scopus)

The distribution of exchange rate returns and the pricing of currency options

Lim, G. C., Lye, J. N., Martin, G. M. & Martin, V. L., 1998, In : Journal of International Economics. p. 351 - 368 18 p.

Research output: Contribution to journalArticleResearchpeer-review

U.S. deficit sustainability: A new approach based on multiple endogenous breaks

Martin, G. M., 1998, Melbourne Vic Australia: Monash University Publishing. 27 p.

Research output: Book/ReportBookOther

1997

Fractional cointegration: Bayesian inferences using a Jeffreys prior

Martin, G. M., 1997, Melbourne Vic Australia: Monash University Publishing. 32 p.

Research output: Book/ReportBookOther

Jump models and higher moments

Lim, G. C., Lye, J. N., Martin, G. M. & Martin, V. L., 1997, Non-Linear Economic Models: Cross-sectional, Time Series and Neural Network Applications. Cheltenham UK: Edward Elgar Publishing, p. 161 - 175 15 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Private and pulic consumption expenditure substitutability: Bayesian estimates for the G7 countries

Martin, G. M. & Martin, V. L., 1997, Melbourne Vic Australia: Monash University Publishing. 35 p.

Research output: Book/ReportBookOther