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Vance L. Martin · Study
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Author
Vance L. Martin
28 works
· latest 2019
· 3 institutions
cluster: provisional
ORCID 0000-0001-6127-5428
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28
Citations
2,233
Works here
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Most cited in this library
Empirical modelling of contagion: a review of methodologies
2005 · 549 citations
Unravelling financial market linkages during crises
2007 · 195 citations
A New Class of Tests of Contagion With Applications
2010 · 193 citations
Contagion in international bond markets during the Russian and the LTCM crises
2006 · 142 citations
A multivariate latent factor decomposition of international bond yield spreads
2000 · 141 citations
Works
28 shown
Once in a Lifetime? The Effects of the Global Financial Crisis on Household Willingness to Take Financial Risk
Economic Record
·
2019
·
2 authors
·
Open access
24
citations
Global and regional financial integration in East Asia and the ASEAN
The North American Journal of Economics and Finance
·
2018
·
3 authors
·
Open access
31
citations
Joint tests of contagion with applications
Quantitative Finance
·
2018
·
3 authors
36
citations
Financial contagion and asset pricing
Journal of Banking & Finance
·
2014
·
3 authors
·
Open access
56
citations
Econometric Modelling with Time Series: Specification, Estimation and Testing
·
2012
·
3 authors
62
citations
A New Class of Tests of Contagion With Applications
Journal of Business and Economic Statistics
·
2010
·
3 authors
193
citations
Are Financial Crises Alike?
SSRN Electronic Journal
·
2010
·
5 authors
·
preprint
·
Open access
53
citations
Are Financial Crises Alike?
IMF Working Paper
·
2010
·
5 authors
31
citations
International monetary policy surprise spillovers
Journal of International Economics
·
2007
·
2 authors
·
Open access
92
citations
Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises
The North American Journal of Economics and Finance
·
2007
·
4 authors
·
Open access
68
citations
Unravelling financial market linkages during crises
Journal of Applied Econometrics
·
2007
·
2 authors
·
Open access
195
citations
Correlation, Contagion, and Asian Evidence
Asian Economic Papers
·
2006
·
3 authors
·
Open access
45
citations
Contagion in international bond markets during the Russian and the LTCM crises
Journal of Financial Stability
·
2006
·
4 authors
·
Open access
142
citations
Empirical modelling of contagion: a review of methodologies
Quantitative Finance
·
2005
·
4 authors
·
Open access
549
citations
Parametric pricing of higher order moments in S&P500 options
Journal of Applied Econometrics
·
2004
·
3 authors
37
citations
A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis
Journal of Emerging Market Finance
·
2004
·
2 authors
53
citations
CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION
Australian Economic Papers
·
2004
·
3 authors
·
Open access
34
citations
Empirical Modeling of Contagion
IMF Working Paper
·
2004
·
4 authors
51
citations
Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?
Australian Journal of Management
·
2003
·
3 authors
·
Open access
39
citations
On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations*
Journal of Time Series Analysis
·
2003
·
3 authors
57
citations
Monetary Policy Shocks and Security Market Responses
SSRN Electronic Journal
·
2003
·
2 authors
·
preprint
·
Open access
42
citations
International Contagion Effects from the Russian Crisis and the Ltcm Near-Collapse
SSRN Electronic Journal
·
2002
·
4 authors
·
preprint
·
Open access
57
citations
A multivariate latent factor decomposition of international bond yield spreads
Journal of Applied Econometrics
·
2000
·
3 authors
·
Open access
141
citations
A non-linear model of the real US/UK exchange rate
Journal of Applied Econometrics
·
1996
·
3 authors
20
citations
4 Modeling the term structure
Handbook of statistics
·
1996
·
2 authors
·
chapter
52
citations
Regression‐based cointegration estimators with applications
Journal of Economic Studies
·
1995
·
2 authors
16
citations
Modelling the Term Structure
RePEc: Research Papers in Economics
·
1995
·
2 authors
·
preprint
41
citations
A MODEL OF THE DISTRIBUTION OF PRICES1
Oxford Bulletin of Economics and Statistics
·
1994
·
2 authors
16
citations