Prof Gael Martin - Researcher Profile

Biography

Gael works in the Faculty of Business & Economics at Monash University as an ARC Future Fellow.

Qualifications

ECONOMETRICS

Institution: Monash University

Year awarded: 1997

ECONOMETRICS

Institution: Monash University

Year awarded: 1988

ECONOMICS

Institution: Monash University

Year awarded: 1983

ASSOCIATE IN MUSIC AUSTRALIA (A.MUS.A)

Institution: AUSTRALIAN MUSIC EXAMINATIONS BOARD (A.M.E.B.)

Year awarded: 1980

ARTS

Institution: Unknown

Year awarded: 1979

Publications

Books

Martin, G.M., 1998, U.S. deficit sustainability: A new approach based on multiple endogenous breaks, Monash University, Melbourne Vic Australia.

Martin, G.M., 1997, Fractional cointegration: Bayesian inferences using a Jeffreys prior, Monash University, Melbourne Vic Australia.

Martin, G.M., Martin, V.L., 1997, Private and pulic consumption expenditure substitutability: Bayesian estimates for the G7 countries, Monash University, Melbourne Vic Australia.

Book Chapters

Lim, G.C., Lye, J.N., Martin, G.M., Martin, V.L., 1997, Jump models and higher moments, in Non-Linear Economic Models: Cross-sectional, Time Series and Neural Network Applications, Edward Elgar, Cheltenham UK, pp. 161-175.

Journal Articles

Maneesoonthorn, W., Martin, G.M., Forbes, C.S., Grose, S.D., 2012, Probabilistic forecasts of volatility and its risk premia, Journal of Econometrics [P], vol 171, issue 2, Elsevier BV, Amsterdam Netherlands, pp. 217-236.

McCabe, B., Martin, G., Freeland, K., 2011, A quasi-locally most powerful test for correlation in the conditional variance of positive data, Australian & New Zealand Journal Of Statistics [P], vol 53, issue 1, Wiley-Blackwell Publishing Asia, Richmond Vic Australia, pp. 43-62.

McCabe, B., Martin, G., Harris, D., 2011, Efficient probabilistic forecasts for counts, Journal Of The Royal Statistical Society Series B-Statistical Methodology [P], vol 73, issue 2, Wiley-Blackwell Publishing Ltd, Oxford UK, pp. 253-272.

Martin, G.M., Reidy, A., Wright, J.D., 2009, Does the option market produce superior forecasts of noise-corrected volatility measures?, Journal Of Applied Econometrics [P], vol 24, issue 1, John Wiley & Sons Ltd, UK, pp. 77-104.

Feigin, P.D., Gould, P.G., Martin, G.M., Snyder, R.D., 2008, Feasible parameter regions for alternative discrete state space models, Statistics and Probability Letters, vol 78, issue 17, Elsevier BV, North-Holland, Netherlands, pp. 2963-2970.

Strickland, C.M., Martin, G.M., Forbes, C.S., 2008, Parameterisation and efficient MCMC estimation of non-Gaussian state space models, Computational Statistics & Data Analysis, vol 52, issue 6, Elsevier BV, North-Holland, Netherlands, pp. 2911-2930.

Forbes, C.S., Martin, G.M., Wright, J.D., 2007, Inference for a class of stochastic volatility models using option and spot prices: Application of a bivariate Kalman Filter, Econometric Reviews, vol 26, issue 2-4, Taylor & Francis Inc, United States, pp. 387-418.

Strickland, C.M., Forbes, C.S., Martin, G.M., 2006, Bayesian analysis of the stochastic conditional duration model, Computational Statistics & Data Analysis, vol 50, issue 9, Elsevier BV, North-Holland, The Netherlands, pp. 2247-2267.

Sanford, A.D., Martin, G.M., 2006, Bayesian comparison of several continuous time models of the Australian short rate, Accounting and Finance, vol 46, issue 2, Blackwell Publishing Asia, Australia, pp. 309-326.

Lim, G.C., Martin, G.M., Martin, V.L., 2006, Pricing currency options in the presence of time-varying volatility and non-normalities, Journal of Multinational Financial Management, vol 16, issue 3, Elsevier BV, North-Holland, The Netherlands, pp. 291-314.

McCabe, B.P.M., Martin, G.M., Tremayne, A.R., 2005, Assessing persistence in discrete nonstationary time-series models, Journal of Time Series Analysis, vol 26, issue 2, Blackwell Publishing Ltd, UK, pp. 305-317.

McCabe, B.P.M., Martin, G.M., 2005, Bayesian predictions of low count time series, International Journal of Forecasting, vol 21, issue 2, Elsevier, The Netherlands, pp. 315-330.

Martin, G.M., Forbes, C.S., Martin, V.L., 2005, Implicit Bayesian inference using option prices, Journal of Time Series Analysis, vol 26, issue 3, Blackwell Publishing Ltd, UK, pp. 437-462.

Lim, G.C., Martin, G.M., Martin, V.L., 2005, Parametric pricing of higher order moments in S&P500 options, Journal of Applied Econometrics, vol 20, issue 3, John Wiley & Sons Ltd, UK, pp. 377-404.

Flynn, D.B., Grose, S.D., Martin, G.M., Martin, V.L., 2005, Pricing australian S&P200 options: A bayesian approach based on generalized distributional forms, Australian and New Zealand Journal of Statistics, vol 47, issue 1, Blackwell Science Ltd, Australia, pp. 101-117.

Sanford, A.D., Martin, G.M., 2005, Simulation-based Bayesian estimation of an affine term structure model, Computational Statistics and Data Analysis, vol 49, issue 2, Elsevier, The Netherlands, pp. 527-554.

Martin, G.M., 2001, Bayesian analysis of a fractional cointegration model, Econometric Reviews, vol 20, issue 2, Dekker, US, pp. 217-234.

Martin, G.M., Martin, V.L., 2000, Bayesian inference in the triangular cointegration model using a Jeffreys prior, Communications in Statistics: Theory and Methods, vol 29 issue 8, Marcel Dekker, New York NY USA, pp. 1759-1785.

Martin, G.M., 2000, US deficit sustainability: A new approach based on mutliple endogenous breaks, Journal of Applied Econometrics, vol 15, John Wiley, Chichester UK, pp. 83-105.

Martin, G.M., 1999, Review of book: Bayesian economics through numerical methods: A guide to econometrics and decision making with prior information, Australian & New Zealand Journal of Statistics, vol 41, 1, Blackwell, Oxford, pp. 120-122.

Martin, G.M., Forbes, C.S., 1999, Using simulation methods for Bayesian econometric models: Inference, development and communication: Some comments, Econometric Reviews, vol 18, 1, Marcel Dekker, New York NY USA, pp. 113-118.

Lim, G.C., Lye, J.L., Martin, G.M., Martin, V.L., 1998, The distribution of exchange rate returns and the pricing of currency options, Journal of International Economics, vol 45, Elsevier, Amsterdam Netherlands, pp. 351-368.

Conference Proceedings

Strickland, C.M., Martin, G.M., Forbes, C.S., 2006, Parameterisation and efficient MCMC estimation of non-Gaussian state space models, Proceedings of ESAM 2006: Australasian Meeting of the Econometric Society, 04 July 2006 to 07 July 2006, The Econometric Society, http://esam06.anu.edu.au, pp. 1-33.

Postgraduate Research Supervisions

Current Supervision

Program of Study:

(MASTER'S BY RESEARCH).

Thesis Title:

Issues of misspecification in long memory models.

Supervisors:

Martin, G (Joint), Poskitt, D (Joint-co).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Stochastic volatility, jumps and variance risk premia: a Bayesian state space approach.

Supervisors:

Forbes, C (Joint-co), Martin, G (Joint).

Completed Supervision

Student:

Ng, W.

Program of Study:

Non-parametric estimation of forecast distributions in non-linear, non-Gaussian state space models. (PHD) 2012.

Supervisors:

Forbes, C (Joint-Co), Martin, G (Joint).

Student:

Rajendran, S.

Program of Study:

VOLATILITY MODELS IMPLIED BY CURRENCY OPTION PRICES. (Masters) 2000.

Supervisors:

Martin, G (Main).

Student:

Sanford, A.

Program of Study:

BAYESIAN ANALYSIS OF CONTINUOUS TIME INTEREST RATE MODELS. (PHD) 2004.

Supervisors:

Flitman, A (Joint-Co), Martin, G (Joint).

Student:

Strickland, C.

Program of Study:

Bayesian analysis of non-Gaussian state space models with applications in financial econometrics. (PHD) 2007.

Supervisors:

Forbes, C (Joint), Martin, G (Joint-Co).