Economics - Research Publications

Permanent URI for this collection

Search Results

Now showing 1 - 8 of 8
  • Item
    Thumbnail Image
    A comparison of alternative tests of contagion with applications
    DUNGEY, M. ; FRY, R. ; GONZALEZ-HERMOSILLO, B. ; MARTIN, V. (Oxford University Press, 2005)
  • Item
    Thumbnail Image
    The role of portfolio shocks in a structural vector autoregressive model of the Australian economy
    Fry, R ; Hocking, J ; Martin, VL (BLACKWELL PUBLISHING, 2008-03)
    Domestic and foreign equity shocks on the Australian economy are analysed within a five‐variate structural vector autoregressive model, with identification achieved through long‐run restrictions based on the natural rate hypothesis, monetary neutrality, long‐run portfolio balance and purchasing power parity. The results show that real equity values were undervalued by 19 per cent by June 2005, with the gap narrowing thereafter. Foreign crises are important factors explaining this deterioration. The real wealth effects of equity market shocks impact significantly upon financial and goods market prices, whereas output tends to be immune. The model is also able to address puzzles that exist in the vector autoregression literature.
  • Item
    Thumbnail Image
    Implicit Bayesian inference using option prices
    Martin, GM ; Forbes, CS ; Martin, VL (BLACKWELL PUBL LTD, 2005-05)
    Abstract.  A Bayesian approach to option pricing is presented in which posterior inference about the underlying returns process is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness and time‐varying volatility in returns are considered, with posterior parameter distributions and model probabilities backed out from the option prices. Models are ranked according to several criteria, including out‐of‐sample predictive and hedging performance. The methodology accommodates heteroscedasticity and autocorrelation in the option pricing errors, as well as regime shifts across contract groups. The method is applied to intraday option price data on the S&P500 stock index for 1995. While the results provide support for models that accommodate leptokurtosis and skewness, no one model dominates when all criteria are considered.
  • Item
    Thumbnail Image
    A New Class of Tests of Contagion With Applications
    Fry, R ; Martin, VL ; Tang, C (AMER STATISTICAL ASSOC, 2010-07)
  • Item
    Thumbnail Image
    Computing the Distributions of Economic Models via Simulation
    Stachurski, J ; Martin, V (Econometric Society, 2008-03-18)
    We study a Monte Carlo algorithm for computing marginal and stationary densities of stochastic models with the Markov property, establishing global asymptotic normality and OP(n–1/2) convergence. Asymptotic normality is used to derive error bounds in terms of the distribution of the norm deviation.
  • Item
    Thumbnail Image
    Unravelling financial market linkages during crises
    Dungey, M ; Martin, VL (JOHN WILEY & SONS LTD, 2007-01-01)
  • Item
    Thumbnail Image
    Parametric pricing of higher order moments in S&P500 options
    LIM, G. ; MARTIN, G. M. ; MARTIN, V. L. ( 2005)
  • Item
    Thumbnail Image
    International monetary policy surprise spillovers
    Craine, R ; Martin, VL (ELSEVIER, 2008-05)