Gael M. Martin (G.M. Martin)

B.A. (University of Melbourne)

A.Mus.A. (AMEB)

B.Ec.(Hons), M.Ec., Ph.D. (Monash University)

Associate Professor, Department of Econometrics and Business Statistics,
Monash University, Clayton, Vic. 3800, AUSTRALIA

Location: Room 672E, Menzies building (Building 11).
Phone: IDD + 61 3 9905 1189; Fax: IDD + 61 3 9905 5474
Email: gael.martin@buseco.monash.edu.au

Research Interests

Bayesian Econometrics; Simulation Methods; Financial Econometrics; Time Series Analysis; Non-Gaussian Time Series

Recent and Forthcoming Publications

1. Martin, G.M., Reidy, A. and J. Wright, 2007, "Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?" Forthcoming, Journal of Applied Econometrics. Recent Draft Paper version downloadable as martin_etal_JAE_2007.pdf

2. Strickland, C.M., Martin, G.M. and C.S. Forbes, 2007, "Parameterization and Efficient MCMC Estimation of Non-Gaussian State Space Models". Forthcoming, Computational Statistics and Data Analysis, Special Issue on Statistical and Computational Methods in Finance. Recent Draft Paper version downloadable as strickland_etal_csda_2007.pdf

3. Forbes, C.S., G.M. Martin and J. Wright, 2007, "Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter" , Econometric Reviews, Special Issue on Bayesian Dynamic Econometrics, 26, 387-418. Available at http://www.informaworld.com/smpp/content~content=a778186553~db=all~order=page

4. Strickland, C.M., Forbes, C.S. and G.M. Martin, 2006, "Bayesian Analysis of the Stochastic Conditional Duration Model", Computational Statistics and Data Analysis, Special Issue on Statistical Signal Extraction and Filtering, 50, 2247-2267. Available at http://www.sciencedirect.com/science/journal/01679473

5. McCabe, B.P.M. and G.M. Martin, 2005, "Bayesian Predictions of Low Count Time Series", International Journal of Forecasting, 21, 315-330. Available at http://www.sciencedirect.com/science/journal/01692070

6. Martin, G.M., Forbes, C.S. and V.L. Martin, 2005, "Implicit Bayesian Inference Using Option Prices", Journal of Time Series Analysis, 26, 437-462. Available at http://www.blackwell-synergy.com/rd.asp?code=JTSA&goto=journal

7. McCabe, B.P.M., Martin, G.M. and A.R. Tremayne, 2005, "Assessing Persistence in Discrete Nonstationary Time Series Models", Journal of Time Series Analysis, 26, 305-317. Available at http://www.blackwell-synergy.com/rd.asp?code=JTSA&goto=journal . Earlier version available as Working Paper 2003/16 at http://www.buseco.monash.edu.au/depts/ebs/pubs/wpapers/2003/wp16-03.pdf .

8. Lim, G.C., Martin, G.M. and V.L. Martin, 2005, "Parametric Pricing of Higher Order Moments in S&P500 Options", Journal of Applied Econometrics, 20, 377-404. Available at http://www3.interscience.wiley.com/cgi-bin/abstract/109856225/ABSTRACT . Draft version downloadable as S&P500_2003

9. Lim, G.C., Martin, G.M. and V.L. Martin, 2006, "Pricing Currency Options in the Presence of Time-Varying Volatility and Nonnormalities", Journal of Multinational Financial Management, 16, 291-314. Available at http://www.sciencedirect.com/science/journal/1042444X

10. Flynn, D.B., Grose S.D., Martin, G.M. and V.L. Martin, 2005, "Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms". Australian & New Zealand Journal of Statistics, 47, 101-117. Available at http://www.blackwell-synergy.com/rd.asp?code=anzs&goto=journal

11. Sanford, A.D. and Martin, G.M., 2005, "Simulation-Based Bayesian Estimation of Affine Term Structure Models". Computational Statistics and Data Analysis, Special Issue on Computational Econometrics 2, 49, 527-554. Available at http://www.sciencedirect.com/science/journal/01679473

12. Sanford, A.D. and Martin, G.M., 2006, "A Bayesian Comparison of Several Continuous Time Models of the Australian Short Rate", Accounting and Finance, 46, 309-326. Available at http://www.blackwell-synergy.com/toc/acfi/46/2

13. Martin, G.M. , 2001, "Bayesian Analysis of a Fractional Cointegration Model", Econometric Reviews, 20, 217-234. (see http://www.dekker.com/servlet/product/productid/ETC/toc/)

14. Martin, G.M. and V.L. Martin, 2000, "Bayesian Inference in the Triangular Cointegration Model Using a Jeffreys Prior", Communications in Statistics, Theory and Methods, 29, No. 8.,1759-1785.

15. Martin, G.M., 2000, "US Deficit Sustainability: a New Approach Based on Multiple Endogenous Breaks", Journal of Applied Econometrics, 15, 83-105. Available at http://www3.interscience.wiley.com/

16. Martin, G.M. and C.S. Forbes, 1999, "Using Simulation Methods for Bayesian Econometric Models: Inference, Development and Communication: Some Comments", Econometric Reviews, 18, No.1, 113-118.

17. Lim, G.C., Lye, J., Martin, G.M. and V.L. Martin, 1998, "The Distribution of Exchange Rate Returns and the Pricing of Currency Options", Journal of International Economics, 45, 351-368. See http://www.elsevier.com/homepage/sae/econbase/inec/

Papers Under Revision, Submission or in Progress

"Testing for Low-Order Dependence in Non-Gaussian Time Series Data" (joint with B.P.M. McCabe and K. Freeland). Downloadable as dependence_2006 .
"An Assessment of Alternative State Space Models for Count Time Series" (joint with R. Snyder, P. Gould and P Feigen.). Working Paper version available at http://www.buseco.monash.edu.au/depts/ebs/pubs/wpapers/2007/4-07.php
"Nonparametric Prediction of Low Count Time Series" (joint with B. McCabe and D. Harris)
"Nonparametric Testing in Low Count Time Series" (joint with B. McCabe and D. Harris)

National Competitive Grants

Australian Research Council Discovery Grant No. DP0664121, awarded for for 2006, 2007 and 2008: "New Statistical Procedures for Analysing Dependence in Non-Gaussian Time Series Data". Joint with Associate Professor David Harris (University of Melbourne).
Australian Research Council Discovery Grant No. DP0450257, awarded for 2004, 2005 and 2006: "New Approaches to the Analysis of Count Time Series". Joint with Associate Professor Ralph Snyder and Professor Rob Hyndman.
Australian Research Council Discovery Grant No. DP0208333, awarded for 2002, 2003 and 2004: "Persistence in Economic Time Series: Interpretation, Measurement and Inference". Joint with Associate Professor David Harris (University of Melbourne).
Large Australian Research Council Grant No. A00103254 for 2001 and 2002: "Using Option Prices to Conduct Implicit Bayesian Analysis of Financial Returns".
Large Australian Research Council Grant No. A79927170 for 1999 and 2000: "Multivariate Fractional Cointegration: Simulation-based Approaches to Testing and Estimation, with Applications to Exchange Rate Models". Joint with Dr. Nigel Wilkins.

Current Teaching

Third year (from 2008): ETC3400 Principles of Econometrics
Fourth year (Honours): ETC4460 Financial Econometrics II; ETC4541 Special Topics in Econometrics.
Fifth year (Masters): ETC5410 Special Topics in Econometrics.

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