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; Count Time Series; Forecasting

Recent and Forthcoming Publications

· 1. Martin, G.M., Reidy, A. and J. Wright, 2009, "Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?" Journal of Applied Econometrics, 24, 77-104. Available at http://www3.interscience.wiley.com/cgi-bin/fulltext/121544039/PDFSTART

· 2. Feigin, P.D., Gould, P., Martin, G.M. and R.D. Snyder, 2008, "Feasible Parameter Regions for Alternative Discrete State Space Models" Statistics and Probability Letters, 78, 2963-2970. Available at http://dx.doi.org/10.1016/j.spl.2008.05.021

· 3. Strickland, C.M., Martin, G.M. and C.S. Forbes, 2008, "Parameterization and Efficient MCMC Estimation of Non-Gaussian State Space Models". Computational Statistics and Data Analysis, Special Issue on Statistical and Computational Methods in Finance, 52, 2911-2930. Available at http://www.sciencedirect.com/science/journal/01679473

· 4. 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

· 5. 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

· 6. 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

· 7. 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

· 8. 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 .

· 9. 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

· 10. 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

· 11. 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

· 12. 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

· 13. 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

· 14. 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/)

· 15. 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.

· 16. 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/

· 17. 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.

· 18. 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 Brendan McCabe and Keith Freeland). Downloadable as Dependence_2006 . A revision of this paper ("The Relative Power of Tests for Correlation in the Second Moment of Positive Data") is available as Relative_Power_2009.pdf
"An Assessment of Alternative State Space Models for Count Time Series" (joint with Paul Feigen, Phillip Gould and Ralph Snyder). Working Paper version available at http://www.buseco.monash.edu.au/depts/ebs/pubs/wpapers/2007/4-07.php (A revised version of this paper appears as publication no. 2 above)
"Optimal Probabilistic Forecasts of Counts" (joint with Brendan McCabe and David Harris)

· "Nonparametric Testing in Low Count Time Series" (joint with Brendan McCabe and David Harris)

"Modelling and Predicting Volatility and its Risk Premium: a Bayesian Non-Gaussian State Space Approach” (joint with Catherine Forbes and Simone Grose)

· “Nonparametric Estimation of Forecast Distributions in Non-Gaussian State Space Models” (joint with Jason Ng, Catherine Forbes and Brendan McCabe)

National Competitive Grants

Australian Research Council Discovery Grant No. DP0985234, awarded for 2009, 2010 and 2011: “Non-parametric Estimation of Forecast Distributions in Non-Gaussian State Space Models”. Joint with Dr. Catherine Forbes, Professor Mervyn Silvapulle and Professor Brendan McCabe (University of Liverpool)
Australian Research Council Discovery Grant No. DP0664121, awarded 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: 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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