Vance L. Martin

Best Publications

• Empirical Modelling of Contagion: A Review of Methodologies

  Mardi Dungey;Renée Fry;Brenda González-Hermosillo;Vance L. Martin

  740
  Citations

• Unravelling financial market linkages during crises

  Mardi Dungey;Mardi Dungey;Vance L. Martin

  269
  Citations

• A New Class of Tests of Contagion With Applications

  Renée Fry;Vance L. Martin;Chrismin Tang

  205
  Citations

• International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse

  Mardi Dungey;Renée Fry;Brenda González-Hermosillo;Vance Martin

  180
  Citations

• A multivariate latent factor decomposition of international bond yield spreads

  Mardi Dungey;Vance L Martin;Adrian R Pagan

  174
  Citations

• Contagion in International Bond Markets during the Russian and LTCM Crises

  Mardi Dungey;Mardi Dungey;Renée Fry;Renée Fry;Brenda González-Hermosillo;Vance Martin

  171
  Citations

• International Monetary Policy Surprise Spillovers

  Roger Craine;Vance L. Martin

  103
  Citations

• Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises

  Mardi Dungey;Mardi Dungey;Renée Fry;Brenda González-Hermosillo;Vance L. Martin

  98
  Citations

• Contagion Across Financial Markets: An Empirical Assessment ∗

  Mardi Dungey;Vance L. Martin

  88
  Citations

• Chaos and Non-Linear Models in Economics

  John Creedy;Vance Martin

  83
  Citations

• Transmission of Financial Crises and Contagion: A Latent Factor Approach

  Mardi Dungey;Renee A. Fry;Brenda Gonzalez-Hermosillo;Vance L. Martin

  81
  Citations

• A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis

  Mardi Dungey;Vance L. Martin

  79
  Citations

• Are Financial Crises Alike

  Mardi Dungey;Renee Fry;Vance L. Martin;Vance L. Martin;Chrismin Tang;Chrismin Tang

  77
  Citations

• On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations

  A. S. Hurn;K. A. Lindsay;V. L. Martin

  74
  Citations

• 4 Modeling the term structure

  A.R. Pagan;A.D. Hall;V. Martin

  71
  Citations

• Modelling the Term Structure

  Adrian Pagan;Anthony Hall;Vance Martin

  65
  Citations

• Parametric pricing of higher order moments in S&P500 options

  G C Lim;Gael Margaret Martin;Vance L Martin

  60
  Citations

• Correlation, Contagion, and Asian Evidence

  Mardi Dungey;Renée Fry;Vance L. Martin

  60
  Citations

• Econometric Modelling with Time Series: Specification, Estimation and Testing

  Vance L. Martin;Stan Hurn;David Harris

  48
  Citations

• Econometric Modelling with Time Series

  Vance Martin;Stan Hurn;David Harris

  39
  Citations