← All authors Gael M. Martin Monash University (from arXiv:2104.14054, 2021) · OpenAlex
48 papers in scope · 46 published · 3 on the econ.EM arXiv · 1,733 citations · h-index 17 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Rubén Loaiza-Maya David T. Frazier Worapree Maneesoonthorn Gary Koop Florian Huber Andrés Ramírez Hassan Xuewen Yu Florian Ziel Joshua C. C. Chan Didier Nibbering Donald Poskitt Ryan Covey D. S. Poskitt Ryan Zischke Luca Onorante Anastasios Panagiotelis Rafał Weron David J. Nott Peter J. Danaher Bonsoo Koo Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (7 of 48)
ABC-based forecasting in misspecified state space models
published 2024 · International Journal of Forecasting · 2 citations · first circulated 2023
published 2024 · Journal of Computational and Graphical Statistics · 8 citations
working paper 2023 · arXiv · 1 citations
published 2023 · International Journal of Forecasting · 38 citations · first circulated 2022
Computing Bayes: From Then ‘Til Now
published 2023 · Statistical Science · 9 citations · first circulated 2022
Approximating Bayes in the 21st Century
published 2023 · Statistical Science · 17 citations · first circulated 2021
ABC of the future
published 2022 · International Statistical Review · 7 citations · first circulated 2021
published 2022 · Journal of Computational and Graphical Statistics · 14 citations · first circulated 2021
working paper 2022 · arXiv · 2 citations
published 2022 · International Journal of Forecasting · 843 citations
published 2021 · International Journal of Forecasting · 14 citations
Focused Bayesian prediction
published 2021 · Journal of Applied Econometrics · 1 citations
Optimal bias correction of the log-periodogram estimator of the fractional parameter: A jackknife approach
published 2020 · Journal of Statistical Planning and Inference · 6 citations · first circulated 2019
High-frequency jump tests: Which test should we use?
published 2020 · Journal of Econometrics · 5 citations
Issues in the estimation of mis-specified models of fractionally integrated processes
published 2019 · Journal of Econometrics · 1 citations · first circulated 2014
Approximate Bayesian forecasting
published 2019 · International Journal of Forecasting
Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
published 2018 · Journal of Computational and Graphical Statistics · 35 citations · first circulated 2014
Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts
published 2018 · Journal of Computational and Graphical Statistics · 3 citations · first circulated 2017
Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures
published 2016 · Journal of Applied Econometrics · 37 citations · first circulated 2014
BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP
published 2016 · Econometric Theory · 1 citations
Higher-order improvements of the sieve bootstrap for fractionally integrated processes
published 2015 · Journal of Econometrics · 13 citations · first circulated 2013
Bias Correction of Persistence Measures in Fractionally Integrated Models
published 2015 · Journal of Time Series Analysis · 2 citations · first circulated 2013
Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models
published 2013 · International Journal of Forecasting · 20 citations
with Jason Wei Jian Ng, Catherine Forbes, Brendan McCabe
Probabilistic forecasts of volatility and its risk premia
published 2012 · Journal of Econometrics · 21 citations
A Review of The Oxford Handbook of Bayesian Econometrics
published 2012 · Econometrics Journal
A QUASI‐LOCALLY MOST POWERFUL TEST FOR CORRELATION IN THE CONDITIONAL VARIANCE OF POSITIVE DATA
published 2011 · Australian & New Zealand Journal of Statistics
with Brendan McCabe, Keith Freeland
Efficient Probabilistic Forecasts for Counts
published 2011 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 62 citations
with Brendan McCabe, David Harris
‘The 21st Century Belongs to Bayes’ Debate: Introduction
published 2010 · Review of Economic Analysis
Bayesian forecasting in economics
published 2010 · International Journal of Forecasting · 5 citations
with Kajal Lahiri
Does the option market produce superior forecasts of noise‐corrected volatility measures?
published 2008 · Journal of Applied Econometrics · 28 citations
with Andrew Reidy, Jill Wright
Feasible parameter regions for alternative discrete state space models
published 2008 · Statistics & Probability Letters · 10 citations
with Paul D. Feigin, Phillip Gould, Ralph D. Snyder
Parameterisation and efficient MCMC estimation of non-Gaussian state space models
published 2007 · Computational Statistics & Data Analysis · 22 citations
with Chris M. Strickland, Catherine Forbes
Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter
published 2007 · Econometric Reviews · 19 citations
with Catherine Forbes, Jill Wright
Bayesian comparison of several continuous time models of the Australian short rate
published 2006 · Accounting and Finance · 12 citations
with Andrew Sanford
Pricing currency options in the presence of time-varying volatility and non-normalities
published 2005 · Journal of Multinational Financial Management · 17 citations
with G. C. Lim, Vance L. Martin
Bayesian analysis of the stochastic conditional duration model
published 2005 · Computational Statistics & Data Analysis · 50 citations
with Chris M. Strickland, Catherine Forbes
Implicit Bayesian Inference Using Option Prices
published 2005 · Journal of Time Series Analysis · 15 citations
with Catherine Forbes, Vance L. Martin
PRICING AUSTRALIAN S&P200 OPTIONS: A BAYESIAN APPROACH BASED ON GENERALIZED DISTRIBUTIONAL FORMS
published 2005 · Australian & New Zealand Journal of Statistics · 7 citations · first circulated 2003
with David B. Flynn, Simone D. Grose, Vance L. Martin
Assessing Persistence In Discrete Nonstationary Time‐Series Models
published 2005 · Journal of Time Series Analysis · 3 citations
with Brendan McCabe, A. R. Tremayne, Andy Tremayne
Bayesian predictions of low count time series
published 2004 · International Journal of Forecasting · 109 citations
with Brendan McCabe
Parametric pricing of higher order moments in S&P500 options
published 2004 · Journal of Applied Econometrics · 42 citations · first circulated 2002
with G. C. Lim, Vance L. Martin
Simulation-based Bayesian estimation of an affine term structure model
published 2004 · Computational Statistics & Data Analysis · 16 citations
with Andrew Sanford
Testing for Dependence in Non-Gaussian Time Series Data
published 2004 · Econometric Society 2004 Australasian Meetings · 4 citations
with Keith Freeland, Brendan McCabe, R. Keith Freeland
BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
published 2001 · Econometric Reviews · 14 citations
US deficit sustainability: a new approach based on multiple endogenous breaks
published 2000 · Journal of Applied Econometrics · 156 citations
Bayesian inference in the triangular cointegration model using a jeffreys prior
published 2000 · Communication in Statistics-Theory and Methods · 15 citations
with Vance L. Martin
Using simulation methods for bayesian econometric models: inference, development and communication: some comments
published 1999 · Econometric Reviews · 8 citations
with Catherine Forbes
The distribution of exchange rate returns and the pricing of currency options
published 1998 · Journal of International Economics · 19 citations
with G. C. Lim, Jenny Lye, Vance L. Martin
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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