Gael M. Martin

B.A. (University of Melbourne)

A.Mus.A. (Piano, AMEB)

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

Professor of Econometrics

Department of Econometrics and Business Statistics, Monash University.

Location: Room 770E, Robert Menzies building  (20 Chancellors Walk), Monash University, Clayton, Vic. 3800, AUSTRALIA
Phone: IDD + 61 3 9905 1189; Fax: IDD + 61 3 9905 5474
Email:  gael.martin@monash.edu


Research Interests

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


Recent and Forthcoming Publications

  1. Maneesoonthorn, W., Forbes, C.S. and Martin, G.M, 2016, "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures". In Press, Journal of Applied Econometrics. Working paper version: JAE_9538-1_Revision.pdf. Supplementary appendix: Online_Appendix.pdf

  2. Poskitt, D.S., Martin, G.M. and Grose, S.D., 2016, "Bias Correction of Semiparametric Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap". In Press, Econometric Theory. Extended working paper version (with additional numerical results): http://arxiv.org/abs/1603.01897

  3. Poskitt, D.S., Grose, S.D. and Martin, G.M., 2015, "Higher-order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes". Journal of Econometrics, 188, 94-100. Available at: http://www.sciencedirect.com/science/article/pii/S0304407615001372.

  4. Grose, S.D, Martin, G.M. and Poskitt, D.S., 2015, "Bias Correction of Persistence Measures in Fractionally Integrated Models". Journal of Time Series Analysis, 36, 721-740. Available at: http://onlinelibrary.wiley.com.ezproxy.lib.monash.edu.au/doi/10.1111/jtsa.12116/pdf . Supplementary On-Line Appendix available at:http://onlinelibrary.wiley.com.ezproxy.lib.monash.edu.au/store/10.1111/jtsa.12116/asset/supinfo/jtsa12116-sup-0001-Supplementary.pdf?v=1&s=fff9307cb925a16b6bd72c1bb4c157ad1deef130

  5. Ng, J, Forbes, C.S., Martin, G.M, and McCabe, B.P.M., 2013, "Nonparametric Estimation of Forecast Distributions in Non-Gaussian State Space Models". International Journal of Forecasting, 29, 411-430. Available at: http://www.sciencedirect.com/science/article/pii/S0169207012001665

  6. Maneesoonthorn, W., Martin, G.M, Forbes, C.S. and Grose, S., 2012, "Probabilistic Forecasts of Volatility and its Risk Premia". Journal of Econometrics, 171, 217-236. Available on-line at:
    http://www.sciencedirect.com/science/article/pii/S0304407612001534

  7. McCabe, B.P.M., G.M. Martin and Harris, D.G., 2011, "Efficient Probabilistic Forecasts for Counts". Journal of the Royal Statistical Society (Series B), 73, 253-272. Available at http://onlinelibrary.wiley.com/doi/10.1111/j.1467-9868.2010.00762.x/pdf

  8. McCabe, B.P.M., G.M. Martin and Freeland, K., 2011, "A Quasi-Locally Most Powerful Test for Correlation in the Conditional Variance of Positive Data". Australian and New Zealand Journal of Statistics, 53, 43-62. Available at http://onlinelibrary.wiley.com/doi/10.1111/j.1467-842X.2010.00596.x/pdf

  9. Lahiri, K. and Martin, G.M., 2010, "Bayesian Forecasting in Economics: Editorial", Special Issue of International Journal of Forecasting, 26, 211-215. Available at http://www.elsevier.com/wps/find/journaldescription.cws_home/505555/description#description

  10. Martin, G.M., 2010, "The 21st Century Belongs to Bayes: Editorial Introduction", Review of Economic Analysis, 2, 137-138. Available at http://www.rofea.org/index.php/journal/article/viewFile/33/46

  11. 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

  12. 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

  13. 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

  14. 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

  15. 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

  16. 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

  17. 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

  18. 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

  19. 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

  20. 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

  21. 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

  22. 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

  23. 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

  24. 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/)

  25. 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.

  26. 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/

  27. 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.

  28. 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/

Work in Progress, Under Submission or Under Revision


  1. "Auxiliary Likelihood-based Approximate Bayesian Computation in State Space Models", 2016 (joint with Brendan McCabe, David Frazier, Ole Maneesoonthorn and Christian Robert). Draft paper version downloadable from arXiv.org: https://arxiv.org/abs/1604.07949. Supplementary appendix downloadable at: Supp_App_SSM_16-04-25.pdf. (This paper supersedes an earlier working paper: http://arxiv.org/abs/1409.8363)

  2. "Asymptotic Properties of Approximate Bayesian Computation", 2016 (joint with David Frazier, Christian Robert and Judith Rousseau). Downloadable from https://arxiv.org/abs/1607.06903. Note: this paper supersedes the earlier paper (joint with David Frazier and Christian Robert), entitled "On Consistency of Approximate Bayesian Computation".

  3. "Issues in the Estimation of Mis-specified Models of Fractionally Integrated Processes", 2014 (joint with Kanchana Nadarajah and Don Poskitt). Working paper version downloadable at: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2014/wp18-14.pdf. Also downloadable from arXiv.org: http://arxiv.org/abs/1407.1347 Revised version (November, 2015): Nadarajah_Martin_Poskitt_November_2015.pdf

  4. "Data Driven Particle Filters for Particle Markov Chain Monte Carlo", 2016 (joint with Patrick Leung, Catherine Forbes and Brendan McCabe)

  5. "Measuring Sampling Variation in Frequentist Distributional Forecasts", 2016 (joint with David Harris, Indee Perera, Don Poskitt)

  6. "Price Jump Inference Under Alternative Measures", 2016 (joint with Ole Maneesoonthorn and Catherine Forbes)

  7. "Approximate Bayesian Computation and Discrete Fourier Tranforms", 2016 (joint with Sally Wood, Ole Maneesoonthorn and Robert Kohn)

  8. "Jackknife Bias-Correction of a Semi-parametric Estimator in Fractionally Integrated Models", 2016 (joint with Kanchana Nadarajah and Don Poskitt)




National Competitive Grants/Fellowships

  1. Australian Research Council Discovery Grant No. DP15010172, awarded for 2015 to 2017: "Approximate Bayesian Computation in State Space Models". Joitn with Associate Professor Catherine Forbes, Professor Brendan McCabe (University of Liverpool) and Professor Christian P. Robert (University of Dauphine and CREST, Paris).
  2. Australian Research Council Discovery Grant No. DP120102344, awarded for 2012 to 2014: "Semi-Parametric Bootstrap-based Inference in Long Memory Models". Joint with Professor Don Poskitt.
  3. Australian Research Council Future Fellowship No. FT0991045, awarded for 2010 to 2013: "A Bayesian State Space Methodology for Forecasting Stock Market Volatility and Associated Time-varying Risk Premia".
  4. 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)
  5. 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).
  6. 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.
  7. 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).
  8. Large Australian Research Council  Grant No. A00103254 for 2001 and 2002: "Using Option Prices to Conduct Implicit Bayesian Analysis of Financial Returns".
  9. 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.

 

Book Reviews

  1. Review of: Oxford Handbook of Bayesian Econometrics, 2011, edited by John Geweke, Gary Koop and Herman van Dijk. Published in: The Econometics Journal, 2012, 15, B11-B15.
  2. Review of: Bayesian Econometrics, 2003, by Gary Koop. Published in: Australian and New Zealand Journal of Statistics, 2004, 46, 512-514.
  3. Review of: Bayesian Economics Through Numerical Methods: a Guide to Econometrics and Decision Making with Prior Information, 1997, by J.H. Dorfman. Published in: Australian and New Zealand Journal of Statistics, 1999, 41, 120-122.

 

 


 

Current Undergraduate and Honours Teaching


 

Current Postgraduate Students


Editorial Responsibilities