Gael M. Martin

B.A. (University of Melbourne)

A.Mus.A. (AMEB)

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

Professor of Econometrics and Australian Research Council Future Fellow (2010-2013)

Department of Econometrics and Business Statistics, Monash University.

Location: Room 672E, Menzies building  (Building 11), 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., Martin, G.M, Forbes, C.S. and Grose, S., 2012, "Probabilistic Forecasts of Volatility and its Risk Premia". Journal of Econometrics, forthcoming. Current version

  2. 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

  3. 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

  4. 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

  5. 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

  6. 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

  7. 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

  8. 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

  9. 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

  10. 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

  11. 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

  12. 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

  13. 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

  14. 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

  15. 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

  16. 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

  17. 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

  18. 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

  19. 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/)

  20. 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.

  21. 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/

  22. 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.

  23. 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

  1. "Nonparametric Estimation of Forecast Distributions in Non-Gaussian State Space Models" (joint with Jason Ng, Catherine Forbes and Brendan McCabe). Working paper version available at http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2011/wp11-11.pdf

  2. "Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap" (joint with Don Poskitt and Simone Grose). Working paper version available at http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2012/8-12.php

  3. "Higher-order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes" (joint with Don Poskitt and Simone Grose). Working paper version available at http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2012/9-12.php

  4. "Approximate Bayesian Computation (ABC) in Latent Diffusion Models" (joint with Brendan McCabe and Christian Robert)

  5. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures" (joint with Ole Maneesoonthorn and Catherine Forbes)

  6. "Bias Correction of Persistence Measures in Fractionally Integrated Models" (joint with Don Poskitt and Simone Grose)

  7. "Probabilistic Filtering and Smoothing using Monte Carlo Methods" (joint with Catherine Forbes and Brendan McCabe)

  8. "Efficient Filtering of Stochastic Volatility Models" (joint with Jason Ng, Catherine Forbes and Brendan McCabe)

National Competitive Grants/Fellowships

  1. Australian Research Council Discovery Grant No. DP120102344, awarded for 2012 to 2014: "Semi-Parametric Bootstrap-based Inference in Long Memory Models". Joint with Don Poskitt.
  2. 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".
  3. 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)
  4. 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).
  5. 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.
  6. 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).
  7. Large Australian Research Council  Grant No. A00103254 for 2001 and 2002: "Using Option Prices to Conduct Implicit Bayesian Analysis of Financial Returns".
  8. 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 PhD Students

Editorial Responsibilities