Gael M. Martin

Q: What Schools Are Affiliated With Gael M. Martin

Gael M. Martin is affiliated with the following schools: University of Melbourne, Monash University

Gael M. Martin's AcademicInfluence.com Rankings

Gael M. Martin

Mathematics

#8229

World Rank

#11174

Historical Rank

Statistics

#1203

World Rank

#1312

Historical Rank

mathematics Degrees

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Mathematics

Why Is Gael M. Martin Influential?

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According to Wikipedia, Gael Margaret Martin is an Australian Bayesian econometrician, known for her work in simulation-based inference and time series analysis of non-Gaussian data. She is a professor of econometrics and business statistics at Monash University, an associate investigator in the Australian Research Council Centre of Excellence for Mathematical and Statistical Frontiers, and a Fellow of the Academy of the Social Sciences in Australia.

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Gael M. Martin's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

US deficit sustainability: a new approach based on multiple endogenous breaks (2000) (173)
Bayesian predictions of low count time series (2005) (103)
Asymptotic properties of approximate Bayesian computation (2016) (82)
Efficient probabilistic forecasts for counts (2011) (59)
Bayesian analysis of the stochastic conditional duration model (2006) (58)
Parametric pricing of higher order moments in S&P500 options (2005) (41)
Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models (2016) (34)
Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures: Supplementary Appendix (2014) (33)
Parameterisation and efficient MCMC estimation of non-Gaussian state space models (2008) (29)
Does the option market produce superior forecasts of noise‐corrected volatility measures? (2009) (28)
Approximate Bayesian forecasting (2017) (27)
Simulation-based Bayesian estimation of an affine term structure model (2005) (26)
Focused Bayesian prediction (2019) (26)
Probabilistic forecasts of volatility and its risk premia (2012) (24)
The distribution of exchange rate returns and the pricing of currency options (1998) (21)
Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter (2007) (20)
Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter (2002) (19)
Bayesian Comparison of Several Continuous Time Models of the Australian Short Rate (2006) (16)
Using simulation methods for bayesian econometric models: inference, development and communication: some comments (1999) (16)
Pricing currency options in the presence of time-varying volatility and non-normalities (2006) (16)
Approximate Bayesian Computation in State Space Models (2014) (16)
High-frequency jump tests: Which test should we use? (2017) (16)
Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models (2013) (14)
Implicit Bayesian Inference Using Option Prices (2005) (14)
Bayesian inference in the triangular cointegration model using a jeffreys prior (2000) (13)
Computing Bayes: Bayesian Computation from 1763 to the 21st Century (2020) (13)
BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL (2001) (12)
Loss-Based Variational Bayes Prediction (2021) (11)
Feasible parameter regions for alternative discrete state space models (2008) (11)
Higher-order improvements of the sieve bootstrap for fractionally integrated processes (2013) (10)
Optimal probabilistic forecasts: When do they work? (2020) (9)
PRICING AUSTRALIAN S&P200 OPTIONS: A BAYESIAN APPROACH BASED ON GENERALIZED DISTRIBUTIONAL FORMS (2005) (8)
E ¢ cient Probabilistic Forecasts for Counts (2010) (8)
Optimal Probabilistic Forecasts for Counts (2009) (7)
Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns (2002) (7)
BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP (2016) (5)
Bayesian forecasting in economics (2010) (5)
On Consistency of Approximate Bayesian Computation (2015) (5)
An Assessment of Alternative State Space Models for Count Time Series (2007) (4)
Variational Bayes in State Space Models: Inferential and Predictive Accuracy (2021) (4)
Testing for Dependence in Non-Gaussian Time Series Data (2004) (4)
ABC of the future (2021) (3)
Assessing Persistence In Discrete Nonstationary Time‐Series Models (2005) (3)
Coherent Predictions of Low Count Time Series (2003) (3)
Approximating Bayes in the 21st Century (2021) (3)
Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap (2014) (2)
Bayesian Analysis of Continuous Time Models of the (2004) (2)
Persistence and Nonstationary Models (2003) (2)
Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts (2018) (2)
The Impact of Sampling Variability on Estimated Combinations of Distributional Forecasts (2022) (2)
Jump models and higher moments (1997) (2)
A Note on the Accuracy of Variational Bayes in State Space Models: Inference and Prediction (2021) (2)
Optimal bias correction of the log-periodogram estimator of the fractional parameter: A jackknife approach (2019) (2)
Computing Bayes: From Then ‘Til Now (2022) (2)
Coherent Bayesian Predictions of Low Count Time Series (2004) (1)
Fractional Cointegration: Bayesian Inferences Using a Jeffreys Prior (1997) (1)
Data-driven particle Filters for particle Markov Chain Monte Carlo (2016) (1)
TESTING FOR LOW-ORDER DEPENDENCE IN NON-GAUSSIAN TIME SERIES DATA ∗ (2006) (1)
Issues in the estimation of mis-specified models of fractionally integrated processes (2014) (1)
Applied Bayesian Forecasting in Economics : Editorial (2010) (1)
Dynamic asset price jumps and the performance of high frequency tests and measures (2017) (1)
Bias Correction of Persistence Measures in Fractionally Integrated Models (2013) (1)
Review of book: Bayesian economics through numerical methods: A guide to econometrics and decision making with prior information (1999) (0)
Fractional Cointegration: A Bayesian Aproach (1995) (0)
Optimal probabilistic forecasts for risk management (2023) (0)
Appendix to “ Dynamic Asset Price Jumps : the Performance of High Frequency Tests and Measures , and the Robustness of Inference ” ∗ (2018) (0)
OF ECONOMETRICS AND BUSINESS STATISTICS Persistence and Nonstationary Models (2003) (0)
Forthcoming papers (2004) (0)
Modeling and Predicting Volatility and its Risk Premium: a Bayesian Non-Gaussian State Space Approach (2009) (0)
Bayesian Analysis of a Cointegration Model Using Markov Chain Monte Carlo (1995) (0)
Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility (2006) (0)
Forecasting Observables with Particle Filters: Any Filter Will Do! (2019) (0)
Bayesian inference in models of cointegration : methods and applications (2021) (0)
Supplementary Appendix: Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models (2019) (0)
Bayesian Estimation of Non-Gausian Time Series with Applicaitons to Transaction Data (2004) (0)
‘The 21st Century Belongs to Bayes’ Debate: Introduction (2010) (0)
A QUASI‐LOCALLY MOST POWERFUL TEST FOR CORRELATION IN THE CONDITIONAL VARIANCE OF POSITIVE DATA (2011) (0)
M E ] 2 0 D ec 2 01 7 Approximate Bayesian Forecasting ∗ (2017) (0)
Private and Public Consumption Expenditure Substitutability: Bayesian Estimates for the G7 Countries (1997) (0)
Bayesian Forecasting in the 21st Century: A Modern Review (2022) (0)
THE RELATIVE POWER OF TESTS FOR CORRELATION IN THE SECOND MOMENT OF POSITIVE DATA (2009) (0)
Computing Bayes: From Then ‘Til Now 1 (2022) (0)
Construction and Visualization of Optimal Confidence Sets for Frequentist Distributional Forecasts (2017) (0)
Parameterisation and E ffi cient MCMC Estimation of Non-Gaussian State Space Models (2007) (0)
A Review of The Oxford Handbook of Bayesian Econometrics edited by Geweke (John), Koop (Gary) and van Dijk (Herman) (2012) (0)
Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference (2018) (0)

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Other Resources About Gael M. Martin

en.wikipedia.org

What Schools Are Affiliated With Gael M. Martin?

Gael M. Martin is affiliated with the following schools: