Vance Martin

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Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession
International Monetary Fund (2018)

This paper studies changes in the transmission of common versus sectoral idiosyncraticshocks across...

Econometric Modelling with Time Series: Specification, Estimation and Testing

Econometric Modelling with Time Series

Specification, Estimation and Testing

Vance Martin, Stan Hurn and 1 more...
Cambridge University Press (2012)

This book provides a general framework for specifying, estimating and testing time series...

Transmission of Financial Crises and Contagion:: A Latent Factor Approach
Oxford University Press (2011)

Financial crises often transmit across geographical borders and different asset classes. This book...

Are Financial Crises Alike?
International Monetary Fund (2010)

This paper investigates whether financial crises are alike by considering whether a single modeling...