Mardi Dungey - Google Scholar Citations

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Co-authors

Renee Fry-MckibbinCAMA, Australian National UniversityVerified email at anu.edu.au
Jan P.A.M. JacobsAssociate Professor University of Groningen Faculty of Economics and BusinessVerified email at rug.nl
Denise OsbornEmeritus Professor of Econometrics, University of ManchesterVerified email at manchester.ac.uk
David VeredasVlerick Business SchoolVerified email at vlerick.com
Matteo LucianiFederal Reserve Board of GovernorsVerified email at frb.gov
Susan ThorpProfessor of Finance, University of SydneyVerified email at sydney.edu.au
George MilunovichAssociate Professor of Economics, Macquarie UniversityVerified email at mq.edu.au
Dinesh GajurelUniversity of New BrunswickVerified email at unb.ca
abdullah yalamanEskişehir Osmangazi UniversitesiVerified email at ogu.edu.tr
Shaun BondFrank Finn Professor of Finance, UQ Business School, The University of QueenslandVerified email at uq.edu.au
Jing TianTasmanian School of Business and Economics, University of TasmaniaVerified email at utas.edu.au
Vitali AlexeevUTS Business School, University of Technology SydneyVerified email at uts.edu.au
Wenying YaoDeakin UniversityVerified email at deakin.edu.au
Cuong Nguyen VietMekong Development Research Institute, and National Economics UniversityVerified email at mdri.org.vn
Thu Phuong PhamUniversity of AdelaideVerified email at adelaide.edu.au
Doko Tchatoka FirminSchool of Economics, The University of AdelaideVerified email at adelaide.edu.au
Thomas FlavinSenior Lecturer, National University of Ireland MaynoothVerified email at mu.ie
Heather AndersonMonash UniversityVerified email at monash.edu
L. Vanessa SmithUniversity of YorkVerified email at york.ac.uk
Minxian YangSchool of Economics, UNSW AustraliaVerified email at unsw.edu.au

Mardi Dungey

Professor Economics and Finance, University of Tasmania

Verified email at utas.edu.au - Homepage

contagion crisies high frequency financial econometrics VAR


Title	Cited by	Year
Empirical modelling of contagion: a review of methodologies M Dungey*, R Fry, B González-Hermosillo, VL Martin Quantitative finance 5 (1), 9-24, 2005	596	2005
A structural VAR model of the Australian economy M Dungey, A Pagan Economic record 76 (235), 321-342, 2000	272	2000
Unravelling financial market linkages during crises M Dungey, VL Martin Journal of Applied Econometrics 22 (1), 89-119, 2007	212	2007
The identification of fiscal and monetary policy in a structural VAR M Dungey, R Fry Economic Modelling 26 (6), 1147-1160, 2009	149	2009
A multivariate latent factor decomposition of international bond yield spreads M Dungey, VL Martin, AR Pagan Journal of Applied Econometrics 15 (6), 697-715, 2000	146	2000
Testing for contagion using correlations: some words of caution M Dungey, D Zhumabekova Pacific Basin Working Paper Series, 2001	139	2001
Contagion in international bond markets during the Russian and the LTCM crises M Dungey, R Fry, B González-Hermosillo, V Martin Journal of Financial Stability 2 (1), 1-27, 2006	120	2006
Empirical evidence on jumps in the term structure of the US Treasury market M Dungey, M McKenzie, LV Smith Journal of Empirical Finance 16 (3), 430-445, 2009	106	2009
International contagion effects from the Russian crisis and the LTCM near-collapse MR Fry, MV Martin, MB González-Hermosillo, MM Dungey International Monetary Fund, 2002	92	2002
Are financial crises alike? C Tang, MM Dungey, MV Martin, MB González-Hermosillo, MR Fry International Monetary Fund, 2010	83	2010
Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies M Dungey, D Gajurel Economic Systems 38 (2), 161-177, 2014	76	2014
Extending a SVAR model of the Australian economy M Dungey, A Pagan Economic Record 85 (268), 1-20, 2009	74	2009
Contagion across financial markets: An empirical assessment M Dungey, VL Martin Econometric Society, 2001	74	2001
A web of shocks: crises across Asian real estate markets SA Bond, M Dungey, R Fry The Journal of Real Estate Finance and Economics 32 (3), 253-274, 2006	67	2006
Unobservable shocks as carriers of contagion M Dungey, G Milunovich, S Thorp Journal of Banking & Finance 34 (5), 1008-1021, 2010	66	2010
Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises M Dungey, R Fry, B González-Hermosillo, VL Martin The North American Journal of Economics and Finance 18 (2), 155-174, 2007	64	2007
Cojumping: Evidence from the US Treasury bond and futures markets M Dungey, L Hvozdyk Journal of Banking & Finance 36 (5), 1563-1575, 2012	61	2012
Contagion and banking crisis–International evidence for 2007–2009 M Dungey, D Gajurel Journal of Banking & Finance 60, 271-283, 2015	58	2015
Transmission of Financial Crises and Contagion:: A Latent Factor Approach M Dungey, RA Fry, B González-Hermosillo, VL Martin Oxford University Press, 2011	56	2011
Unanticipated shocks and systemic influences: the impact of contagion in global equity markets in 1998 MB González-Hermosillo, MV Martin, MR Fry, MM Dungey International Monetary Fund, 2003	56	2003

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