Mardi Dungey

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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
Dinesh GajurelUniversity of New BrunswickVerified email at unb.ca
David VeredasVlerick Business SchoolVerified email at vlerick.com
Matteo LucianiAmazon.comVerified email at amazon.com
Denise OsbornEmeritus Professor of Econometrics, University of ManchesterVerified email at manchester.ac.uk
Susan ThorpProfessor of Finance, University of SydneyVerified email at sydney.edu.au
George MilunovichAssociate Professor - Department of Actuarial Studies and Business Analytics, Macquarie UniversityVerified email at mq.edu.au
Thomas FlavinSenior Lecturer, National University of Ireland MaynoothVerified email at mu.ie
Vitali AlexeevUTS Business School, University of Technology SydneyVerified email at uts.edu.au
Marius MateiNational Bank of Romania, Financial Stability DepartmentVerified email at bnro.ro
Wenying YaoMelbourne Business SchoolVerified email at mbs.edu
abdullah yalamanEskişehir Osmangazi UniversitesiVerified email at ogu.edu.tr
Biplob ChowdhuryLecturer of Economics and Finance, University Of TasmaniaVerified email at utas.edu.au
Doko Tchatoka FirminSchool of Economics, The University of AdelaideVerified email at adelaide.edu.au
Jing TianTasmanian School of Business and Economics, University of TasmaniaVerified email at utas.edu.au
Mohammad Abu SayeedJahangirnagar UniversityVerified email at iba-ju.org
Thu Phuong PhamCurtin University, Perth, AustraliaVerified email at adelaide.edu.au
Anh Tuan BuiAdelaide Institute of Higher EducationVerified email at aihe.sa.edu.au
Shaun BondFrank Finn Professor of Finance, UQ Business School, The University of QueenslandVerified email at uq.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 Sort by citations Sort by year Sort by title	Cited by 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	599	2005
A structural VAR model of the Australian economy M Dungey, A Pagan Economic record 76 (235), 321-342, 2000	350	2000
Unravelling financial market linkages during crises M Dungey, VL Martin Journal of Applied Econometrics 22 (1), 89-119, 2007	253	2007
The identification of fiscal and monetary policy in a structural VAR M Dungey, R Fry Economic Modelling 26 (6), 1147-1160, 2009	198	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	176	2000
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	153	2006
Testing for contagion using correlations: some words of caution M Dungey, D Zhumabekova Pacific Basin Working Paper Series, 2001	149	2001
Contagion and banking crisis–International evidence for 2007–2009 M Dungey, D Gajurel Journal of Banking & Finance 60, 271-283, 2015	140	2015
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	140	2014
The impact of natural disasters on household income, expenditure, poverty and inequality: evidence from Vietnam AT Bui, M Dungey, CV Nguyen, TP Pham Applied Economics 46 (15), 1751-1766, 2014	135	2014
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	135	2009
Extending a SVAR model of the Australian economy M Dungey, A Pagan Economic Record 85 (268), 1-20, 2009	101	2009
Are financial crises alike? C Tang, MM Dungey, MV Martin, MB Gonzalez-Hermosillo, MR Fry International Monetary Fund, 2010	95	2010
Empirical modeling of contagion: a review of methodologies M Dungey, R Fry IMF Working Paper, 2004	94	2004
International contagion effects from the Russian crisis and the LTCM near-collapse M Dungey, R Fry, B González-Hermosillo, VL Martin IMF Working Paper, 2002	91	2002
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	88	2007
Contagion across financial markets: An empirical assessment M Dungey, VL Martin Econometric Society, 2001	88	2001
Cojumping: Evidence from the US Treasury bond and futures markets M Dungey, L Hvozdyk Journal of Banking & Finance 36 (5), 1563-1575, 2012	84	2012
Endogenous crisis dating and contagion using smooth transition structural GARCH M Dungey, G Milunovich, S Thorp, M Yang Journal of Banking & Finance 58, 71-79, 2015	83	2015
Transmission of financial crises and contagion:: A latent factor approach M Dungey, RA Fry, B González-Hermosillo, VL Martin Oxford University Press, 2011	81	2011

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