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
David VeredasVlerick Business SchoolVerified email at vlerick.com
Matteo LucianiFederal Reserve Board of GovernorsVerified email at frb.gov
Dinesh GajurelUniversity of New BrunswickVerified email at unb.ca
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
Vitali AlexeevUTS Business School, University of Technology SydneyVerified email at uts.edu.au
Thomas FlavinSenior Lecturer, National University of Ireland MaynoothVerified email at mu.ie
Marius MateiNational Bank of Romania, Financial Stability DepartmentVerified email at bnro.ro
abdullah yalamanEskişehir Osmangazi UniversitesiVerified email at ogu.edu.tr
Wenying YaoDeakin UniversityVerified email at deakin.edu.au
Jing TianTasmanian School of Business and Economics, University of TasmaniaVerified email at utas.edu.au
Doko Tchatoka FirminSchool of Economics, The University of AdelaideVerified email at adelaide.edu.au
Shaun BondFrank Finn Professor of Finance, UQ Business School, The University of QueenslandVerified email at uq.edu.au
Thu Phuong PhamUniversity of AdelaideVerified email at adelaide.edu.au
Anh Tuan BuiAdelaide Institution of Higher EducationVerified email at aihe.sa.edu.au
Biplob ChowdhuryLecturer of Economics and Finance, University Of TasmaniaVerified email at utas.edu.au
Mohammad Abu SayeedJahangirnagar UniversityVerified email at iba-ju.org

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	561	2005
A structural VAR model of the Australian economy M Dungey, A Pagan Economic record 76 (235), 321-342, 2000	306	2000
Unravelling financial market linkages during crises M Dungey, VL Martin Journal of Applied Econometrics 22 (1), 89-119, 2007	241	2007
The identification of fiscal and monetary policy in a structural VAR M Dungey, R Fry Economic Modelling 26 (6), 1147-1160, 2009	187	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	161	2000
Testing for contagion using correlations: some words of caution M Dungey, D Zhumabekova Pacific Basin Working Paper Series, 2001	147	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	144	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	125	2009
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	111	2014
Contagion and banking crisis–International evidence for 2007–2009 M Dungey, D Gajurel Journal of Banking & Finance 60, 271-283, 2015	108	2015
International contagion effects from the Russian crisis and the LTCM near-collapse M Dungey, MB González-Hermosillo, MV Martin, MR Fry International Monetary Fund, 2002	105	2002
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	99	2014
Extending a SVAR model of the Australian economy M Dungey, A Pagan Economic Record 85 (268), 1-20, 2009	93	2009
Are financial crises alike? C Tang, M Dungey, V Martin, B Gonzalez-Hermosillo, R Fry Are Financial Crises Alike? 2010 (14), 1-58, 2010	91	2010
Empirical modeling of contagion: a review of methodologies M Dungey, R Fry IMF Working Paper, 2004	88	2004
Contagion across financial markets: An empirical assessment M Dungey, VL Martin Econometric Society, 2001	83	2001
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	81	2007
Cojumping: Evidence from the US Treasury bond and futures markets M Dungey, L Hvozdyk Journal of Banking & Finance 36 (5), 1563-1575, 2012	76	2012
Unobservable shocks as carriers of contagion M Dungey, G Milunovich, S Thorp Journal of Banking & Finance 34 (5), 1008-1021, 2010	73	2010
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	72	2006

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