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
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 - 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
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 Institute 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


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Empirical modelling of contagion: a review of methodologies M Dungey*, R Fry, B González-Hermosillo, VL Martin Quantitative finance 5 (1), 9-24, 2005	664	2005
A structural VAR model of the Australian economy M Dungey, A Pagan Economic record 76 (235), 321-342, 2000	332	2000
Unravelling financial market linkages during crises M Dungey, VL Martin Journal of Applied Econometrics 22 (1), 89-119, 2007	244	2007
The identification of fiscal and monetary policy in a structural VAR M Dungey, R Fry Economic Modelling 26 (6), 1147-1160, 2009	196	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	166	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	152	2006
Testing for contagion using correlations: some words of caution M Dungey, D Zhumabekova Pacific Basin Working Paper Series, 2001	146	2001
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	129	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	127	2014
Contagion and banking crisis–International evidence for 2007–2009 M Dungey, D Gajurel Journal of Banking & Finance 60, 271-283, 2015	121	2015
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	110	2014
International contagion effects from the Russian crisis and the LTCM near-collapse M Dungey, R Fry, B González-Hermosillo, V Martin IMF Working Papers 2002 (074), 2002	106	2002
Extending a SVAR model of the Australian economy M Dungey, A Pagan Economic Record 85 (268), 1-20, 2009	98	2009
Are financial crises alike? C Tang, MM Dungey, MV Martin, MB Gonzalez-Hermosillo, MR Fry International Monetary Fund, 2010	92	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	86	2007
Contagion across financial markets: An empirical assessment M Dungey, VL Martin Econometric Society, 2001	82	2001
Cojumping: Evidence from the US Treasury bond and futures markets M Dungey, L Hvozdyk Journal of Banking & Finance 36 (5), 1563-1575, 2012	77	2012
Unobservable shocks as carriers of contagion M Dungey, G Milunovich, S Thorp Journal of Banking & Finance 34 (5), 1008-1021, 2010	75	2010
Transmission of Financial Crises and Contagion:: A Latent Factor Approach M Dungey, RA Fry, B González-Hermosillo, VL Martin Oxford University Press, 2011	73	2011
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	72	2015

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