Mardi Dungey - Google Scholar Citations

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	All	Since 2015
Citations	4373	1886
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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
David VeredasVlerick Business SchoolVerified email at vlerick.com
Denise OsbornEmeritus Professor of Econometrics, University of ManchesterVerified email at manchester.ac.uk
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
Dinesh GajurelUniversity of New BrunswickVerified email at unb.ca
abdullah yalamanEskişehir Osmangazi UniversitesiVerified email at ogu.edu.tr
Thomas FlavinSenior Lecturer, National University of Ireland MaynoothVerified email at mu.ie
Jing TianTasmanian School of Business and Economics, University of TasmaniaVerified email at utas.edu.au
Shaun BondFrank Finn Professor of Finance, UQ Business School, The University of QueenslandVerified email at uq.edu.au
Vitali AlexeevUTS Business School, University of Technology SydneyVerified email at uts.edu.au
Doko Tchatoka FirminSchool of Economics, The University of AdelaideVerified email at adelaide.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
Anh Tuan BuiAdelaide Institution of Higher EducationVerified email at aihe.sa.edu.au
Thu Phuong PhamUniversity of AdelaideVerified email at adelaide.edu.au
Minxian YangSchool of Economics, UNSW AustraliaVerified email at unsw.edu.au
Biplob ChowdhuryLecturer of Economics and Finance, University Of TasmaniaVerified email at utas.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


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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	628	2005
A structural VAR model of the Australian economy M Dungey, A Pagan Economic record 76 (235), 321-342, 2000	292	2000
Unravelling financial market linkages during crises M Dungey, VL Martin Journal of Applied Econometrics 22 (1), 89-119, 2007	220	2007
The identification of fiscal and monetary policy in a structural VAR M Dungey, R Fry Economic Modelling 26 (6), 1147-1160, 2009	171	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	156	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	128	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	116	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	101	2002
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	92	2014
Are financial crises alike? C Tang, MM Dungey, MV Martin, MB González-Hermosillo, MR Fry International Monetary Fund, 2010	86	2010
Extending a SVAR model of the Australian economy M Dungey, A Pagan Economic Record 85 (268), 1-20, 2009	85	2009
Contagion and banking crisis–International evidence for 2007–2009 M Dungey, D Gajurel Journal of Banking & Finance 60, 271-283, 2015	80	2015
Contagion across financial markets: An empirical assessment M Dungey, VL Martin Econometric Society, 2001	78	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	74	2007
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	71	2014
Unobservable shocks as carriers of contagion M Dungey, G Milunovich, S Thorp Journal of Banking & Finance 34 (5), 1008-1021, 2010	70	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	69	2006
Cojumping: Evidence from the US Treasury bond and futures markets M Dungey, L Hvozdyk Journal of Banking & Finance 36 (5), 1563-1575, 2012	65	2012
Transmission of Financial Crises and Contagion:: A Latent Factor Approach M Dungey, RA Fry, B González-Hermosillo, VL Martin Oxford University Press, 2011	65	2011

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