Mardi Dungey

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Renee Fry-MckibbinCAMA, Australian National UniversityVerified email at anu.edu.au
Dinesh GajurelUniversity of New BrunswickVerified email at unb.ca
Thomas FlavinSenior Lecturer, National University of Ireland MaynoothVerified email at mu.ie
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 LucianiBoard of Governors of the Federal Reserve SystemVerified email at frb.gov
Denise OsbornEmeritus Professor of Econometrics, University of ManchesterVerified email at manchester.ac.uk
Thu Phuong PhamCurtin University, Perth, AustraliaVerified email at curtin.edu.au
Vitali AlexeevUTS Business School, University of Technology SydneyVerified email at uts.edu.au
Marius MateiBucharest University of Economic StudiesVerified email at fabiz.ase.ro
Biplob ChowdhuryLecturer of Economics and Finance, University Of TasmaniaVerified email at utas.edu.au
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
Wenying YaoMelbourne Business School, University of MelbourneVerified email at mbs.edu
Mohammad Abu SayeedJahangirnagar UniversityVerified email at iba-ju.org
Anh Tuan BuiADIGITRANSVerified email at adigitrans.com
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
Shaun BondFrank Finn Professor of Finance, UQ Business School, The University of QueenslandVerified email at uq.edu.au
abdullah yalamanEskişehir Osmangazi UniversitesiVerified email at ogu.edu.tr

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	658	2005
A structural VAR model of the Australian economy M Dungey, A Pagan Economic record 76 (235), 321-342, 2000	383	2000
Unravelling financial market linkages during crises M Dungey, VL Martin Journal of Applied Econometrics 22 (1), 89-119, 2007	279	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	244	2014
The identification of fiscal and monetary policy in a structural VAR M Dungey, R Fry Economic Modelling 26 (6), 1147-1160, 2009	244	2009
Contagion and banking crisis–International evidence for 2007–2009 M Dungey, D Gajurel Journal of Banking & Finance 60, 271-283, 2015	214	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	181	2014
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	175	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	166	2006
Testing for contagion using correlations: some words of caution M Dungey, D Zhumabekova Pacific Basin Working Paper Series, 2001	159	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	144	2009
Extending a SVAR model of the Australian economy M Dungey, A Pagan Economic Record 85 (268), 1-20, 2009	121	2009
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	115	2002
Are financial crises alike? C Tang, MM Dungey, MV Martin, MB Gonzalez-Hermosillo, MR Fry International Monetary Fund, 2010	99	2010
Cojumping: Evidence from the US Treasury bond and futures markets M Dungey, L Hvozdyk Journal of Banking & Finance 36 (5), 1563-1575, 2012	98	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	96	2015
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	94	2007
Contagion across financial markets: An empirical assessment M Dungey, VL Martin Econometric Society, 2001	92	2001
Unobservable shocks as carriers of contagion M Dungey, G Milunovich, S Thorp Journal of Banking & Finance 34 (5), 1008-1021, 2010	91	2010
The changing network of financial market linkages: The Asian experience B Chowdhury, M Dungey, M Kangogo, MA Sayeed, V Volkov International Review of Financial Analysis 64, 71-92, 2019	88	2019

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