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
Jan P.A.M. JacobsAssociate Professor University of Groningen Faculty of Economics and BusinessVerified email at rug.nl
Thomas FlavinSenior Lecturer, National University of Ireland MaynoothVerified email at mu.ie
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
Vitali AlexeevUTS Business School, University of Technology SydneyVerified email at uts.edu.au
Thu Phuong PhamCurtin University, Perth, AustraliaVerified email at curtin.edu.au
Marius MateiBucharest University of Economic StudiesVerified email at fabiz.ase.ro
Mohammad Abu SayeedJahangirnagar UniversityVerified email at iba-ju.org
Biplob ChowdhuryLecturer of Economics and Finance, University Of TasmaniaVerified email at utas.edu.au
Wenying YaoMelbourne Business School, University of MelbourneVerified email at mbs.edu
Anh Tuan BuiCurtin UniversityVerified email at curtin.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
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


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	653	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	280	2007
The identification of fiscal and monetary policy in a structural VAR M Dungey, R Fry Economic Modelling 26 (6), 1147-1160, 2009	237	2009
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	207	2014
Contagion and banking crisis–International evidence for 2007–2009 M Dungey, D Gajurel Journal of Banking & Finance 60, 271-283, 2015	200	2015
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	177	2000
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	170	2014
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	156	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	140	2009
Extending a SVAR model of the Australian economy M Dungey, A Pagan Economic Record 85 (268), 1-20, 2009	118	2009
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
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	95	2007
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	92	2002
Contagion across financial markets: An empirical assessment M Dungey, VL Martin Econometric Society, 2001	92	2001
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	91	2015
Unobservable shocks as carriers of contagion M Dungey, G Milunovich, S Thorp Journal of Banking & Finance 34 (5), 1008-1021, 2010	86	2010
Empirical modeling of contagion: a review of methodologies M Dungey, R Fry IMF Working Paper, 2004	83	2004
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, 253-274, 2006	82	2006

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