CitEc is a RePEc service
providing citation data for Economics since 2001
providing citation data for Economics since 2001
Last updated June, 2 2013 509.483 documents
processed, 12.432.265 references and 4.788.780 citations
Affiliation: " University of Cambridge Co-Authors: Fry, Renee (6) Jacobs, Jan (5) Flavin, Thomas (5) Dwyer, Gerald (5) Osborn, Denise (4) Vahid, Farshid (4) Thorp, Susan (4) Luciani, Matteo (3) Martin, Vance (3) Authors registered in RePEc who have co-authored more than one work in the last five years with Mardi Dungey. [More details in EconPapers] | Citation Profile Articles: 34 (299 citations) Total self citations: 71 (15.17 %) Average times cited by year: 33.43 (14 years) h-index: 11 Permalink for this report: http://citec.repec.org/pdu7 |
Citation report created: 2013-06-15 01:44:34 Refresh data now
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| Year | Title | Cited |
|---|---|---|
| 2003 | A Perspective on Modelling the Australian Real Trade Weighted Index since the Float In: Australian Economic Papers. [Full Text][Citation analysis] | 3 |
| 2003 | International Shocks on Australia - The Japanese Effect In: Australian Economic Papers. [Full Text][Citation analysis] | 1 |
| 2004 | CURRENCY MARKET CONTAGION IN THE ASIA-PACIFIC REGION In: Australian Economic Papers. [Full Text][Citation analysis] | 10 |
| 2000 | Dating Changes in Monetary Policy in Australia In: Australian Economic Review. [Full Text][Citation analysis] | 0 |
| 2004 | Potential Growth and Inflation: Estimates for Australia, the United States and Canada In: Australian Economic Review. [Full Text][Citation analysis] | 1 |
| 2011 | First Home Buyers’ Support Schemes in Australia In: Australian Economic Review. [Full Text][Citation analysis] | 0 |
| 1998 | WHY TAX FOREIGN EXCHANGE? COMMENTS ON A PROPOSED TOBIN TAX In: Economic Papers. [Full Text][Citation analysis] | 0 |
| 2000 | A Structural VAR Model of the Australian Economy. In: The Economic Record. [Citation analysis] | 70 |
| 2000 | The Steady Inflation Rate of Economic Growth. In: The Economic Record. [Citation analysis] | 0 |
| 2009 | Extending a SVAR Model of the Australian Economy In: The Economic Record. [Full Text][Citation analysis] | 4 |
| 2009 | Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework In: The Economic Record. [Full Text][Citation analysis] | 0 |
| 2008 | The Tsunami: Measures of Contagion in the 2007–2008 Credit Crunch In: CESifo Forum. [Full Text][Citation analysis] | 0 |
| 1999 | Decomposing exchange rate volatility around the Pacific Rim In: Journal of Asian Economics. [Full Text][Citation analysis] | 10 |
| 2004 | Identifying terms of trade effects in real exchange rate movements: evidence from Asia In: Journal of Asian Economics. [Full Text][Citation analysis] | 5 |
| 2009 | The identification of fiscal and monetary policy in a structural VAR In: Economic Modelling. [Full Text][Citation analysis] | 3 |
| 2011 | Financial integration and the construction of historical financial data for the Euro Area In: Economic Modelling. [Full Text][Citation analysis] | 0 |
| 2007 | Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | 5 |
| 2009 | Empirical evidence on jumps in the term structure of the US Treasury Market In: Journal of Empirical Finance. [Full Text][Citation analysis] | 2 |
| 2006 | Contagion in international bond markets during the Russian and the LTCM crises In: Journal of Financial Stability. [Full Text][Citation analysis] | 13 |
| 2004 | Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002 In: Global Finance Journal. [Full Text][Citation analysis] | 2 |
| 2009 | Flight-to-quality and asymmetric volatility responses in US Treasuries In: Global Finance Journal. [Full Text][Citation analysis] | 0 |
| 2010 | Unobservable shocks as carriers of contagion In: Journal of Banking & Finance. [Full Text][Citation analysis] | 7 |
| 2012 | Cojumping: Evidence from the US Treasury bond and futures markets In: Journal of Banking & Finance. [Full Text][Citation analysis] | 1 |
| 2009 | Vintage and credit rating: what matters in the ABX data during the credit crunch? In: Proceedings. [Full Text][Citation analysis] | 3 |
| 2008 | The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data In: International Journal of Finance & Economics. [Full Text][Citation analysis] | 4 |
| 2000 | A multivariate latent factor decomposition of international bond yield spreads In: Journal of Applied Econometrics. [Full Text][Citation analysis] | 46 |
| 2007 | Unravelling financial market linkages during crises In: Journal of Applied Econometrics. [Full Text][Citation analysis] | 32 |
| 2006 | A Web Of Shocks: Crises Across Asian Real Estate Markets In: The Journal of Real Estate Finance and Economics. [Full Text][Citation analysis] | 13 |
| 2008 | Monetary Policy in Illiquid Markets: Options for a Small Open Economy In: Open Economies Review. [Full Text][Citation analysis] | 1 |
| 2012 | U.S. Monetary Policy Surprises: Identification with Shifts and Rotations in the Term Structure In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | 0 |
| 2002 | International Shocks and the Role of Domestic Policy in Australia In: Australian Journal of Labour Economics (AJLE). [Citation analysis] | 2 |
| 2013 | On the correspondence between data revision and trend-cycle decomposition In: Applied Economics Letters. [Full Text][Citation analysis] | 0 |
| 2005 | Empirical modelling of contagion: a review of methodologies In: Quantitative Finance. [Full Text][Citation analysis] | 48 |
| 2006 | Correlation, Contagion, and Asian Evidence In: Asian Economic Papers. [Full Text][Citation analysis] | 13 |
| Year | Title | Cited |
|---|---|---|
| 2010 | The internationalisation of financial crises: Banking and currency crises 1883-2008 In: Research Report. [Full Text][Citation analysis] | 0 |
| 2012 | On trend-cycle decomposition and data revision In: Research Report. [Full Text][Citation analysis] | 0 |
| 2012 | Ranking Systemically Important Financial Institutions In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | 0 |
| 2012 | Ranking Systemically Important Financial Institutions In: Working Papers ECARES. [Full Text][Citation analysis] | 0 |
| 2012 | Ranking Systemically Important Financial Institutions.(2012) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | |
| 2004 | On Synchronisation of Financial Crises In: Econometric Society 2004 Australasian Meetings. [Citation analysis] | 1 |
| 2004 | Empirical Modelling of Contagion: A Review of Methodologies In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | 65 |
| 2004 | Empirical Modeling of Contagion: A Review of Methodologies.(2004) In: IMF Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 65 | |
| 2004 | Empirical Modelling of Contagion: A Review of Methodologies.(2004) In: Econometric Society 2004 Far Eastern Meetings. [Full Text][Citation analysis] This paper has another version. Agregated cites: 65 | |
| 2005 | SHOCKS AND SYSTEMIC INFLUENCES: CONTAGION IN GLOBAL EQUITY MARKETS IN 1998 In: CAMA Working Papers. [Full Text][Citation analysis] | 0 |
| 2005 | SYNCHRONISATION OF FINANCIAL CRISES In: CAMA Working Papers. [Full Text][Citation analysis] | 0 |
| 2005 | THE US TREASURY MARKET IN AUGUST 1998: UNTANGLING THE EFFECTS OG HONG KONG AND RUSSIA WITH
HIGH FREQUENCY DATA In: CAMA Working Papers. [Citation analysis] | 0 |
| 2006 | MONETARY POLICY IN ILLIQUID MARKETS: OPTIONS FOR A SMALL OPEN ECONOMY In: CAMA Working Papers. [Full Text][Citation analysis] | 0 |
| 2007 | CONSTRUCTING HISTORICAL EURO AREA DATA In: CAMA Working Papers. [Full Text][Citation analysis] | 5 |
| 2007 | Constructing Historical Euro Area Data.(2007) In: Money Macro and Finance (MMF) Research Group Conference 2006. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | |
| 2007 | EMPIRICAL EVIDENCE ON JUMPS IN THE TERM STRUCTURE OF THE US TREASURY MARKET In: CAMA Working Papers. [Full Text][Citation analysis] | 0 |
| 2007 | THE IDENTIFICATION OF FISCAL AND MONETARY POLICY IN A STRUCTURAL VAR In: CAMA Working Papers. [Full Text][Citation analysis] | 1 |
| 2008 | ARE FINANCIAL CRISES ALIKE? In: CAMA Working Papers. [Full Text][Citation analysis] | 11 |
| 2010 | Are Financial Crises Alike?.(2010) In: IMF Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | |
| 2009 | Detecting Contagion with Correlation: Volatility and Timing Matter In: CAMA Working Papers. [Full Text][Citation analysis] | 1 |
| 2010 | Detecting Contagion with Correlation: Volatility and Timing Matter.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | |
| 2009 | Modelling International Linkages for Large Open Economies: US and Euro Area In: CAMA Working Papers. [Full Text][Citation analysis] | 1 |
| 2009 | Modelling International Linkages for Large Open Economies: US and Euro Area.(2009) In: Centre for Growth and Business Cycle Research Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | |
| 2011 | A SVECM Model of the UK Economy and The Term Premium In: CAMA Working Papers. [Full Text][Citation analysis] | 0 |
| 2011 | A SVECM Model of the UK Economy and
The Term Premium.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | |
| 2011 | Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities In: CAMA Working Papers. [Full Text][Citation analysis] | 1 |
| 2011 | Systematic and liquidity risk in subprime-mortgage backed securities.(2011) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | |
| 2011 | Systematic and Liquidity Risk in Subprime-Mortgage Backed SecuritiesM.(2011) In: Economics, Finance and Accounting Department Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | |
| 2011 | Systematic and Liquidity Risk in Subprime-Mortgage
Backed Securities.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | |
| 2012 | On the correspondence between data revision and trend-cycle decomposition In: CAMA Working Papers. [Full Text][Citation analysis] | 0 |
| 2001 | Factor analysis of a model of stock market returns using simulation-based estimation techniques In: Pacific Basin Working Paper Series. [Full Text][Citation analysis] | 1 |
| 2001 | Testing for contagion using correlations: some words of caution In: Pacific Basin Working Paper Series. [Full Text][Citation analysis] | 29 |
| 1997 | Towards a Strucrural VAR Model of the Australian Economy. In: Australian National University - Department of Economics. [Citation analysis] | 0 |
| 1997 | A Multilateral Approach to Decomposing Volatility in Belateral Exchange Rates. In: Australian National University - Department of Economics. [Citation analysis] | 0 |
| 1997 | Credit Limits and Long-Term Covered Interest Arbitrage. In: Australian National University - Department of Economics. [Citation analysis] | 0 |
| 2002 | International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse In: IMF Working Papers. [Full Text][Citation analysis] | 19 |
| 2003 | Characterizing Global Investors Risk Appetite for Emerging Market Debt During Financial Crises In: IMF Working Papers. [Full Text][Citation analysis] | 4 |
| 2003 | Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998 In: IMF Working Papers. [Full Text][Citation analysis] | 1 |
| 1998 | Why Tax Foreign Exchange? Comments on a Proposed Tobin Tax In: Working Papers. [Citation analysis] | 0 |
| 1998 | Why Tax Foreign Exchange? Comments on a Proposed Tobin Tax.(1998) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 0 | |
| 1999 | Decomposing Exchange Rate Volatility Around the Pacific Rim In: Working Papers. [Citation analysis] | 10 |
| 1999 | Decomposing Exchange Rate Volatility Around the Pacific Rim.(1999) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 10 | |
| 2010 | Financial Integration and the Construction of Historical Financial Data for the Euro Area In: Centre for Growth and Business Cycle Research Discussion Paper Series. [Full Text][Citation analysis] | 1 |
| 2000 | A Multi-Country Structural VAR Model In: Departmental Working Papers. [Full Text][Citation analysis] | 2 |
| 2003 | Identification of Common and Idiosyncratic Shocks in Real Equity Prices: Australia 1982 to 2002 In: Departmental Working Papers. [Citation analysis] | 3 |
| 2008 | Extending an SVAR Model of the Australian Economy In: NCER Working Paper Series. [Full Text][Citation analysis] | 3 |
| 2008 | Unobservable Shocks as Carriers of Contagion: A
Dynamic Analysis Using Identified Structural GARCH In: NCER Working Paper Series. [Full Text][Citation analysis] | 2 |
| 2010 | Cojumping: Evidence from the US Treasury Bond and Futures Markets In: NCER Working Paper Series. [Full Text][Citation analysis] | 0 |
| 2010 | From Trade-to-Trade in US Treasuries In: Working Papers. [Full Text][Citation analysis] | 0 |
| 2010 | Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06) In: Working Papers. [Full Text][Citation analysis] | 0 |
| 2012 | Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market In: Working Papers. [Full Text][Citation analysis] | 0 |
| 2010 | Financial crises in Asia: concordance by asset market or country? In: Working Papers. [Full Text][Citation analysis] | 0 |
| 2011 | First home buyers support schemes in Australia In: Working Papers. [Full Text][Citation analysis] | 0 |
| 2012 | Endogenous crisis dating and contagion using smooth transition structural GARCH In: Working Papers. [Full Text][Citation analysis] | 1 |
| 2012 | Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH.(2012) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 |
| Year | Title | Cited |
|---|---|---|
| 2011 | Transmission of Financial Crises and Contagion: A Latent Factor Approach In: OUP Catalogue. [Citation analysis] | 7 |
| Year | Title | Cited |
|---|---|---|
| 2010 | Discussion of The Economic Consequences of Oil Shocks: Differences across Countries and Time In: RBA Annual Conference Volume. [Full Text][Citation analysis] | 0 |