19
H index
29
i10 index
1383
Citations
Mardi Dungey : Citation Profile
| RESEARCH PRODUCTION: 71 Articles 96 Papers 1 Books 4 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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28 years (1990 - 2018). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Mardi Dungey. | Is cited by:
| Cites to:
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Main data
Where Mardi Dungey has published?
Recent works citing Mardi Dungey (2019 and 2018)
| Year | Title of citing document | |
|---|---|---|
| 2018 | The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38. Full description at Econpapers || Download paper | |
| 2018 | Climate and Off-farm Labor Supply of Agricultural Households: Evidence from Rural Vietnam. (2018). Chen, Xuan ; Vuong, Nguyen. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274187. Full description at Econpapers || Download paper | |
| 2018 | Cryptocurrency. (2018). Milutinovic, Monia. In: Ekonomika, Journal for Economic Theory and Practice and Social Issues. RePEc:ags:sereko:290219. Full description at Econpapers || Download paper | |
| 2018 | Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes. (2018). Goswami, Anindya ; Das, Milan Kumar ; Rana, Nimit . In: Papers. RePEc:arx:papers:1603.09149. Full description at Econpapers || Download paper | |
| 2017 | Relation between regional uncertainty spillovers in the global banking system. (2017). Tungsong, Sachapon ; Aste, Tomaso ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.05944. Full description at Econpapers || Download paper | |
| 2018 | Determining the dimension of factor structures in non-stationary large datasets. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1806.03647. Full description at Econpapers || Download paper | |
| 2019 | Co-jumping of Treasury Yield Curve Rates. (2019). BarunÃk, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541. Full description at Econpapers || Download paper | |
| 2018 | Liquidity Pricing of Illiquid Assets. (2018). Marcato, Gianluca. In: ERES. RePEc:arz:wpaper:eres2018_215. Full description at Econpapers || Download paper | |
| 2017 | Asymmetric Effects on Financial Cycles in a Monetary Union with Diverging Country Preferences for Variable- and Fixed-Rate Mortgages. (2017). Richter, Michael. In: Review of Economics & Finance. RePEc:bap:journl:170102. Full description at Econpapers || Download paper | |
| 2018 | State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14. Full description at Econpapers || Download paper | |
| 2017 | Macroeconomic surveillance of portfolio flows and its real effects: Malaysias experience. (2017). Hwa, Tng Boon ; Huey, Teh Tian ; Raghavan, Mala. In: IFC Bulletins chapters. RePEc:bis:bisifc:43-25. Full description at Econpapers || Download paper | |
| 2018 | Measuring the dynamics of APEC output connectedness. (2018). Ogbuabor, Jonathan E ; Charles, Manasseh O ; Aneke, Gladys C ; Eigbiremolen, Godastime O. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:32:y:2018:i:1:p:29-44. Full description at Econpapers || Download paper | |
| 2017 | Volatile Capital Flows and Macroeconomic Performance in Indonesia: An SVAR Analysis. (2017). Leu, Shawn ; jayasuriya, sisira. In: Economic Papers. RePEc:bla:econpa:v:36:y:2017:i:2:p:135-155. Full description at Econpapers || Download paper | |
| 2017 | Surfing through the GFC: Systemic Risk in Australia. (2017). Luciani, Matteo ; Veredas, David ; Matei, Marius ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:300:p:1-19. Full description at Econpapers || Download paper | |
| 2017 | Identification of Small Open Economy SVARs via Markov-Switching Heteroskedasticity. (2017). Turnip, Guido. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:302:p:465-483. Full description at Econpapers || Download paper | |
| 2018 | Oil and Iron Ore Price Shocks: What Are the Different Economic Effects in Australia?. (2018). Hoang, Nam T ; Nguyen, Bao H. In: The Economic Record. RePEc:bla:ecorec:v:94:y:2018:i:305:p:186-203. Full description at Econpapers || Download paper | |
| 2017 | Extreme Returns in the European financial crisis. (2017). Chouliaras, Andreas ; Grammatikos, Theoharry. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:4:p:728-760. Full description at Econpapers || Download paper | |
| 2018 | The contagion versus interdependence controversy between hedge funds and equity markets. (2018). Kim, Taeyoon ; Lee, Hee Soo. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:3:p:309-330. Full description at Econpapers || Download paper | |
| 2018 | Hedge Fund Styles and their Contagion from the Equity Market. (2018). Kim, Tae Yoon ; Lee, Hee Soo. In: International Review of Finance. RePEc:bla:irvfin:v:18:y:2018:i:1:p:91-112. Full description at Econpapers || Download paper | |
| 2017 | On the Identification of Interdependence and Contagion of Financial Crises. (2017). Bacchiocchi, Emanuele. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:6:p:1148-1175. Full description at Econpapers || Download paper | |
| 2018 | Shock contagion, asset quality and lending behavior. (2018). Talavera, Oleksandr ; Pham, Tho ; Tsapin, Andriy . In: BOFIT Discussion Papers. RePEc:bof:bofitp:2018_021. Full description at Econpapers || Download paper | |
| 2019 | Should we care? : The economic effects of financial sanctions on the Russian economy. (2019). Mamonov, Mikhail ; Pestova, Anna. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2019_013. Full description at Econpapers || Download paper | |
| 2017 | A ternary-state early warning system for the European Union. (2017). Papadopoulos, Savas ; Baranoff, Etti ; Sager, Thomas ; Stavroulias, Pantelis . In: Working Papers. RePEc:bog:wpaper:222. Full description at Econpapers || Download paper | |
| 2018 | CONTAGION AND CORRELATION IN EMPIRICAL MODELS OF BANK CREDIT RISK IN ISRAEL. (2018). Beenstock, Michael ; Khatib, Mahmood. In: Israel Economic Review. RePEc:boi:isrerv:v:15:y:2018:i:1:p:1-34. Full description at Econpapers || Download paper | |
| 2019 | A regime switching skew-normal model of contagion. (2019). Fry-McKibbin, Renee ; Chan, Joshua ; Yu-Ling, Hsiao Cody ; Renee, Fry-Mckibbin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:24:n:3. Full description at Econpapers || Download paper | |
| 2019 | Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach. (2019). GUPTA, RANGAN ; Caporin, Massimiliano ; Ravazzolo, Francesco. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps61. Full description at Econpapers || Download paper | |
| 2018 | TOO BIG TO FAIL BANKS IN THE AGE OF GLOBALIZATION. (2018). Catalin, Gradinaru ; Sorin-George, Toma. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2018:v:special:p:131-136. Full description at Econpapers || Download paper | |
| 2019 | Mildly Explosive Dynamics in U.S. Fixed Income Markets. (2019). Guidolin, Massimo ; De Pace, Pierangelo ; Contessi, Silvio ; DePace, Pierangelo. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1001. Full description at Econpapers || Download paper | |
| 2018 | Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803. Full description at Econpapers || Download paper | |
| 2018 | Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824. Full description at Econpapers || Download paper | |
| 2017 | Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks. (2000). Georgiadis, Georgios ; Jancokova, Martina. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2017_008. Full description at Econpapers || Download paper | |
| 2018 | Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions. (2018). Geraci, Marco Valerio ; Gnabo, Jean-Yves. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:53:y:2018:i:03:p:1371-1390_00. Full description at Econpapers || Download paper | |
| 2018 | Transmission of Shock across International Stock Markets: An Econometric Analysis. (2018). Talwar, Shalini ; Pansare, Jayant . In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2018:i:1:p:110-119. Full description at Econpapers || Download paper | |
| 2017 | Financial globalisation, monetary policy spillovers and macro-modelling: tales from 1001 shocks. (2017). Georgiadis, Georgios ; Janokova, Martina . In: Working Paper Series. RePEc:ecb:ecbwps:20172082. Full description at Econpapers || Download paper | |
| 2017 | Oil and stock markets before and after financial crises : a local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2016-11. Full description at Econpapers || Download paper | |
| 2017 | Monetary policy transmission in Bangladesh: Exploring the lending channel. (2017). Afrin, Sadia. In: Journal of Asian Economics. RePEc:eee:asieco:v:49:y:2017:i:c:p:60-80. Full description at Econpapers || Download paper | |
| 2018 | Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2018). Chowdhury, Biplob ; Dungey, Mardi ; JEYASREEDHARAN, NAGARATNAM . In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:29-47. Full description at Econpapers || Download paper | |
| 2019 | Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22. Full description at Econpapers || Download paper | |
| 2017 | Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises. (2017). Leung, Henry ; Schroeder, Florian ; Schiereck, Dirk. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:169-180. Full description at Econpapers || Download paper | |
| 2017 | Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. (2017). Sinha Roy, Saikat ; Sinharoy, Saikat. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:368-380. Full description at Econpapers || Download paper | |
| 2018 | Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes. (2018). Alexakis, Christos ; Pappas, Vasileios. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:222-239. Full description at Econpapers || Download paper | |
| 2018 | Chinas increasing global influence: Changes in international growth linkages. (2018). Bataa, Erdenebat ; Sensier, Marianne ; Osborn, Denise R. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:194-206. Full description at Econpapers || Download paper | |
| 2019 | On the reduced macroeconomic volatility of the Australian economy: Good policy or good luck?. (2019). Cross, Jamie. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:174-186. Full description at Econpapers || Download paper | |
| 2019 | Analysis of shock transmissions to a small open emerging economy using a SVARMA model. (2019). Raghavan, Mala ; Athanasopoulos, George. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:187-203. Full description at Econpapers || Download paper | |
| 2019 | Monetary and fiscal policy transmission in Poland. (2019). Sznajderska, Anna ; Haug, Alfred ; Jdrzejowicz, Tomasz . In: Economic Modelling. RePEc:eee:ecmode:v:79:y:2019:i:c:p:15-27. Full description at Econpapers || Download paper | |
| 2019 | Economic policy uncertainty in the US and China and their impact on the global markets. (2019). Zhang, Dayong ; Ji, Qiang ; Lei, Lei ; Kutan, Ali M. In: Economic Modelling. RePEc:eee:ecmode:v:79:y:2019:i:c:p:47-56. Full description at Econpapers || Download paper | |
| 2017 | Herding behavior, market sentiment and volatility: Will the bubble resume?. (2017). Uddin, Gazi ; naoui, kamel ; Bekiros, Stelios ; Lucey, Brian ; Jlassi, Mouna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:107-131. Full description at Econpapers || Download paper | |
| 2017 | The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises. (2017). GUPTA, RANGAN ; Cakan, Esin ; Marfatia, Hardik A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:640-653. Full description at Econpapers || Download paper | |
| 2018 | Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201. Full description at Econpapers || Download paper | |
| 2018 | Regional or global shock? A global VAR analysis of Asian economic and financial integration. (2018). Li, Sheue ; Sato, Kiyotaka . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:232-248. Full description at Econpapers || Download paper | |
| 2019 | Financial contagion in the subprime crisis context: A copula approach. (2019). Zaabi, Elmoez ; Lakhal, Faten ; Zorgati, Imen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:269-282. Full description at Econpapers || Download paper | |
| 2017 | Informativeness of trade size in foreign exchange markets. (2017). Gradojevic, Nikola ; Erdemlioglu, Deniz ; Genay, Ramazan. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:27-33. Full description at Econpapers || Download paper | |
| 2018 | FDA approval announcements: Attention-grabbing or event-day misspecification?. (2018). Hamill, Philip A ; Mulcahy, Mark ; Nhi, Quang Minh ; Hutchinson, Mark. In: Economics Letters. RePEc:eee:ecolet:v:170:y:2018:i:c:p:171-174. Full description at Econpapers || Download paper | |
| 2018 | Testing for self-excitation in jumps. (2018). Boswijk, H. Peter ; Yang, Xiye. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:256-266. Full description at Econpapers || Download paper | |
| 2018 | A spectral EM algorithm for dynamic factor models. (2018). Sentana, Enrique ; Galesi, Alessandro ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:249-279. Full description at Econpapers || Download paper | |
| 2019 | Tail event driven networks of SIFIs. (2019). Chen, Cathy Yi-Hsuan ; Okhrin, Yarema ; Hardle, Wolfgang Karl. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:282-298. Full description at Econpapers || Download paper | |
| 2018 | Immunity and infection: Emerging and developed market sovereign spreads over the Global Financial Crisis. (2018). Wu, Eliza ; Thorp, Susan ; Cayon, Edgardo. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:162-174. Full description at Econpapers || Download paper | |
| 2019 | Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions. (2019). Zhu, Xiaoqian ; Li, Jianping ; Yao, Yanzhen . In: Emerging Markets Review. RePEc:eee:ememar:v:40:y:2019:i:c:2. Full description at Econpapers || Download paper | |
| 2017 | International stock market comovement in time and scale outlined with a thick pen. (2017). Jach, Agnieszka. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:115-129. Full description at Econpapers || Download paper | |
| 2017 | Systematic cojumps, market component portfolios and scheduled macroeconomic announcements. (2017). Neely, Christopher ; Bowman, Robert G ; Chan, Kam Fong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:43-58. Full description at Econpapers || Download paper | |
| 2017 | Profitability of insider trading in Europe: A performance evaluation approach. (2017). Korczak, Adriana ; Gebka, Bartosz ; Traczykowski, Jdrzej ; Gbka, Bartosz . In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:66-90. Full description at Econpapers || Download paper | |
| 2017 | Diversifying away the risk of war and cross-border political crisis. (2017). , Ayman ; Nolte, Sandra ; Wisniewski, Tomasz Piotr . In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:494-510. Full description at Econpapers || Download paper | |
| 2019 | Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests. (2019). Tiwari, Aviral ; Hammoudeh, Shawkat ; Jena, Sangram Keshari ; Roubaud, David. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:615-628. Full description at Econpapers || Download paper | |
| 2017 | Intra- and inter-regional portfolio diversification strategies under regional market integration: Evidence from U.S. global banks. (2017). Lee, Eun-Joo . In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:1-22. Full description at Econpapers || Download paper | |
| 2018 | Risk perception in financial markets: On the flip side. (2018). naoui, kamel ; Bekiros, Stelios ; Uddin, Gazi Salah ; Jlassi, Mouna. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:184-206. Full description at Econpapers || Download paper | |
| 2018 | Using multiple correspondence analysis for finance: A tool for assessing financial inclusion. (2018). Doko Tchatoka, Firmin ; Yanotti, Maria B ; Dungey, Mardi. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:212-222. Full description at Econpapers || Download paper | |
| 2019 | A systematic review of sovereign connectedness on emerging economies. (2019). Gonzalez-Urteaga, Ana ; Diaz-Mendoza, Ana Carmen ; Ballester, Laura. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:157-163. Full description at Econpapers || Download paper | |
| 2019 | Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach. (2019). Kumar, Satish ; Tiwari, Aviral Kumar ; Ji, Qiang ; Chauhan, Yogesh. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:273-284. Full description at Econpapers || Download paper | |
| 2019 | The changing network of financial market linkages: The Asian experience. (2019). Sayeed, Mohammad Abu ; Kangogo, Moses ; Dungey, Mardi ; Chowdhury, Biplob ; Volkov, Vladimir. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:71-92. Full description at Econpapers || Download paper | |
| 2018 | Causality in the EMU sovereign bond markets. (2018). Gonzalez-Sanchez, Mariano. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:281-290. Full description at Econpapers || Download paper | |
| 2019 | Day-of-the-week effects in financial contagion. (2019). Gebka, Bartosz ; Anderson, Robert ; Sewraj, Deeya. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:221-226. Full description at Econpapers || Download paper | |
| 2018 | The microstructure of a U.S. Treasury ECN: The BrokerTec platform. (2018). Fleming, Michael ; Nguyen, Giang ; Mizrach, Bruce. In: Journal of Financial Markets. RePEc:eee:finmar:v:40:y:2018:i:c:p:2-22. Full description at Econpapers || Download paper | |
| 2017 | Time varying contagion in EMU government bond spreads. (2017). Leschinski, Christian ; Bertram, Philip . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:72-91. Full description at Econpapers || Download paper | |
| 2017 | International stock market leadership and its determinants. (2017). Cai, Charlie X ; Zhang, QI ; Mobarek, Asma. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:150-162. Full description at Econpapers || Download paper | |
| 2018 | Measuring sovereign contagion in Europe. (2018). Pelizzon, Loriana ; Caporin, Massimiliano ; Rigobon, Roberto ; Ravazzolo, Francesco. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:150-181. Full description at Econpapers || Download paper | |
| 2018 | How sensitive is corporate debt to swings in commodity prices?. (2018). Donders, Pablo ; Wagner, Rodrigo ; Jara, Mauricio. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:237-258. Full description at Econpapers || Download paper | |
| 2017 | Time-varying conditional discrete jumps in emerging African equity markets. (2017). Kuttu, Saint. In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:35-54. Full description at Econpapers || Download paper | |
| 2018 | Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?. (2018). Aristeidis, Samitas ; Elias, Kampouris. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:263-286. Full description at Econpapers || Download paper | |
| 2018 | Identifying contagion: A unifying approach. (2018). Gebka, Bartosz ; Robert, ; Sewraj, Deeya. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:224-240. Full description at Econpapers || Download paper | |
| 2018 | Financial market spillovers during the quantitative easing programmes of the global financial crisis (2007–2009) and the European debt crisis. (2018). Corbet, Shaen ; Larkin, Charles ; Meegan, Andrew. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:128-148. Full description at Econpapers || Download paper | |
| 2018 | Forecasting banking crises with dynamic panel probit models. (2018). Rodrigues, Paulo ; Bonfim, Diana ; Antunes, António ; Monteiro, Nuno . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:249-275. Full description at Econpapers || Download paper | |
| 2019 | Macroeconomic forecasting for Australia using a large number of predictors. (2019). Hyndman, Rob ; Jiang, Bin ; Athanasopoulos, George ; Panagiotelis, Anastasios ; Vahid, Farshid. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:616-633. Full description at Econpapers || Download paper | |
| 2018 | Jumps, cojumps, and efficiency in the spot foreign exchange market. (2018). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:49-67. Full description at Econpapers || Download paper | |
| 2018 | Asset market responses to conventional and unconventional monetary policy shocks in the United States. (2018). Krippner, Leo ; Claus, Edda. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:270-282. Full description at Econpapers || Download paper | |
| 2019 | “Too central to fail” systemic risk measure using PageRank algorithm. (2019). Jeong, Deokjong ; Yun, Tae-Sub ; Park, Sunyoung. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:162:y:2019:i:c:p:251-272. Full description at Econpapers || Download paper | |
| 2017 | Transmission of financial stress in Europe: The pivotal role of Italy and Spain, but not Greece. (2017). Johnson, Christian ; Gonzalez-Hermosillo, Brenda . In: Journal of Economics and Business. RePEc:eee:jebusi:v:90:y:2017:i:c:p:49-64. Full description at Econpapers || Download paper | |
| 2017 | A tale of two tails: Explaining extreme events in financialized agricultural markets. (2017). Algieri, Bernardina ; Koch, Nicolas ; Kalkuhl, Matthias. In: Food Policy. RePEc:eee:jfpoli:v:69:y:2017:i:c:p:256-269. Full description at Econpapers || Download paper | |
| 2017 | Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme. (2017). Beetsma, Roel ; Widijanto, Daniel ; Giuliodori, Massimo ; de Jong, Frank. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:75:y:2017:i:c:p:14-31. Full description at Econpapers || Download paper | |
| 2018 | Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Truck, Stefan ; Wellmann, Dennis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75. Full description at Econpapers || Download paper | |
| 2019 | International tail risk and World Fear. (2019). Prokopczuk, Marcel ; Benno, Duc Binh ; Hollstein, Fabian ; Simen, Chardin Wese. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:244-259. Full description at Econpapers || Download paper | |
| 2019 | On the global financial market integration “swoosh” and the trilemma. (2019). Mehl, Arnaud ; Bekaert, Geert. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:94:y:2019:i:c:p:227-245. Full description at Econpapers || Download paper | |
| 2018 | Australia saved from the financial crisis by policy or by exports?. (2018). Groenewold, Nicolaas. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:40:y:2018:i:1:p:118-135. Full description at Econpapers || Download paper | |
| 2017 | Currency price risk and stock market returns in Africa: Dependence and downside spillover effects with stochastic copulas. (2017). ALAGIDEDE, PAUL ; Boako, Gideon. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:41:y:2017:i:c:p:92-114. Full description at Econpapers || Download paper | |
| 2017 | Bubbles in the Australian housing market. (2017). Baur, Dirk G ; Heaney, Richard. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:44:y:2017:i:c:p:113-126. Full description at Econpapers || Download paper | |
| 2017 | News sentiment and jumps in energy spot and futures markets. (2017). Dokumentov, Alexander ; Rotaru, Kristian ; Maslyuk-Escobedo, Svetlana. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:186-210. Full description at Econpapers || Download paper | |
| 2018 | The relationship between CSR and performance: Evidence in China. (2018). Kao, Erin H ; Fung, Hung-Gay ; Wang, Li-Hsun ; Yeh, Chih-Chuan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:155-170. Full description at Econpapers || Download paper | |
| 2017 | Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events?. (2017). Henry, Darren ; Bhatti, Ishaq M ; Nguyen, Cuong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:480:y:2017:i:c:p:10-21. Full description at Econpapers || Download paper | |
| 2018 | Effective network inference through multivariate information transfer estimation. (2018). Gnabo, Jean-Yves ; Dahlqvist, Carl-Henrik. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:376-394. Full description at Econpapers || Download paper | |
| 2018 | A multiscale analysis of stock return co-movements and spillovers: Evidence from Pacific developed markets. (2018). Das, Debojyoti ; Jana, R K ; Bhowmik, Puja. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:379-393. Full description at Econpapers || Download paper | |
| 2019 | The systemic risk of China’s stock market during the crashes in 2008 and 2015. (2019). Zhang, Junhuan ; Chen, Xinyi ; Zhao, Shangmei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:520:y:2019:i:c:p:161-177. Full description at Econpapers || Download paper | |
| 2018 | Quantile dependence between the stock, bond and foreign exchange markets – Evidence from the UK. (2018). Raza, Hamid ; Wu, Weiou. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:286-296. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Mardi Dungey has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Mardi Dungey:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1998 | Prospects for Output and Employment Growth with Steady Inflation In: CEPR Discussion Papers. [Citation analysis] | paper | 4 |
| 1998 | Prospects for Output and Employment Growth with Steady Inflation.(1998) In: RBA Annual Conference Volume (Discontinued). [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | chapter | |
| 1999 | The Steady Inflation Rate of Economic Growth In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2000 | The Steady Inflation Rate of Economic Growth..(2000) In: The Economic Record. [Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2001 | A Perspective on Modelling the Real Trade Weighted Index Since the Float In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2001 | An Empirical Analysis of the Effect of Growth on Inflation, Australia, Canada and the United States In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2001 | International Shocks and the Role of Domestic Policy in Australia In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2002 | International Shocks and the Role of Domestic Policy in Australia.(2002) In: Australian Journal of Labour Economics (AJLE). [Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2016 | Comments on Monetary independence in a financially integrated world: what do measures of interest rate co-movement tell us? In: BIS Papers chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2003 | A Perspective on Modelling the Australian Real Trade Weighted Index since the Float In: Australian Economic Papers. [Full Text][Citation analysis] | article | 5 |
| 2003 | International Shocks on Australia – The Japanese Effect In: Australian Economic Papers. [Full Text][Citation analysis] | article | 5 |
| 2004 | CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION In: Australian Economic Papers. [Full Text][Citation analysis] | article | 21 |
| 2000 | Dating Changes in Monetary Policy in Australia In: Australian Economic Review. [Full Text][Citation analysis] | article | 2 |
| 2004 | Potential Growth and Inflation: Estimates for Australia, the United States and Canada In: Australian Economic Review. [Full Text][Citation analysis] | article | 1 |
| 2011 | First Home Buyers’ Support Schemes in Australia In: Australian Economic Review. [Full Text][Citation analysis] | article | 2 |
| 2011 | First home buyers support schemes in Australia.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 1998 | WHY TAX FOREIGN EXCHANGE? COMMENTS ON A PROPOSED TOBIN TAX In: Economic Papers. [Full Text][Citation analysis] | article | 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 | paper | |
| 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 | paper | |
| 2000 | A Structural VAR Model of the Australian Economy. In: The Economic Record. [Citation analysis] | article | 110 |
| 2009 | Extending a SVAR Model of the Australian Economy In: The Economic Record. [Full Text][Citation analysis] | article | 21 |
| 2008 | Extending an SVAR Model of the Australian Economy.(2008) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
| 2009 | Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework In: The Economic Record. [Full Text][Citation analysis] | article | 0 |
| 2014 | International Transmissions to Australia: The Roles of the USA and Euro Area In: The Economic Record. [Full Text][Citation analysis] | article | 6 |
| 2013 | International Transmissions to Australia: The Roles of the US and Euro Area.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2015 | Mortgage Choice Determinants: The Role of Risk and Bank Regulation In: The Economic Record. [Full Text][Citation analysis] | article | 2 |
| 2014 | Mortgage Choice Determinants: the Role of Risk and Bank Regulation.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2017 | Surfing through the GFC: Systemic Risk in Australia In: The Economic Record. [Full Text][Citation analysis] | article | 2 |
| 2015 | Surfing through the GFC: systemic risk in Australia.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2017 | Strategic Bidding of Electric Power Generating Companies: Evidence from the Australian National Energy Market In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2008 | The Tsunami: Measures of Contagion in the 2007–2008 Credit Crunch In: CESifo Forum. [Full Text][Citation analysis] | article | 3 |
| 2013 | Trend-Cycle Decomposition: Implications from an Exact Structural Identification In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Trend-cycle decomposition: implications from an exact structural identification.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2015 | TREND IN CYCLE OR CYCLE IN TREND? NEW STRUCTURAL IDENTIFICATIONS FOR UNOBSERVED-COMPONENTS MODELS OF U.S. REAL GDP In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 5 |
| 2004 | On Synchronisation of Financial Crises In: Econometric Society 2004 Australasian Meetings. [Citation analysis] | paper | 0 |
| 2004 | Empirical Modelling of Contagion: A Review of Methodologies In: Econometric Society 2004 Australasian Meetings. [Full Text][Citation analysis] | paper | 279 |
| 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: 279 | paper | |
| 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: 279 | paper | |
| 2005 | Empirical modelling of contagion: a review of methodologies.(2005) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 279 | article | |
| 1999 | Decomposing exchange rate volatility around the Pacific Rim In: Journal of Asian Economics. [Full Text][Citation analysis] | article | 11 |
| 1999 | Decomposing Exchange Rate Volatility Around the Pacific Rim.(1999) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 1999 | Decomposing Exchange Rate Volatility Around the Pacific Rim.(1999) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2004 | Identifying terms of trade effects in real exchange rate movements: evidence from Asia In: Journal of Asian Economics. [Full Text][Citation analysis] | article | 9 |
| 2015 | The influences of international output shocks from the US and China on ASEAN economies In: Journal of Asian Economics. [Full Text][Citation analysis] | article | 3 |
| 2018 | Quantile relationships between standard, diffusion and jump betas across Japanese banks In: Journal of Asian Economics. [Full Text][Citation analysis] | article | 0 |
| 2017 | Quantile relationships between standard, diffusion and jump betas across Japanese banks.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2009 | The identification of fiscal and monetary policy in a structural VAR In: Economic Modelling. [Full Text][Citation analysis] | article | 47 |
| 2007 | THE IDENTIFICATION OF FISCAL AND MONETARY POLICY IN A STRUCTURAL VAR.(2007) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
| 2011 | Financial integration and the construction of historical financial data for the Euro Area In: Economic Modelling. [Full Text][Citation analysis] | article | 7 |
| 2010 | Financial Integration and the Construction of Historical Financial Data for the Euro Area.(2010) In: Centre for Growth and Business Cycle Research Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2018 | Systemic risk in the US: Interconnectedness as a circuit breaker In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
| 2018 | International trade and the transmission of shocks: The case of ASEAN-4 and NIE-4 economies In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
| 2018 | Endogeneity in household mortgage choice In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
| 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] | article | 20 |
| 2013 | The cross market effects of short sale restrictions In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2015 | The internationalisation of financial crises: Banking and currency crises 1883–2008 In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 4 |
| 2014 | A semiparametric conditional duration model In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2014 | A Semiparametric Conditional Duration Model.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2017 | R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2018 | Testing for mutually exciting jumps and financial flights in high frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2014 | Equity market contagion during the global financial crisis: Evidence from the worlds eight largest economies In: Economic Systems. [Full Text][Citation analysis] | article | 28 |
| 2013 | Equity Market Contagion during the Global Financial Crisis: Evidence from the World’s Eight Largest Economies.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
| 2009 | Empirical evidence on jumps in the term structure of the US Treasury Market In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 27 |
| 2007 | EMPIRICAL EVIDENCE ON JUMPS IN THE TERM STRUCTURE OF THE US TREASURY MARKET.(2007) In: CAMA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
| 2017 | Time-varying continuous and jump betas: The role of firm characteristics and periods of stress In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 4 |
| 2018 | Using multiple correspondence analysis for finance: A tool for assessing financial inclusion In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 0 |
| 2006 | Contagion in international bond markets during the Russian and the LTCM crises In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 53 |
| 2004 | Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002 In: Global Finance Journal. [Full Text][Citation analysis] | article | 2 |
| 2009 | Flight-to-quality and asymmetric volatility responses in US Treasuries In: Global Finance Journal. [Full Text][Citation analysis] | article | 3 |
| 2010 | Unobservable shocks as carriers of contagion In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 31 |
| 2012 | Cojumping: Evidence from the US Treasury bond and futures markets In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 30 |
| 2010 | Cojumping: Evidence from the US Treasury Bond and Futures Markets.(2010) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
| 2015 | Endogenous crisis dating and contagion using smooth transition structural GARCH In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 27 |
| 2012 | Endogenous crisis dating and contagion using smooth transition structural GARCH.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
| 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: 27 | paper | |
| 2015 | Contagion and banking crisis – International evidence for 2007–2009 In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 18 |
| 2014 | Contagion and banking crisis — internatonal evidence for 2007-2009.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2016 | Can monetary policy surprises affect the term structure? In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 6 |
| 2009 | More Confusion in Contagion Tests: the Effects of a Crisis Sourced in US Credit Markets In: The Journal of Economic Asymmetries. [Full Text][Citation analysis] | article | 1 |
| 2004 | A web of shocks: Crises across Asian real estate market In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 33 |
| 2006 | A Web Of Shocks: Crises Across Asian Real Estate Markets.(2006) In: The Journal of Real Estate Finance and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | article | |
| 2005 | SHOCKS AND SYSTEMIC INFLUENCES: CONTAGION IN GLOBAL EQUITY MARKETS IN 1998 In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2005 | CONSTRUCTING A 2001 SOCIAL ACCOUNTING MATRIX OF TAJIKISTAN In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2005 | THE US TREASURY MARKET IN AUGUST 1998: UNTANGLING THE EFFECTS OG HONG KONG AND RUSSIA WITH HIGH FREQUENCY DATA In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data.(2008) In: International Journal of Finance & Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2005 | RAMSEY FISCAL AND MONETARY POLICY UNDER STICKY PRICES AND LIQUID BONDS In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | MONETARY POLICY IN ILLIQUID MARKETS: OPTIONS FOR A SMALL OPEN ECONOMY In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2008 | Monetary Policy in Illiquid Markets: Options for a Small Open Economy.(2008) In: Open Economies Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2007 | CONSTRUCTING HISTORICAL EURO AREA DATA In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 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: 11 | paper | |
| 2008 | ARE FINANCIAL CRISES ALIKE? In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 54 |
| 2010 | Are Financial Crises Alike?.(2010) In: IMF Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
| 2009 | Detecting Contagion with Correlation: Volatility and Timing Matter In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2010 | Detecting Contagion with Correlation: Volatility and Timing Matter.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2009 | Modelling International Linkages for Large Open Economies: US and Euro Area In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 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: 0 | paper | |
| 2011 | A SVECM Model of the UK Economy and The Term Premium In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 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: 1 | paper | |
| 2011 | Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2011 | Systematic and liquidity risk in subprime-mortgage backed securities.(2011) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2013 | Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities.(2013) In: Open Economies Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 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: 6 | paper | |
| 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: 6 | paper | |
| 2012 | On the correspondence between data revision and trend-cycle decomposition In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2013 | On the correspondence between data revision and trend-cycle decomposition.(2013) In: Applied Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2012 | On the correspondence between data revision and trend-cycle decomposition.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2012 | Ranking Systemically Important Financial Institutions In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2012 | Ranking systemically important financial institutions.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2012 | Ranking Systemically Important Financial Institutions.(2012) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2013 | Chinese Resource Demand and the Natural Resource Supplier In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2014 | Chinese resource demand and the natural resource supplier.(2014) In: Applied Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
| 2013 | Chinese resource demand and the natural resource supplier.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2015 | Can monetary policy surprise the market? In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Can monetary policy surprise the market?.(2015) In: LCERPA Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2017 | Signed spillover effects building on historical decompositions In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Signed spillover effects building on historical decompositions.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2017 | Recovery from Dutch Disease In: CAMA Working Papers. [Full Text][Citation analysis] | paper | 2 |
| In: . [Full Text][Citation analysis] | paper | 0 | |
| 2018 | The changing network of financial market linkages: the Asian experience.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 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] | paper | 1 |
| 2001 | Testing for contagion using correlations: some words of caution In: Pacific Basin Working Paper Series. [Full Text][Citation analysis] | paper | 60 |
| 2009 | Vintage and credit rating: what matters in the ABX data during the credit crunch? In: Proceedings. [Full Text][Citation analysis] | article | 3 |
| 1997 | Towards a Strucrural VAR Model of the Australian Economy. In: Australian National University - Department of Economics. [Citation analysis] | paper | 0 |
| 1997 | A Multilateral Approach to Decomposing Volatility in Belateral Exchange Rates. In: Australian National University - Department of Economics. [Citation analysis] | paper | 0 |
| 1997 | Credit Limits and Long-Term Covered Interest Arbitrage. In: Australian National University - Department of Economics. [Citation analysis] | paper | 0 |
| 2016 | Continuous and Jump Betas: Implications for Portfolio Diversification In: Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2019 | Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors In: Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2010 | The internationalisation of financial crises In: Research Report. [Full Text][Citation analysis] | paper | 0 |
| 2012 | On trend-cycle decomposition and data revision In: Research Report. [Full Text][Citation analysis] | paper | 0 |
| 2002 | International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse In: IMF Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 2003 | Characterizing Global Investors Risk Appetite for Emerging Market Debt During Financial Crises In: IMF Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2003 | Unanticipated Shocks and Systemic Influences; The Impact of Contagion in Global Equity Markets in 1998 In: IMF Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2000 | A multivariate latent factor decomposition of international bond yield spreads In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 75 |
| 2007 | Unravelling financial market linkages during crises In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 100 |
| 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] | article | 15 |
| 2011 | Transmission of Financial Crises and Contagion: A Latent Factor Approach In: OUP Catalogue. [Citation analysis] | book | 14 |
| 2000 | A Multi-Country Structural VAR Model In: Departmental Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2003 | Identification of Common and Idiosyncratic Shocks in Real Equity Prices: Australia 1982 to 2002 In: Departmental Working Papers. [Citation analysis] | paper | 2 |
| 2016 | Impacts of Economic Integration on Living Standards and Poverty Reduction of Rural Households In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH In: NCER Working Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2005 | Discussion of Assessing the Sources of Changes in the Volatility of Real Growth In: RBA Annual Conference Volume (Discontinued). [Full Text][Citation analysis] | chapter | 0 |
| 2010 | Discussion of The Economic Consequences of Oil Shocks: Differences across Countries and Time In: RBA Annual Conference Volume (Discontinued). [Full Text][Citation analysis] | chapter | 0 |
| 1990 | Volatility of the Australian Dollar Exchange Rate In: RBA Research Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion? In: Australian Journal of Management. [Full Text][Citation analysis] | article | 20 |
| 2018 | High-frequency Characterisation of Indian Banking Stocks In: Journal of Emerging Market Finance. [Full Text][Citation analysis] | article | 0 |
| 2015 | High frequency characterization of Indian banking stocks.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2004 | A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis In: Journal of Emerging Market Finance. [Full Text][Citation analysis] | article | 15 |
| 2014 | The impact of natural disasters on household income, expenditure, poverty and inequality: evidence from Vietnam In: Applied Economics. [Full Text][Citation analysis] | article | 15 |
| 2015 | Should ASEAN-5 monetary policy-makers act pre-emptively against stock market bubbles? In: Applied Economics. [Full Text][Citation analysis] | article | 7 |
| 2014 | Should ASEAN-5 Monetary Policymakers Act Pre-emptively Against Stock Market Bubbles?.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2017 | Forecasting output gaps in the G-7 countries: the role of correlated innovations and structural breaks In: Applied Economics. [Full Text][Citation analysis] | article | 0 |
| 2016 | Forecasting output gaps in the G-7 countries: The role of correlated Innovations and structural breaks.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2017 | Exchange rate risk exposure and the value of European firms In: The European Journal of Finance. [Full Text][Citation analysis] | article | 3 |
| 2013 | Modeling trade duration in U.S. Treasury markets In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
| 2015 | Equity portfolio diversification with high frequency data In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2013 | Equity portfolio diversification with high frequency data.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2010 | From Trade-to-Trade in US Treasuries In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06) In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Financial crises in Asia: concordance by asset market or country? In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2013 | The impact of jumps and thin trading on realized hedge ratios In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | VAR modelling in the presence of China’s rise : an application to the Taiwanese economy In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | The impact of post-IPO changes in corporate governance mechanisms on firm performance: evidence from young Australian firms In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | The changing international network of sovereign debt and financial institutions In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Who, What, Where? Residential Property Investment in Australia In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Correlation, Contagion, and Asian Evidence In: Asian Economic Papers. [Full Text][Citation analysis] | article | 17 |
| 2013 | Googling SIFIs In: ULB Institutional Repository. [Citation analysis] | paper | 5 |
| 2014 | MODELLING LARGE OPEN ECONOMIES WITH INTERNATIONAL LINKAGES: THE USA AND EURO AREA In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 8 |
| 2018 | Identifying contagion In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2009 | After‐hours trading in equity futures markets In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 2 |
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