Mardi Dungey : Citation Profile


Deceased: 2019-01-12

19

H index

29

i10 index

1383

Citations

RESEARCH PRODUCTION:

71

Articles

96

Papers

1

Books

4

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   28 years (1990 - 2018). See details.
   Cites by year: 49
   Journals where Mardi Dungey has often published
   Relations with other researchers
   Recent citing documents: 188.    Total self citations: 91 (6.17 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdu7
   Updated: 2019-10-21    RAS profile:    
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Relations with other researchers


Works with:

Jacobs, Jan (7)

Raghavan, Mala (5)

Alexeev, Vitali (4)

Fry-McKibbin, Renee (4)

Doko Tchatoka, Firmin (4)

van Norden, Simon (4)

Yao, Wenying (4)

Gajurel, Dinesh (4)

Claus, Edda (3)

Osborn, Denise (2)

Tian, Jing (2)

Vehbi, Tugrul (2)

Wells, Graeme (2)

Siklos, Pierre (2)

Luciani, Matteo (2)

Nguyen, Cuong (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Mardi Dungey.

Is cited by:

Fry-McKibbin, Renee (40)

Flavin, Thomas (38)

Panopoulou, Ekaterini (31)

Fratzscher, Marcel (24)

Sentana, Enrique (18)

Vespignani, Joaquin (16)

Baur, Dirk (16)

Fiorentini, Gabriele (16)

Unalmis, Deren (15)

Gómez-Puig, Marta (14)

Caporin, Massimiliano (14)

Cites to:

Kaminsky, Graciela (78)

Diebold, Francis (73)

Bollerslev, Tim (68)

Martin, Vance (67)

Reinhart, Carmen (64)

Rose, Andrew (57)

Andersen, Torben (57)

Fry-McKibbin, Renee (57)

pagan, adrian (45)

Rigobon, Roberto (45)

Pesaran, M (37)

Main data


Where Mardi Dungey has published?


Journals with more than one article published# docs
The Economic Record7
Economic Modelling5
Journal of Asian Economics4
Applied Economics4
Journal of Banking & Finance4
Quantitative Finance3
The North American Journal of Economics and Finance3
Australian Economic Review3
Australian Economic Papers3
Open Economies Review2
Journal of Applied Econometrics2
Journal of Applied Econometrics2
Econometrics2
Journal of Empirical Finance2
Global Finance Journal2
Journal of Emerging Market Finance2
Economics Letters2

Working Papers Series with more than one paper published# docs
Working Papers / University of Tasmania, Tasmanian School of Business and Economics31
IMF Working Papers / International Monetary Fund5
CEPR Discussion Papers / Centre for Economic Policy Research, Research School of Economics, Australian National University5
NCER Working Paper Series / National Centre for Econometric Research3
Working Papers / School of Economics, La Trobe University2
Econometric Society 2004 Australasian Meetings / Econometric Society2
Pacific Basin Working Paper Series / Federal Reserve Bank of San Francisco2
Working Papers / School of Economics, La Trobe University2
Research Report / University of Groningen, Research Institute SOM (Systems, Organisations and Management)2

Recent works citing Mardi Dungey (2019 and 2018)


YearTitle of citing document
2018The 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.

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2018Climate 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.

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2018Cryptocurrency. (2018). Milutinovic, Monia. In: Ekonomika, Journal for Economic Theory and Practice and Social Issues. RePEc:ags:sereko:290219.

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2018Risk 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.

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2017Relation between regional uncertainty spillovers in the global banking system. (2017). Tungsong, Sachapon ; Aste, Tomaso ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.05944.

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2018Determining the dimension of factor structures in non-stationary large datasets. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1806.03647.

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2019Co-jumping of Treasury Yield Curve Rates. (2019). Baruník, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541.

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2018Liquidity Pricing of Illiquid Assets. (2018). Marcato, Gianluca. In: ERES. RePEc:arz:wpaper:eres2018_215.

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2017Asymmetric 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.

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2018State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14.

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2017Macroeconomic 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.

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2018Measuring 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.

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2017Volatile 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.

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2017Surfing 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.

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2017Identification 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.

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2018Oil 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.

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2017Extreme 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.

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2018The 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.

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2018Hedge 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.

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2017On 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.

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2018Shock contagion, asset quality and lending behavior. (2018). Talavera, Oleksandr ; Pham, Tho ; Tsapin, Andriy . In: BOFIT Discussion Papers. RePEc:bof:bofitp:2018_021.

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2019Should 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.

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2017A 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.

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2018CONTAGION 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.

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2019A 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.

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2019Contagion 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.

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2018TOO 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.

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2019Mildly 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.

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2018Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803.

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2018Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824.

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2017Financial 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.

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2018Measuring 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.

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2018Transmission 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.

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2017Financial globalisation, monetary policy spillovers and macro-modelling: tales from 1001 shocks. (2017). Georgiadis, Georgios ; Janokova, Martina . In: Working Paper Series. RePEc:ecb:ecbwps:20172082.

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2017Oil 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.

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2017Monetary 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.

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2018Quantile 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.

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2019Cojumps 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.

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2017Volatility 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.

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2017Financial 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.

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2018Sectoral 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.

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2018Chinas 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.

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2019On 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.

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2019Analysis 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.

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2019Monetary 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.

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2019Economic 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.

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2017Herding 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.

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2017The 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.

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2018Volatility 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.

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2018Regional 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.

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2019Financial 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.

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2017Informativeness 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.

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2018FDA 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.

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2018Testing 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.

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2018A 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.

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2019Tail 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.

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2018Immunity 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.

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2019Network-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.

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2017International 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.

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2017Systematic 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.

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2017Profitability 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.

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2017Diversifying 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.

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2019Distributional 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.

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2017Intra- 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.

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2018Risk 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.

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2018Using 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.

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2019A 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.

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2019Dependence 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.

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2019The 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.

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2018Causality 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.

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2019Day-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.

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2018The 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.

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2017Time 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.

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2017International 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.

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2018Measuring 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.

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2018How 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.

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2017Time-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.

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2018Empirical 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.

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2018Identifying 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.

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2018Financial 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.

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2018Forecasting 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.

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2019Macroeconomic 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.

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2018Jumps, 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.

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2018Asset 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.

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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.

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2017Transmission 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.

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2017A 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.

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2017Realized (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.

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2018Factors 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.

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2019International 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.

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2019On 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.

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2018Australia 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.

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2017Currency 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.

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2017Bubbles 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.

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2017News 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.

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2018The 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.

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2017Are 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.

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2018Effective 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.

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2018A 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.

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2019The 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.

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2018Quantile 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.

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More than 100 citations found, this list is not complete...

Mardi Dungey has edited the books:


YearTitleTypeCited

Works by Mardi Dungey:


YearTitleTypeCited
1998Prospects for Output and Employment Growth with Steady Inflation In: CEPR Discussion Papers.
[Citation analysis]
paper4
1998Prospects for Output and Employment Growth with Steady Inflation.(1998) In: RBA Annual Conference Volume (Discontinued).
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chapter
1999The Steady Inflation Rate of Economic Growth In: CEPR Discussion Papers.
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paper1
2000The Steady Inflation Rate of Economic Growth..(2000) In: The Economic Record.
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This paper has another version. Agregated cites: 1
article
2001A Perspective on Modelling the Real Trade Weighted Index Since the Float In: CEPR Discussion Papers.
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paper1
2001An Empirical Analysis of the Effect of Growth on Inflation, Australia, Canada and the United States In: CEPR Discussion Papers.
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paper0
2001International Shocks and the Role of Domestic Policy in Australia In: CEPR Discussion Papers.
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paper3
2002International Shocks and the Role of Domestic Policy in Australia.(2002) In: Australian Journal of Labour Economics (AJLE).
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article
2016Comments on Monetary independence in a financially integrated world: what do measures of interest rate co-movement tell us? In: BIS Papers chapters.
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chapter0
2003A Perspective on Modelling the Australian Real Trade Weighted Index since the Float In: Australian Economic Papers.
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article5
2003International Shocks on Australia – The Japanese Effect In: Australian Economic Papers.
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article5
2004CURRENCY MARKET CONTAGION IN THE ASIA‐PACIFIC REGION In: Australian Economic Papers.
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article21
2000Dating Changes in Monetary Policy in Australia In: Australian Economic Review.
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article2
2004Potential Growth and Inflation: Estimates for Australia, the United States and Canada In: Australian Economic Review.
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article1
2011First Home Buyers’ Support Schemes in Australia In: Australian Economic Review.
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article2
2011First home buyers support schemes in Australia.(2011) In: Working Papers.
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paper
1998WHY TAX FOREIGN EXCHANGE? COMMENTS ON A PROPOSED TOBIN TAX In: Economic Papers.
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article0
1998Why Tax Foreign Exchange? Comments on a Proposed Tobin Tax.(1998) In: Working Papers.
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paper
1998Why Tax Foreign Exchange? Comments on a Proposed Tobin Tax.(1998) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2000A Structural VAR Model of the Australian Economy. In: The Economic Record.
[Citation analysis]
article110
2009Extending a SVAR Model of the Australian Economy In: The Economic Record.
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article21
2008Extending an SVAR Model of the Australian Economy.(2008) In: NCER Working Paper Series.
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This paper has another version. Agregated cites: 21
paper
2009Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework In: The Economic Record.
[Full Text][Citation analysis]
article0
2014International Transmissions to Australia: The Roles of the USA and Euro Area In: The Economic Record.
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article6
2013International Transmissions to Australia: The Roles of the US and Euro Area.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 6
paper
2015Mortgage Choice Determinants: The Role of Risk and Bank Regulation In: The Economic Record.
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article2
2014Mortgage Choice Determinants: the Role of Risk and Bank Regulation.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2017Surfing through the GFC: Systemic Risk in Australia In: The Economic Record.
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article2
2015Surfing through the GFC: systemic risk in Australia.(2015) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2017Strategic Bidding of Electric Power Generating Companies: Evidence from the Australian National Energy Market In: CESifo Working Paper Series.
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paper0
2008The Tsunami: Measures of Contagion in the 2007–2008 Credit Crunch In: CESifo Forum.
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article3
2013Trend-Cycle Decomposition: Implications from an Exact Structural Identification In: CIRANO Working Papers.
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paper0
2013Trend-cycle decomposition: implications from an exact structural identification.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2015TREND IN CYCLE OR CYCLE IN TREND? NEW STRUCTURAL IDENTIFICATIONS FOR UNOBSERVED-COMPONENTS MODELS OF U.S. REAL GDP In: Macroeconomic Dynamics.
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article5
2004On Synchronisation of Financial Crises In: Econometric Society 2004 Australasian Meetings.
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paper0
2004Empirical Modelling of Contagion: A Review of Methodologies In: Econometric Society 2004 Australasian Meetings.
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paper279
2004Empirical Modelling of Contagion: A Review of Methodologies.(2004) In: Econometric Society 2004 Far Eastern Meetings.
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paper
2004Empirical Modeling of Contagion; A Review of Methodologies.(2004) In: IMF Working Papers.
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paper
2005Empirical modelling of contagion: a review of methodologies.(2005) In: Quantitative Finance.
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This paper has another version. Agregated cites: 279
article
1999Decomposing exchange rate volatility around the Pacific Rim In: Journal of Asian Economics.
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article11
1999Decomposing Exchange Rate Volatility Around the Pacific Rim.(1999) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 11
paper
1999Decomposing Exchange Rate Volatility Around the Pacific Rim.(1999) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 11
paper
2004Identifying terms of trade effects in real exchange rate movements: evidence from Asia In: Journal of Asian Economics.
[Full Text][Citation analysis]
article9
2015The influences of international output shocks from the US and China on ASEAN economies In: Journal of Asian Economics.
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article3
2018Quantile relationships between standard, diffusion and jump betas across Japanese banks In: Journal of Asian Economics.
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article0
2017Quantile relationships between standard, diffusion and jump betas across Japanese banks.(2017) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2009The identification of fiscal and monetary policy in a structural VAR In: Economic Modelling.
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article47
2007THE IDENTIFICATION OF FISCAL AND MONETARY POLICY IN A STRUCTURAL VAR.(2007) In: CAMA Working Papers.
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paper
2011Financial integration and the construction of historical financial data for the Euro Area In: Economic Modelling.
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article7
2010Financial Integration and the Construction of Historical Financial Data for the Euro Area.(2010) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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paper
2018Systemic risk in the US: Interconnectedness as a circuit breaker In: Economic Modelling.
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article1
2018International trade and the transmission of shocks: The case of ASEAN-4 and NIE-4 economies In: Economic Modelling.
[Full Text][Citation analysis]
article1
2018Endogeneity in household mortgage choice In: Economic Modelling.
[Full Text][Citation analysis]
article1
2007Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises In: The North American Journal of Economics and Finance.
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article20
2013The cross market effects of short sale restrictions In: The North American Journal of Economics and Finance.
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article0
2015The internationalisation of financial crises: Banking and currency crises 1883–2008 In: The North American Journal of Economics and Finance.
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article4
2014A semiparametric conditional duration model In: Economics Letters.
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article0
2014A Semiparametric Conditional Duration Model.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2018R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks In: Economics Letters.
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article2
2017R&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
2018Testing for mutually exciting jumps and financial flights in high frequency data In: Journal of Econometrics.
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article1
2014Equity market contagion during the global financial crisis: Evidence from the worlds eight largest economies In: Economic Systems.
[Full Text][Citation analysis]
article28
2013Equity 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
2009Empirical evidence on jumps in the term structure of the US Treasury Market In: Journal of Empirical Finance.
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article27
2007EMPIRICAL 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
2017Time-varying continuous and jump betas: The role of firm characteristics and periods of stress In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article4
2018Using multiple correspondence analysis for finance: A tool for assessing financial inclusion In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article0
2006Contagion in international bond markets during the Russian and the LTCM crises In: Journal of Financial Stability.
[Full Text][Citation analysis]
article53
2004Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002 In: Global Finance Journal.
[Full Text][Citation analysis]
article2
2009Flight-to-quality and asymmetric volatility responses in US Treasuries In: Global Finance Journal.
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article3
2010Unobservable shocks as carriers of contagion In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article31
2012Cojumping: Evidence from the US Treasury bond and futures markets In: Journal of Banking & Finance.
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article30
2010Cojumping: Evidence from the US Treasury Bond and Futures Markets.(2010) In: NCER Working Paper Series.
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paper
2015Endogenous crisis dating and contagion using smooth transition structural GARCH In: Journal of Banking & Finance.
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article27
2012Endogenous crisis dating and contagion using smooth transition structural GARCH.(2012) In: Working Papers.
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paper
2012Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH.(2012) In: Research Paper Series.
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paper
2015Contagion and banking crisis – International evidence for 2007–2009 In: Journal of Banking & Finance.
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article18
2014Contagion and banking crisis — internatonal evidence for 2007-2009.(2014) In: Working Papers.
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paper
2016Can monetary policy surprises affect the term structure? In: Journal of Macroeconomics.
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article6
2009More Confusion in Contagion Tests: the Effects of a Crisis Sourced in US Credit Markets In: The Journal of Economic Asymmetries.
[Full Text][Citation analysis]
article1
2004A web of shocks: Crises across Asian real estate market In: CAMA Working Papers.
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paper33
2006A Web Of Shocks: Crises Across Asian Real Estate Markets.(2006) In: The Journal of Real Estate Finance and Economics.
[Full Text][Citation analysis]
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article
2005SHOCKS AND SYSTEMIC INFLUENCES: CONTAGION IN GLOBAL EQUITY MARKETS IN 1998 In: CAMA Working Papers.
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paper1
2005CONSTRUCTING A 2001 SOCIAL ACCOUNTING MATRIX OF TAJIKISTAN In: CAMA Working Papers.
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paper1
2005THE US TREASURY MARKET IN AUGUST 1998: UNTANGLING THE EFFECTS OG HONG KONG AND RUSSIA WITH HIGH FREQUENCY DATA In: CAMA Working Papers.
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paper1
2008The 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.
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article
2005RAMSEY FISCAL AND MONETARY POLICY UNDER STICKY PRICES AND LIQUID BONDS In: CAMA Working Papers.
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paper0
2006MONETARY POLICY IN ILLIQUID MARKETS: OPTIONS FOR A SMALL OPEN ECONOMY In: CAMA Working Papers.
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paper4
2008Monetary Policy in Illiquid Markets: Options for a Small Open Economy.(2008) In: Open Economies Review.
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article
2007CONSTRUCTING HISTORICAL EURO AREA DATA In: CAMA Working Papers.
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paper11
2007Constructing Historical Euro Area Data.(2007) In: Money Macro and Finance (MMF) Research Group Conference 2006.
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paper
2008ARE FINANCIAL CRISES ALIKE? In: CAMA Working Papers.
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paper54
2010Are Financial Crises Alike?.(2010) In: IMF Working Papers.
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paper
2009Detecting Contagion with Correlation: Volatility and Timing Matter In: CAMA Working Papers.
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2010Detecting Contagion with Correlation: Volatility and Timing Matter.(2010) In: Working Papers.
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paper
2009Modelling International Linkages for Large Open Economies: US and Euro Area In: CAMA Working Papers.
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paper0
2009Modelling International Linkages for Large Open Economies: US and Euro Area.(2009) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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This paper has another version. Agregated cites: 0
paper
2011A SVECM Model of the UK Economy and The Term Premium In: CAMA Working Papers.
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paper1
2011A 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
2011Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities In: CAMA Working Papers.
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paper6
2011Systematic and liquidity risk in subprime-mortgage backed securities.(2011) In: FRB Atlanta Working Paper.
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paper
2013Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities.(2013) In: Open Economies Review.
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article
2011Systematic and Liquidity Risk in Subprime-Mortgage Backed SecuritiesM.(2011) In: Economics, Finance and Accounting Department Working Paper Series.
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paper
2011Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 6
paper
2012On the correspondence between data revision and trend-cycle decomposition In: CAMA Working Papers.
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paper1
2013On the correspondence between data revision and trend-cycle decomposition.(2013) In: Applied Economics Letters.
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article
2012On the correspondence between data revision and trend-cycle decomposition.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2012Ranking Systemically Important Financial Institutions In: CAMA Working Papers.
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2012Ranking systemically important financial institutions.(2012) In: Working Papers.
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paper
2012Ranking Systemically Important Financial Institutions.(2012) In: Tinbergen Institute Discussion Papers.
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2013Chinese Resource Demand and the Natural Resource Supplier In: CAMA Working Papers.
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2014Chinese resource demand and the natural resource supplier.(2014) In: Applied Economics.
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2013Chinese resource demand and the natural resource supplier.(2013) In: Working Papers.
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paper
2015Can monetary policy surprise the market? In: CAMA Working Papers.
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paper0
2015Can monetary policy surprise the market?.(2015) In: LCERPA Working Papers.
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2017Signed spillover effects building on historical decompositions In: CAMA Working Papers.
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paper0
2017Signed spillover effects building on historical decompositions.(2017) In: Working Papers.
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paper
2017Recovery from Dutch Disease In: CAMA Working Papers.
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In: .
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2018The changing network of financial market linkages: the Asian experience.(2018) In: Working Papers.
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2001Factor analysis of a model of stock market returns using simulation-based estimation techniques In: Pacific Basin Working Paper Series.
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paper1
2001Testing for contagion using correlations: some words of caution In: Pacific Basin Working Paper Series.
[Full Text][Citation analysis]
paper60
2009Vintage and credit rating: what matters in the ABX data during the credit crunch? In: Proceedings.
[Full Text][Citation analysis]
article3
1997Towards a Strucrural VAR Model of the Australian Economy. In: Australian National University - Department of Economics.
[Citation analysis]
paper0
1997A Multilateral Approach to Decomposing Volatility in Belateral Exchange Rates. In: Australian National University - Department of Economics.
[Citation analysis]
paper0
1997Credit Limits and Long-Term Covered Interest Arbitrage. In: Australian National University - Department of Economics.
[Citation analysis]
paper0
2016Continuous and Jump Betas: Implications for Portfolio Diversification In: Econometrics.
[Full Text][Citation analysis]
article0
2019Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors In: Econometrics.
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article0
2010The internationalisation of financial crises In: Research Report.
[Full Text][Citation analysis]
paper0
2012On trend-cycle decomposition and data revision In: Research Report.
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paper0
2002International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse In: IMF Working Papers.
[Full Text][Citation analysis]
paper19
2003Characterizing Global Investors Risk Appetite for Emerging Market Debt During Financial Crises In: IMF Working Papers.
[Full Text][Citation analysis]
paper8
2003Unanticipated Shocks and Systemic Influences; The Impact of Contagion in Global Equity Markets in 1998 In: IMF Working Papers.
[Full Text][Citation analysis]
paper9
2000A multivariate latent factor decomposition of international bond yield spreads In: Journal of Applied Econometrics.
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article75
2007Unravelling financial market linkages during crises In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article100
2012U.S. Monetary Policy Surprises: Identification with Shifts and Rotations in the Term Structure In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
article15
2011Transmission of Financial Crises and Contagion: A Latent Factor Approach In: OUP Catalogue.
[Citation analysis]
book14
2000A Multi-Country Structural VAR Model In: Departmental Working Papers.
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paper2
2003Identification of Common and Idiosyncratic Shocks in Real Equity Prices: Australia 1982 to 2002 In: Departmental Working Papers.
[Citation analysis]
paper2
2016Impacts of Economic Integration on Living Standards and Poverty Reduction of Rural Households In: MPRA Paper.
[Full Text][Citation analysis]
paper0
2008Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH In: NCER Working Paper Series.
[Full Text][Citation analysis]
paper7
2005Discussion of Assessing the Sources of Changes in the Volatility of Real Growth In: RBA Annual Conference Volume (Discontinued).
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chapter0
2010Discussion of The Economic Consequences of Oil Shocks: Differences across Countries and Time In: RBA Annual Conference Volume (Discontinued).
[Full Text][Citation analysis]
chapter0
1990Volatility of the Australian Dollar Exchange Rate In: RBA Research Discussion Papers.
[Full Text][Citation analysis]
paper0
2003Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion? In: Australian Journal of Management.
[Full Text][Citation analysis]
article20
2018High-frequency Characterisation of Indian Banking Stocks In: Journal of Emerging Market Finance.
[Full Text][Citation analysis]
article0
2015High frequency characterization of Indian banking stocks.(2015) In: Working Papers.
[Full Text][Citation analysis]
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paper
2004A Multifactor Model of Exchange Rates with Unanticipated Shocks: Measuring Contagion in the East Asian Currency Crisis In: Journal of Emerging Market Finance.
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article15
2014The impact of natural disasters on household income, expenditure, poverty and inequality: evidence from Vietnam In: Applied Economics.
[Full Text][Citation analysis]
article15
2015Should ASEAN-5 monetary policy-makers act pre-emptively against stock market bubbles? In: Applied Economics.
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article7
2014Should ASEAN-5 Monetary Policymakers Act Pre-emptively Against Stock Market Bubbles?.(2014) In: Working Papers.
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2017Forecasting output gaps in the G-7 countries: the role of correlated innovations and structural breaks In: Applied Economics.
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article0
2016Forecasting output gaps in the G-7 countries: The role of correlated Innovations and structural breaks.(2016) In: Working Papers.
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paper
2017Exchange rate risk exposure and the value of European firms In: The European Journal of Finance.
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article3
2013Modeling trade duration in U.S. Treasury markets In: Quantitative Finance.
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