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Unravelling financial market linkages during crises

Dungey, Mardi H.; Martin, Vance - In: Journal of applied econometrics 22 (2007) 1, pp. 89-119

Persistent link: https://www.econbiz.de/10003448512

Contagion in global equity markets in 1998 : the effects of the Russian and LTCM crises

Dungey, Mardi H.; Fry, Renée; González Hermosillo, Brenda - In: The North American journal of economics and finance : a … 18 (2007) 2, pp. 155-174

Persistent link: https://www.econbiz.de/10003608961

The role of portfolio shocks in a structural vector autoregressive model of the Australian economy

Fry, Renée; Hocking, James; Martin, Vance - In: The economic record : er 84 (2008), pp. 17-33

Persistent link: https://www.econbiz.de/10003687591

Unanticipated shocks and systemic influences : the impact of contagion in global equity markets in 1998

Dungey, Mardi H.; Fry, Renée; González Hermosillo, Brenda - 2003

Persistent link: https://www.econbiz.de/10001760590

Measuring financial interdependence in asset markets with an application to eurozone equities

Fry-McKibbin, Renée; Hsiao, Cody Yu-Ling; Martin, Vance - In: Journal of banking & finance 122 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012659252

News and expected returns in East Asian equity markets : the RV-GARCHM model

Martin, Vance; Tang, Chrismin; Yao, Wenying - In: Journal of Asian economics 57 (2018), pp. 36-52

Persistent link: https://www.econbiz.de/10012102777

Joint tests of contagion with applications

Fry-McKibbin, Renée; Hsiao, Cody Yu-Ling; Martin, Vance - In: Quantitative finance 19 (2019) 3, pp. 473-490

Persistent link: https://www.econbiz.de/10012194667

Joint tests of contagion with applications to financial crises

Fry-McKibbin, Renée; Hsiao, Cody Yu-Ling; Martin, Vance - 2017 - Revised version

Persistent link: https://www.econbiz.de/10011746864

Joint tests of contagion with applications to financial crises

Fry-McKibbin, Renée; Hsiao, Cody Yu-Ling; Martin, Vance - 2017

Persistent link: https://www.econbiz.de/10011746865

Unanticipated Shocks and Systemic Influences : The Impact of Contagion in Global Equity Markets in 1998

González-Hermosillo, Brenda - 2003

August to September 1998 has been characterized as one of the worst episodes of global financial distress in decades. This paper investigates the transmission of the Russian and the LTCM crises through global equity markets using a panel of 14 developing and industrial countries. The results...

Persistent link: https://www.econbiz.de/10014403951