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A web of shocks: crises across Asian real estate markets

Bond, Shaun A.; Dungey, Mardi H.; Fry, Renée - In: The journal of real estate finance and economics 32 (2006) 3, pp. 253-274

Persistent link: https://www.econbiz.de/10003308629

Flight-to-quality and asymmetric volatility responses in US treasuries

Dungey, Mardi H.; McKenzie, Michael D.; Tambakis, … - In: Global finance journal 19 (2009) 3, pp. 252-267

Persistent link: https://www.econbiz.de/10003837180

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

Equity market contagion during the global financial crisis : evidence from the world’s eight largest economies

Dungey, Mardi H.; Gajurel, Dinesh - 2013

Persistent link: https://www.econbiz.de/10010244860

Continuous and jump betas : implications for portfolio diversification

Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...

Persistent link: https://www.econbiz.de/10011506397