Narrow search
Showing 1 - 10 of 77
Cover Image
Empirical Modeling of Contagion : A Review of Methodologies
Dungey, Mardi - 2004
The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate...
Persistent link: https://www.econbiz.de/10014401432
Cover Image
The economics of exchange rate volatility asymmetry
McKenzie, Michael D. - In: International journal of finance & economics : IJFE 7 (2002) 3, pp. 247-260
Persistent link: https://www.econbiz.de/10001694050
Cover Image
An empirical examination of the relationship between central bank intervention and exchange rate volatility : some Australian evidence
McKenzie, Michael D. - In: Australian economic papers 43 (2004) 1, pp. 59-74
Persistent link: https://www.econbiz.de/10001976159
Cover Image
The impact of naked short selling on the securities lending and equity market
Lecce, Steven; Lepone, Andrew; McKenzie, Michael D.; … - In: Journal of financial markets 15 (2012) 1, pp. 81-107
Persistent link: https://www.econbiz.de/10009356612
Cover Image
Women and risk tolerance in an aging world
Faff, Robert W.; Hallahan, Terrence; McKenzie, Michael D. - In: International journal of accounting and information … 19 (2011) 2, pp. 100-117
Persistent link: https://www.econbiz.de/10009243195
Cover Image
The role of information arrival for the Australian dollar trading volume and volatility
Kim, Suk-Joong; McKenzie, Michael D.; Di Amy Shi - In: Investment management and financial innovations 11 (2014) 4, pp. 8-24
Persistent link: https://www.econbiz.de/10010514157
Cover Image
The efficiency of the information processing in the Australian dollar market : price discovery following scheduled and unscheduled news
Daniel, Lawrence; Kim, Suk-Joong; McKenzie, Michael D. - In: International review of financial analysis 32 (2014), pp. 159-178
Persistent link: https://www.econbiz.de/10010461296
Cover Image
Research design issues in time-series modelling of financial market volatility
McKenzie, Michael D.; Brooks, Robert - 1999
Persistent link: https://www.econbiz.de/10001372125
Cover Image
Power transformation and forecasting the magnitude of exchange rate changes
McKenzie, Michael D. - In: International journal of forecasting 15 (1999) 1, pp. 49-55
Persistent link: https://www.econbiz.de/10001428473
Cover Image
The use of domestic and world market indexes in the estimation of time-varying betas
McKenzie, Michael D.; Brooks, Robert; Faff, Robert W. - In: Journal of multinational financial management 10 (2000) 1, pp. 91-106
Persistent link: https://www.econbiz.de/10001481105