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A multilateral approach to decomposing volatility in bilateral exchange rates

Dungey, Mardi H. - 1997

Persistent link: https://www.econbiz.de/10000959373

Towards a structural VAR model of the Australian economy

Dungey, Mardi H. - 1997

Persistent link: https://www.econbiz.de/10000958785

Prospects for output and employment growth with steady inflation

Dungey, Mardi H.; Pitchford, John David - 1998

Persistent link: https://www.econbiz.de/10000988720

Endogenous crisis dating and contagion using smooth transition structural GARCH

Dungey, Mardi H.; Milunovich, George; Thorp, Susan; … - In: Journal of banking & finance 58 (2015), pp. 71-79

Persistent link: https://www.econbiz.de/10011543895

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