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Decomposing exchange rate volatility around the Pacific Rim
Dungey, Mardi H. - In: Journal of Asian economics 10 (1999) 4, pp. 525-535
Persistent link: https://www.econbiz.de/10001489842
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Identifying terms of trade effects in real exchange rate movements : evidence from Asia
Dungey, Mardi H. - In: Journal of Asian economics 15 (2004) 2, pp. 217-235
Persistent link: https://www.econbiz.de/10002118960
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International shocks and the role of domestic policy in Australia
Dungey, Mardi H. - In: Australian journal of labour economics : a journal of … 5 (2002) 2, pp. 143-163
Persistent link: https://www.econbiz.de/10001722986
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The Tsunami : measures of contagion in the 2007 - 2008 credit crunch : financial crisis (Focus)
Dungey, Mardi H. - In: CESifo forum : a bi-monthly journal on European … 9 (2008) 4, pp. 33-43
Persistent link: https://www.econbiz.de/10003792704
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Identifying terms of trade effect in real exchange rate movements : evidence from Asia
Dungey, Mardi H. - In: Asian economic cooperation in the new millennium : …, (pp. 213-233). 2004
Persistent link: https://www.econbiz.de/10002902643
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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
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Contagion and banking crisis : international evidence for 2007-2009
Dungey, Mardi H.; Gajurel, Dinesh - In: Journal of banking & finance 60 (2015), pp. 271-283
Persistent link: https://www.econbiz.de/10011545024
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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
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Systemic risk in the US : interconnectedness as a circuit breaker
Dungey, Mardi H.; Luciani, Matteo; Veredas, David - In: Economic modelling 71 (2018), pp. 305-315
Persistent link: https://www.econbiz.de/10012062528
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International trade and the transmission of shocks : the case of ASEAN-4 and NIE-4 economies
Dungey, Mardi H.; Khan, Faisal; Raghavan, Malavika - In: Economic modelling 72 (2018), pp. 109-121
Persistent link: https://www.econbiz.de/10012100395