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Trend-cycle decomposition : implications from an exact structural identification

Dungey, Mardi H.; Jacobs, Jan; Tian, Jing; Van Norden, Simon - 2013

Persistent link: https://www.econbiz.de/10010198264

Chinese resource demand and the natural resource supplier

Dungey, Mardi H.; Fry-McKibbin, Renée; Linehan, Verity - 2013

Persistent link: https://www.econbiz.de/10009788807

The cross market effects of short sale restrictions

Dungey, Mardi H.; McKenzie, Michael D.; Yalama, Abdullah - In: The North American journal of economics and finance : a … 26 (2013), pp. 53-71

Persistent link: https://www.econbiz.de/10010364821

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

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

High frequency characterization of Indian banking stocks

Sayeed, Mohammad Abu; Dungey, Mardi H.; Yao, Wenying - 2015

Persistent link: https://www.econbiz.de/10011481613

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

The internationalisation of financial crises : banking and currency crises 1883-2008

Dungey, Mardi H.; Jacobs, Jan; Lestano, Lestano - In: The North American journal of economics and finance : a … 32 (2015), pp. 29-47

Persistent link: https://www.econbiz.de/10011514361

Mortgage choice determinants : the role of risk and bank regulation

Dungey, Mardi H.; Doko Tchatoka, Firmin; Wells, Graeme; … - In: The economic record : er 91 (2015) 295, pp. 417-437

Persistent link: https://www.econbiz.de/10011561884

International transmissions to Australia : the roles of the USA and euro area

Dungey, Mardi H.; Osborn, Denise R.; Raghavan, Mala - In: The economic record : er 90 (2014) 291, pp. 421-446

Persistent link: https://www.econbiz.de/10010470067