Items where Author is "Dungey, M"

Alexeev, V

, Dungey, M

and Yao, W

2017 , 'Time-varying continuous and jump betas: the role of firm characteristics and periods of stress' , Journal of Empirical Finance, vol. 40 , pp. 1-19 , doi: https://doi.org/10.1016/j.jempfin.2016.11.002.

Alexeev, V

, Dungey, M

and Yao, W

2017 , 'Time-varying continuous and jump betas: the role of firm characteristics and periods of stress' , Journal of Empirical Finance, vol. 40 , pp. 1-19 , doi: https://doi.org/10.1016/j.jempfin.2016.11.002.

Chowdhury, B, Dungey, M

, Kangogo, M

, Sayeed, MA and Volkov, V

2019 , 'The changing network of financial market linkages: the Asian experience' , International Review of Financial Analysis, vol. 64, no. July 2 , pp. 71-92 , doi: https://doi.org/10.1016/j.irfa.2019.05.003.

Chowdhury, B, Jeyasreedharan, N

and Dungey, M

2018 , 'Quantile relationships between standard, diffusion and jump betas across Japanese banks' , Journal of Asian Economics, vol. 59 , pp. 29-47 , doi: https://doi.org/10.1016/j.asieco.2018.09.004.

Dungey, M

, Erdemlioglu, D, Matei, M and Yang, X 2018 , 'Testing for mutually exciting jumps and financial flights in high frequency data' , Journal of Econometrics, vol. 202, no. 1 , pp. 18-44 , doi: https://doi.org/10.1016/j.jeconom.2017.09.002.

Dungey, M

, Erdemlioglu, D, Matei, M and Yang, X 2018 , 'Testing for mutually exciting jumps and financial flights in high frequency data' , Journal of Econometrics, vol. 202, no. 1 , pp. 18-44 , doi: https://doi.org/10.1016/j.jeconom.2017.09.002.

Dungey, M

, Flavin, TJ and Lagoa-Varela, D 2020 , 'Are banking shocks contagious? Evidence from the eurozone' , Journal of Banking and Finance, vol. 112 , pp. 1-17 , doi: https://doi.org/10.1016/j.jbankfin.2018.07.010.

Dungey, M

, Flavin, TJ and Lagoa-Varela, D 2020 , 'Are banking shocks contagious? Evidence from the eurozone' , Journal of Banking and Finance, vol. 112 , pp. 1-17 , doi: https://doi.org/10.1016/j.jbankfin.2018.07.010.

Dungey, M

, Fry-Mckibbin, F and Volkov, V

2019 , 'Transmission of a resource boom: the case of Australia' , Oxford Bulletin of Economics and Statistics , pp. 1-23 , doi: https://doi.org/10.1111/obes.12352.

Dungey, M

, Harvey, J and Volkov, V

2018 , 'The changing international network of sovereign debt and financial institutions' , Journal of International Financial Markets, Institutions and Money, vol. 60 , pp. 149-168 , doi: https://doi.org/10.1016/j.intfin.2018.12.013.

Dungey, M

, Harvey, J and Volkov, V

2018 , 'The changing international network of sovereign debt and financial institutions' , Journal of International Financial Markets, Institutions and Money, vol. 60 , pp. 149-168 , doi: https://doi.org/10.1016/j.intfin.2018.12.013.

Dungey, M

, Hurn, S, Shi, Shuping and Volkov, V

2019 , 'Information flow in times of crisis: The case of the European banking and sovereign sectors' , Econometrics, vol. 7, no. 1 , pp. 1-20 , doi: https://doi.org/10.3390/econometrics7010005.

Dungey, M, Islam, R

and Volkov, V

2020 , 'Crisis transmission: Visualizing vulnerability' , Pacific Basin Finance Journal, vol. 59 , pp. 1-22 , doi: https://doi.org/10.1016/j.pacfin.2019.101255.

Dungey, M

, Islam, R and Volkov, V

2020 , 'Crisis transmission: Visualizing vulnerability' , Pacific Basin Finance Journal, vol. 59 , pp. 1-22 , doi: https://doi.org/10.1016/j.pacfin.2019.101255.

Dungey, M

, Jacobs, JPAM and Tian, J

2017 , 'Forecasting output gaps in the G-7 countries: the role of correlated innovations and structural breaks' , Applied Economics, vol. 49, no. 45 , 4554–4566 , doi: https://doi.org/10.1080/00036846.2017.1284998.

Dungey, M

, Jacobs, JPAM and Tian, J

2017 , 'Forecasting output gaps in the G-7 countries: the role of correlated innovations and structural breaks' , Applied Economics, vol. 49, no. 45 , 4554–4566 , doi: https://doi.org/10.1080/00036846.2017.1284998.

Dungey, M

, Khan, F

and Raghavan, M

2018 , 'International trade and the transmission of shocks: the case of ASEAN-4 and NIE-4 economies' , Economic Modelling , pp. 1-13 , doi: https://doi.org/10.1016/j.econmod.2018.01.008.

Dungey, M

, Khan, F

and Raghavan, M

2018 , 'International trade and the transmission of shocks: the case of ASEAN-4 and NIE-4 economies' , Economic Modelling, vol. 72 , pp. 109-121 , doi: https://doi.org/10.1016/j.econmod.2018.01.008.

Dungey, M

, Luciana, M and Veredas, D 2017 , 'Systemic risk in the US: interconnectedness as a circuit breaker' , Economic Modelling, vol. 71 , pp. 305-315 , doi: https://doi.org/10.1016/j.econmod.2017.10.004.

Dungey, M

, Luciana, M and Veredas, D 2017 , 'Systemic risk in the US: interconnectedness as a circuit breaker' , Economic Modelling, vol. 71 , pp. 305-315 , doi: https://doi.org/10.1016/j.econmod.2017.10.004.

Dungey, M

, Martin, VL, Tang, C and Tremayne, A 2019 , 'A threshold mixed count time series model: Estimation and application' , Studies in Nonlinear Dynamics and Econometrics , pp. 1-18 , doi: https://doi.org/10.1515/snde-2018-0029.

Dungey, M

, Martin, VL, Tang, C and Tremayne, A 2019 , 'A threshold mixed count time series model: Estimation and application' , Studies in Nonlinear Dynamics and Econometrics, vol. 24, no. 2 , pp. 1-18 , doi: https://doi.org/10.1515/snde-2018-0029.

Dungey, M

and Osborn, DR 2020 , 'The gains from catch-up for China and the USA: An empirical framework' , Economic Record , pp. 1-16 , doi: https://doi.org/10.1111/1475-4932.12522.

Dungey, M

and Osborn, DR 2020 , 'The gains from catch-up for China and the USA: An empirical framework' , Economic Record , pp. 1-16 , doi: https://doi.org/10.1111/1475-4932.12522.

Dungey, M

and Renault, E 2018 , 'Identifying contagion' , Journal of Applied Econometrics, vol. 33, no. 2 , pp. 227-250 , doi: https://doi.org/10.1002/jae.2593.

Dungey, M

and Renault, E 2018 , 'Identifying contagion' , Journal of Applied Econometrics, vol. 33, no. 2 , pp. 227-250 , doi: https://doi.org/10.1002/jae.2593.

Dungey, M

, Tchatoka, FD and Yanotti, M

2018 , 'Using multiple correspondence analysis for ﬁnance: A tool for assessing ﬁnancial inclusion' , International Review of Financial Analysis, vol. 59 , pp. 212-222 , doi: https://doi.org/10.1016/j.irfa.2018.08.007.

Dungey, M

, Tchatoka, FD and Yanotti, M

2018 , 'Using multiple correspondence analysis for ﬁnance: A tool for assessing ﬁnancial inclusion' , International Review of Financial Analysis, vol. 59 , pp. 212-222 , doi: https://doi.org/10.1016/j.irfa.2018.08.007.

Dungey, M

, Tchatoka, FD and Yanotti, MB

2018 , 'Endogeneity in household mortgage choice' , Economic Modelling, vol. 73 , pp. 30-44 , doi: https://doi.org/10.1016/j.econmod.2018.03.001.

Dungey, M

, Tchatoka, FD and Yanotti, MB

2018 , 'Endogeneity in household mortgage choice' , Economic Modelling, vol. 73 , pp. 30-44 , doi: https://doi.org/10.1016/j.econmod.2018.03.001.

Dungey, M

and Volkov, V

2018 , 'R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks' , Economics Letters, vol. 162 , 81–85 , doi: https://doi.org/10.1016/j.econlet.2017.11.007.

Dungey, M

and Volkov, V

2018 , 'R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks' , Economics Letters, vol. 162 , 81–85 , doi: https://doi.org/10.1016/j.econlet.2017.11.007.

Gajurel, D, Dungey, M

, Yao, W and Jeyasreedharan, N

2020 , 'Jump risk in the US financial sector' , Economic Record, vol. 96, no. 314 , pp. 331-349 , doi: https://doi.org/10.1111/1475-4932.12565.

Sayeed, MA, Dungey, M

and Yao, W 2018 , 'High frequency characterisation of Indian banking stocks' , Journal of Emerging Market Finance, vol. 17, no. 2S , 1S-26S , doi: https://doi.org/10.1177/0972652718777081.

Chowdhury, B, Dungey, M

, Jeyasreedharan, N

and Sayeed, M 2017 , 'Learning about the role of market micro-structure from high-frequency data on Asian banks', in AA Batabyal and P Nijkamp (eds.), Regional Growth and Sustainable Development in Asia , Springer International Publishing, Switzerland, pp. 151-180.

Alexeev, V and Dungey, M 2013 , Equity portfolio diversification with high frequency data.

Chowdhury, B

, Dungey, M and Pham, TP 2014 , The impact of post-IPO changes in corporate governance mechanisms on firm performance: evidence from young Australian firms.

Chowdhury, B

, Dungey, M

, Kangogo, M

, Sayeed, MA

and Volkov, V

2018 , The changing network of financial market linkages: the Asian experience.

Chowdhury, B

, Jeyasreedharan, N and Dungey, M 2017 , Quantile relationships between standard, diffusion and jump betas across Japanese banks.

Dungey, M, Henry, O and McKenzie, M 2010 , From Trade-to-Trade in US Treasuries (Discussion Paper 2010-02).

Dungey, M, Jeyasreedharan, N and Li, T 2010 , Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market (Discussion Paper 2010-07).

Dungey, M and Vehbi, M.T. 2011 , A SVECM Model of the UK Economy and The Term Premium.

Dungey, M, Wells, G and Thompson, M 2011 , First Home Buyers' Support Schemes in Australia (spreadsheet results).

Dungey, M, Wells, G and Thompson, S 2011 , First home buyers' support schemes in Australia.

Dungey, M and Yalama, A 2010 , Detecting Contagion with Correlation: Volatility and Timing Matter (Discussion Paper 2010-03).

Dungey, M, Doko Tchatoka, F, Wells, G and Yanotti, BM 2014 , Mortgage Choice Determinants: The Role of Risk and Bank Regulation.

Dungey, M, Dwyer, GP and Flavin, T 2011 , Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities.

Dungey, M, Fry-McKibbin, R and Linehan, V 2013 , Chinese resource demand and the natural resource supplier.

Dungey, M and Gajurel, D 2014 , Contagion and Banking Crisis - International Evidence for 2007-2009.

Dungey, M and Gajurel, D , Equity Market Contagion during the Global Financial Crisis: Evidence from the World’s Eight Largest Economies.

Dungey, M, Henry, O and Hvozdyk, L 2013 , The impact of jumps and thin trading on realized hedge ratios?.

Dungey, M and Hvozdyk, L 2010 , Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06).

Dungey, M and Jacobs, J 2010 , Financial Crises in Asia: Concordance by Asset Market or Country?.

Dungey, M, Jacobs, J, Tian, J and van Norden, S 2012 , On the correspondence between data revision and trend-cycle decomposition.

Dungey, M, Luciani, M and Veredas, D 2012 , Ranking systemically important financial institutions.

Dungey, M, Matei, M, Luciani, M and Veredas, D 2015 , Surfing through the GFC : systemic risk in Australia.

Dungey, M, Matei, M and Treepongkaruna, S 2014 , Identifying Periods of Financial Stress in Asian Currencies: The Role of High Frequency Financial Market Data.

Dungey, M, Milunivich, G, Thorpe, S and Yang, M 2012 , Endogenous crisis dating and contagion using smooth transition structural GARCH.

Dungey, M, Osborn, D and Raghavan, M 2013 , International Transmissions to Australia: The Roles of the US and Euro Area.

Dungey, M, Vehbi, T and Martin, C 2014 , VAR modelling in the presence of China’s rise : an application to the Taiwanese economy.

Dungey, M, Harvey, J, Siklos, P and Volkov, V 2017 , Signed spillover effects building on historical decompositions.

Dungey, M, Harvey, J and Volkov, V 2017 , The changing international network of sovereign debt and financial institutions.

Dungey, M

, Islam, R

and Volkov, V

2019 , Crisis transmission: visualizing vulnerability.

Dungey, M, Jacobs, JPAM and Tian, J 2016 , Forecasting output gaps in the G‐7 countries: The role of correlated Innovations and structural breaks..

Dungey, M and Volkov, V 2017 , R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks.

Dungey, M

, Yanotti, MB

and Wright, D , Who, What, Where? Residential Property Investment in Australia.

Raghavan, M and Dungey, M 2014 , Should ASEAN-5 monetary policymakers act pre-emptively against stock market bubbles?.

Sayed, MA, Dungey, M and Yao, W 2015 , High frequency characterization of Indian banking stocks.

University of Tasmania

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