Mardi H. Dungey

University of Tasmania (deceased)

Financial Research Network (FIRN) (deceased)

SCHOLARLY PAPERS

24

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1,250

SSRN CITATIONS
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12

CROSSREF CITATIONS

14

Scholarly Papers (24)

1.

The Emergence of Systemically Important Insurers

CIFR Paper No. WP038, FIRN Research Paper No. 2494030
Number of pages: 29 Posted: 11 Sep 2014
Mardi H. Dungey, Matteo Luciani and David Veredas
University of Tasmania (deceased), Federal Reserve Board and Vlerick Business School
Downloads 239 (132,039)
Citation 7

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banking, insurance, systemic risk

2.

Strategic Bidding of Electric Power Generating Companies: Evidence from the Australian National Energy Market

CESifo Working Paper Series No. 6819
Number of pages: 36 Posted: 21 Feb 2018
Mardi H. Dungey, Ali Ghahremanlou and Ngo Van Long
University of Tasmania (deceased), University of Tasmania and McGill University - Department of Economics
Downloads 150 (201,545)

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electricity markets, Australia, rebidding

3.
Downloads 132 (223,568)
Citation 1

Surfing Through the GFC: Systemic Risk in Australia

CIFR Paper No. WP061/2015, FIRN Research Paper No. 2617117
Number of pages: 25 Posted: 11 Jun 2015
Mardi H. Dungey, Matteo Luciani, Marius Matei and David Veredas
University of Tasmania (deceased), Federal Reserve Board, University of Tasmania and Vlerick Business School
Downloads 131 (225,600)
Citation 1

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banking, insurance, systemic risk

Surfing Through the GFC: Systemic Risk in Australia

Economic Record, Vol. 93, Issue 300, pp. 1-19, 2017
Number of pages: 19 Posted: 09 Mar 2017
Mardi H. Dungey, Matteo Luciani and David Veredas
University of Tasmania (deceased), Federal Reserve Board and Vlerick Business School
Downloads 1 (703,316)
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4.

Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities

Number of pages: 43 Posted: 12 Sep 2011
Mardi H. Dungey, Gerald P. Dwyer and Thomas Flavin
University of Tasmania (deceased), Clemson University and National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics
Downloads 130 (226,196)

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asset backed securities, subprime mortgages, financial crisis, factor models, Kalman Filter

5.

Testing for Mutually Exciting Jumps and Financial Flights in High Frequency Data

Journal of Econometrics, Forthcoming
Number of pages: 84 Posted: 02 Jun 2016 Last Revised: 07 Oct 2019
Mardi H. Dungey, Deniz Erdemlioglu, Marius Matei and Xiye Yang
University of Tasmania (deceased), IESEG School of Management, LEM-CNRS 9221, France, University of Tasmania and Rutgers, The State University of New Jersey - Department of Economics
Downloads 95 (282,584)

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Flight-to-safety, Flight-to-quality, Mutual excitation in jumps, High frequency data, Stock-bond comovement

6.

A SVECM Model of the UK Economy and the Term Premium

Number of pages: 28 Posted: 02 Aug 2011
Mardi H. Dungey and Tugrul Vehbi
University of Tasmania (deceased) and affiliation not provided to SSRN
Downloads 73 (331,496)

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Structural VECM Models, Term Premium, Crisis

Equity Market Contagion During the Global Financial Crisis: Evidence from the World's Eight Largest Economies

Number of pages: 27 Posted: 11 Nov 2014
Dinesh Gajurel and Mardi H. Dungey
University of New Brunswick - Fredericton and University of Tasmania (deceased)
Downloads 71 (340,522)
Citation 3

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Global financial crisis, financial contagion, financial markets

8.

Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH

FIRN Research Paper
Number of pages: 26 Posted: 04 Dec 2012 Last Revised: 10 Apr 2015
University of Tasmania (deceased), Macquarie University - Department of Economics, The University of Sydney Business School and UNSW Australia Business School, School of Economics
Downloads 57 (376,933)
Citation 4

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Contagion, Structural GARCH, Global Financial Crisis

9.

The Changing International Network of Sovereign Debt and Financial Institutions

CIFR Paper No. 121/2016
Number of pages: 52 Posted: 30 Aug 2016
Mardi H. Dungey, David John Harvey and Vladimir Volkov
University of Tasmania (deceased), University of Auckland and University of Tasmania
Downloads 53 (389,871)
Citation 2

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network, sovereign debt, financial institutions, systemic risk, contagion

10.

Chinese Resource Demand and the Natural Resource Supplier

CAMA working paper no 54/2013
Number of pages: 27 Posted: 21 Aug 2013
Mardi H. Dungey, Renee Fry-McKibbin and Verity Linehan
University of Tasmania (deceased), Australian National University (ANU) - Crawford School of Public Policy and Australian National University
Downloads 40 (437,356)
Citation 7

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11.

Can Monetary Policy Surprise the Market?

CAMA Working Paper No. 5/2015
Number of pages: 28 Posted: 21 Feb 2015 Last Revised: 23 Feb 2015
Edda Claus and Mardi H. Dungey
Wilfrid Laurier University and University of Tasmania (deceased)
Downloads 38 (445,698)

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monetary policy, central banks, latent factor model

12.

Signed Spillover Effects Building on Historical Decompositions

CAMA Working Paper No. 52/2017
Number of pages: 53 Posted: 29 Aug 2017
University of Tasmania (deceased), Tasmanian School of Business and Economics, University of Tasmania, Wilfrid Laurier University - School of Business & Economics and University of Tasmania
Downloads 34 (462,874)
Citation 4

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Historical decomposition, DY Spillover, Granger Causality, Networks

13.

Trend-Cycle Decomposition: Implications from an Exact Structural Identification

CIRANO - Scientific Publications 2013s-23
Number of pages: 37 Posted: 19 Oct 2013
University of Tasmania (deceased), University of Groningen - Faculty of Economics and Business, University of Tasmania and HEC Montreal - Department of Finance
Downloads 25 (508,356)

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trend-cycle decomposition, data revision, state-space form

14.

Recovery from Dutch Disease

CAMA Working Paper No. 69/2017
Number of pages: 24 Posted: 08 Nov 2017
University of Tasmania (deceased), Australian National University (ANU) - Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, ANU and University of Tasmania
Downloads 24 (514,089)

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Dutch Disease, Australia, China, SVAR, Historical Decomposition, Empirical Steady-State Gap

15.

On the Correspondence between Data Revision and Trend-Cycle Decomposition

CAMA Working Paper No. 16/2012
Number of pages: 12 Posted: 28 Mar 2012
University of Tasmania (deceased), University of Groningen - Faculty of Economics and Business, University of Tasmania and HEC Montreal - Department of Finance
Downloads 21 (531,728)

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data revisions, state-space models, Kalman filter, Kalman smoother, trend-cycle decomposition

16.

The Gains from Catch-up for China and the US: An Empirical Framework

CAMA Working Paper No. 07/2019
Number of pages: 37 Posted: 24 Jan 2019
Mardi H. Dungey and Denise R. Osborn
University of Tasmania (deceased) and University of Manchester - School of Social Sciences
Downloads 17 (556,041)

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China, SVAR, convergence, catch-up

17.

The Changing Network of Financial Market Linkages: The Asian Experience

Asian Development Bank Economics Working Paper Series No. 558 (September, 2018)
Number of pages: 50 Posted: 22 Feb 2019
University of Tasmania, University of Tasmania (deceased), University of Tasmania, University of Tasmania, Tasmanian School of Business and Economics, Students and University of Tasmania
Downloads 15 (568,147)

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Asian markets, financial crises, network

18.

Equity Portfolio Diversification With High Frequency Data

Quantitative Finance, 2015, Vol. 15, No. 7, pp. 1205–1215
Number of pages: 24 Posted: 12 Aug 2019
Vitali Alexeev and Mardi H. Dungey
University of Technology Sydney and University of Tasmania (deceased)
Downloads 12 (587,492)

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portfolio diversification, high frequency, realized variance, realized correlation

19.

Transmission of a Resource Boom: The Case of Australia

CAMA Working Paper No. 63/2019
Number of pages: 31 Posted: 04 Sep 2019 Last Revised: 19 Sep 2019
Mardi H. Dungey, Renee Fry-McKibbin and Vladimir Volkov
University of Tasmania (deceased), Australian National University (ANU) - Crawford School of Public Policy and Tasmania School of Business and Economics, University of Tasmania
Downloads 10 (600,473)

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Chinese resource demand, SVAR, multivariate historical decomposition, commodity demand shock, commodity supply shock

Exchange Rate Risk Exposure and the Value of European Firms

Fabio Parlapiano, Vitali Alexeev & Mardi Dungey (2017) Exchange rate risk exposure and the value of European firms, The European Journal of Finance, 23:2, 111-129
Number of pages: 31 Posted: 12 Aug 2019
Fabio Parlapiano, Vitali Alexeev and Mardi H. Dungey
Bank of Italy, University of Technology Sydney and University of Tasmania (deceased)
Downloads 9 (632,915)

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Exchange rate risk, firm value, European firms

21.

Time-Varying Continuous and Jump Betas: The Role of Firm Characteristics and Periods of Stress

Journal of Empirical Finance, Vol. 40, pp.1-19, 2017
Number of pages: 29 Posted: 08 Aug 2019
Vitali Alexeev, Mardi H. Dungey and Wenying Yao
University of Technology Sydney, University of Tasmania (deceased) and Deakin University - Department of Economics
Downloads 5 (633,963)

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systematic risk, jumps, equity risk premium, high-frequency data

22.

Mortgage Choice Determinants: The Role of Risk and Bank Regulation

Economic Record, Vol. 91, Issue 295, pp. 417-437, 2015
Number of pages: 21 Posted: 09 Dec 2015
University of Tasmania (deceased), University of Adelaide, University of Tasmania and University of Tasmania
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23.

Contagion and Banking Crisis - International Evidence for 2007-2009

Journal of Banking and Finance, Vol. 60, Pp. 271–283, November 2015. DOI:10.1016/j.jbankfin.2015.08.007, FIRN Research Paper No. 2641630
Posted: 10 Aug 2015 Last Revised: 05 Oct 2015
Dinesh Gajurel and Mardi H. Dungey
University of New Brunswick - Fredericton and University of Tasmania (deceased)

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Global financial crisis, financial contagion, banking institutions, asset pricing, GARCH

24.

International Transmissions to Australia: The Roles of the USA and Euro Area

Economic Record, Vol. 90, Issue 291, pp. 421-446, 2014
Number of pages: 26 Posted: 17 Dec 2014
Mardi H. Dungey, Mala Raghavan and Denise R. Osborn
University of Tasmania (deceased), Monash University and University of Manchester - School of Social Sciences
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