Mardi H. Dungey

University of Tasmania

French Street

Sandy Bay

Tasmania, 7250

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 43,735

in Total Papers Downloads

765

CITATIONS

2

Scholarly Papers (16)

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, Federal Reserve Board and Vlerick Business School
Downloads 161 (120,876)

Abstract:

banking, insurance, systemic risk

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, Federal Reserve Board, University of Tasmania and Vlerick Business School
Downloads 113 (208,223)

Abstract:

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, Federal Reserve Board and Vlerick Business School
Downloads 1 (583,098)
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Abstract:

3.

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, Clemson University and National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics
Downloads 93 (217,082)
Citation 1

Abstract:

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

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
Trent University School of Business and University of Tasmania
Downloads 56 (320,501)

Abstract:

Global financial crisis, financial contagion, financial markets

5.

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, Macquarie University - Department of Economics, University of Sydney Business School and UNSW Australia Business School, School of Economics
Downloads 39 (342,160)
Citation 1

Abstract:

Contagion, Structural GARCH, Global Financial Crisis

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 and affiliation not provided to SSRN
Downloads 38 (342,160)

Abstract:

Structural VECM Models, Term Premium, Crisis

7.

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, Australian National University (ANU) - Crawford School of Public Policy and Australian National University
Downloads 17 (375,401)

Abstract:

8.

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
Downloads 16 (394,525)

Abstract:

monetary policy, central banks, latent factor model

9.

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, University of Groningen - Faculty of Economics and Business, University of Tasmania and HEC Montreal - Department of Finance
Downloads 16 (446,477)

Abstract:

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

10.

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, University of Groningen - Faculty of Economics and Business, University of Tasmania and HEC Montreal - Department of Finance
Downloads 14 (477,851)

Abstract:

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

11.

Signed Spillover Effects Building on Historical Decompositions

CAMA Working Paper No. 52/2017
Number of pages: 53 Posted: 29 Aug 2017
University of Tasmania, Tasmanian School of Business and Economics, University of Tasmania, Wilfrid Laurier University - School of Business & Economics and University of Tasmania
Downloads 0 (498,603)

Abstract:

Historical decomposition, DY Spillover, Granger Causality, Networks

12.

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, University of Auckland and University of Tasmania
Downloads 0 (368,351)

Abstract:

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

13.

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: 18 Sep 2017
Mardi H. Dungey, Deniz Erdemlioglu, Marius Matei and Xiye Yang
University of Tasmania, IESEG School of Management and CNRS - France, University of Tasmania and Rutgers University
Downloads 0 (416,242)

Abstract:

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

14.

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, University of Adelaide, University of Tasmania and University of Tasmania
Downloads 0 (568,632)
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15.

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
Trent University School of Business and University of Tasmania

Abstract:

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

16.

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, Monash University and University of Manchester - School of Social Sciences
Downloads 0 (568,632)
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Abstract: