Mardi H. Dungey

University of Tasmania (deceased)

Financial Research Network (FIRN) (deceased)

SCHOLARLY PAPERS

28

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SSRN CITATIONS
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Top 18,425

in Total Papers Citations

39

CROSSREF CITATIONS

19

Scholarly Papers (28)

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), Board of Governors of the Federal Reserve System and Vlerick Business School
Downloads 255 (147,885)
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 191 (194,389)

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electricity markets, Australia, rebidding

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 (deceased), Clemson University and National University of Ireland, Maynooth (Maynooth University) - Department of Economics, Finance and Accounting
Downloads 137 (257,085)
Citation 1

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

4.
Downloads 135 (260,033)
Citation 4

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), Board of Governors of the Federal Reserve System, University of Tasmania and Vlerick Business School
Downloads 134 (262,477)
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), Board of Governors of the Federal Reserve System and Vlerick Business School
Downloads 1 (813,335)
Citation 3
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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 122 (280,572)
Citation 2

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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 80 (369,659)

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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 74 (390,745)
Citation 7

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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 Actuarial Studies and Business Analytics, The University of Sydney Business School and UNSW Australia Business School, School of Economics
Downloads 61 (427,774)
Citation 10

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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 56 (445,823)
Citation 4

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

10.

Industrial Firms and Systemic Risk

Number of pages: 37 Posted: 13 Apr 2020
University of Tasmania (deceased), National University of Ireland, Maynooth (Maynooth University) - Department of Economics, Finance and Accounting, National University of Ireland, Maynooth (Maynooth University) - Department of Economics, Finance and Accounting and Central Bank of Ireland
Downloads 54 (453,126)

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Systemic risk; MES; ΔCoVaR; industrial firms; financial crises

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 (deceased), Tasmanian School of Business and Economics, University of Tasmania, Wilfrid Laurier University - School of Business & Economics and University of Tasmania
Downloads 51 (464,690)
Citation 6

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Historical decomposition, DY Spillover, Granger Causality, Networks

12.

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 45 (489,455)
Citation 8

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13.

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 43 (498,288)
Citation 1

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

14.

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 40 (512,075)
Citation 1

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monetary policy, central banks, latent factor model

15.

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 32 (552,290)

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

16.

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 22 (614,243)

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

17.

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 19 (634,913)

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portfolio diversification, high frequency, realized variance, realized correlation

18.

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 19 (634,913)
Citation 1

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Asian markets, financial crises, network

19.

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 19 (634,913)

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China, SVAR, convergence, catch-up

20.

Banks and Sovereigns: Did Adversity Bring Them Closer?

QMS Research Paper 2020/05
Number of pages: 39 Posted: 17 Jun 2020
Mardi H. Dungey, Thomas Flavin and Lisa Sheenan
University of Tasmania (deceased), National University of Ireland, Maynooth (Maynooth University) - Department of Economics, Finance and Accounting and Queen's University Belfast - Queen's Management School
Downloads 16 (656,186)

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Sovereign bonds, Debt crisis, Banking crisis, Eurozone, Markov-switching VAR

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 15 (663,498)
Citation 4

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

Modelling Financial Contagion Using High Frequency Data

Yao W, Dungey M, Alexeev V, Modelling Financial Contagion Using High Frequency Data, Economic Record, 2020 Forthcoming
Number of pages: 36 Posted: 07 Jul 2020
Wenying Yao, Mardi H. Dungey and Vitali Alexeev
Deakin University - Department of Economics, University of Tasmania (deceased) and University of Technology Sydney
Downloads 13 (704,234)

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Factor model, Crisis transmission, Jumps, High frequency data

23.

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 13 (678,486)
Citation 1

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

24.

Changing Vulnerability in Asia: Contagion and Systemic Risk

Asian Development Bank Economics Working Paper Series No. 583
Number of pages: 46 Posted: 04 May 2020
Mardi H. Dungey, Moses Kangogo and Vladimir Volkov
University of Tasmania (deceased), University of Tasmania and Tasmania School of Business and Economics, University of Tasmania
Downloads 12 (686,148)

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Asian markets, financial crises, networks

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 10 (729,367)

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Exchange rate risk, firm value, European firms

26.

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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27.

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

28.

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
Downloads 0 (794,362)
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