Empirical modelling of contagion: a review of methodologies M Dungey*, R Fry, B González-Hermosillo, VL Martin Quantitative finance 5 (1), 9-24, 2005 | 651 | 2005 |
A structural VAR model of the Australian economy M Dungey, A Pagan Economic record 76 (235), 321-342, 2000 | 382 | 2000 |
Unravelling financial market linkages during crises M Dungey, VL Martin Journal of Applied Econometrics 22 (1), 89-119, 2007 | 279 | 2007 |
The identification of fiscal and monetary policy in a structural VAR M Dungey, R Fry Economic Modelling 26 (6), 1147-1160, 2009 | 237 | 2009 |
The impact of natural disasters on household income, expenditure, poverty and inequality: evidence from Vietnam AT Bui, M Dungey, CV Nguyen, TP Pham Applied Economics 46 (15), 1751-1766, 2014 | 205 | 2014 |
Contagion and banking crisis–International evidence for 2007–2009 M Dungey, D Gajurel Journal of Banking & Finance 60, 271-283, 2015 | 199 | 2015 |
A multivariate latent factor decomposition of international bond yield spreads M Dungey, VL Martin, AR Pagan Journal of Applied Econometrics 15 (6), 697-715, 2000 | 177 | 2000 |
Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies M Dungey, D Gajurel Economic Systems 38 (2), 161-177, 2014 | 170 | 2014 |
Contagion in international bond markets during the Russian and the LTCM crises M Dungey, R Fry, B González-Hermosillo, V Martin Journal of Financial Stability 2 (1), 1-27, 2006 | 166 | 2006 |
Testing for contagion using correlations: some words of caution M Dungey, D Zhumabekova Pacific Basin Working Paper Series, 2001 | 156 | 2001 |
Empirical evidence on jumps in the term structure of the US Treasury market M Dungey, M McKenzie, LV Smith Journal of Empirical Finance 16 (3), 430-445, 2009 | 140 | 2009 |
Extending a SVAR model of the Australian economy M Dungey, A Pagan Economic Record 85 (268), 1-20, 2009 | 118 | 2009 |
Cojumping: Evidence from the US Treasury bond and futures markets M Dungey, L Hvozdyk Journal of Banking & Finance 36 (5), 1563-1575, 2012 | 98 | 2012 |
Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises M Dungey, R Fry, B González-Hermosillo, VL Martin The North American Journal of Economics and Finance 18 (2), 155-174, 2007 | 95 | 2007 |
International contagion effects from the Russian crisis and the LTCM near-collapse M Dungey, R Fry, B González-Hermosillo, VL Martin IMF Working Paper, 2002 | 92 | 2002 |
Contagion across financial markets: An empirical assessment M Dungey, VL Martin Econometric Society, 2001 | 92 | 2001 |
Endogenous crisis dating and contagion using smooth transition structural GARCH M Dungey, G Milunovich, S Thorp, M Yang Journal of Banking & Finance 58, 71-79, 2015 | 90 | 2015 |
Unobservable shocks as carriers of contagion M Dungey, G Milunovich, S Thorp Journal of Banking & Finance 34 (5), 1008-1021, 2010 | 86 | 2010 |
Empirical modeling of contagion: a review of methodologies M Dungey, R Fry IMF Working Paper, 2004 | 83 | 2004 |
A web of shocks: crises across Asian real estate markets SA Bond, M Dungey, R Fry The Journal of Real Estate Finance and Economics 32, 253-274, 2006 | 82 | 2006 |