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Items where Subject is Field of Research, Commerce, Management, Tourism and Services, Banking, Finance and Investment, Financial Econometrics

Journal Article
Dungey, M and Tchatoka, FD and Yanotti, MB, Endogeneity in household mortgage choice, Economic Modelling, 73 pp. 30-44. ISSN 0264-9993 (2018) [Refereed Article] 
Sayeed, MA and Dungey, M and Yao, W, High frequency characterisation of Indian banking stocks, Journal of Emerging Market Finance, 17, (2S) pp. 1S-26S. ISSN 0972-6527 (2018) [Refereed Article] 
Chowdhury, B and Jeyasreedharan, N and Dungey, M, Quantile relationships between standard, diffusion and jump betas across Japanese banks, Journal of Asian Economics, 59 pp. 29-47. ISSN 1049-0078 (2018) [Refereed Article] 
Dungey, M and Erdemlioglu, D and Matei, M and Yang, X, Testing for mutually exciting jumps and financial flights in high frequency data, Journal of Econometrics, 202, (1) pp. 18-44. ISSN 0304-4076 (2018) [Refereed Article] 
Dungey, M and Tchatoka, FD and Yanotti, M, Using multiple correspondence analysis for finance: A tool for assessing financial inclusion, International Review of Financial Analysis, 59 pp. 212-222. ISSN 1057-5219 (2018) [Refereed Article] 
Alexeev, V and Dungey, M and Yao, W, Continuous and jump betas: implications for portfolio diversification, Econometrics, 3, (27) pp. 1-15. ISSN 2225-1146 (2016) [Refereed Article]
Jeyasreedharan, N and Nguyen, TML, Existence and Persistence of Conditional Skewness and Kurtosis: Evidence from Sri Lanka, International Journal of Accounting & Business Finance, 1, (2) pp. 14-25. ISSN 2448-9867 (2015) [Refereed Article] 
Jeyasreedharan, N, The Day-of-the-Week Effect: Anomaly or Illusion? New Evidence from Sri Lanka', International Journal of Accounting & Business Finance, 1, (1) pp. 42-57. ISSN 2448-9867 (2015) [Refereed Article] 
Jeyasreedharan, N and Allen, DE and Yang, JW, Yet Another ACD Model: The Autoregressive Conditional Directional Duration (ACDD) Model, Annals of Financial Economics, 9, (1) Article 1450004. ISSN 2010-4952 (2014) [Refereed Article] 
Matei, M, Perspectives on Risk Measurement - A Critical Assessment of PC-GARCH Against the Main Volatility Forecasting Models, Romanian Journal of Economic Forecasting, 15, (1) Article 6. ISSN 1582-6163 (2012) [Refereed Article] 
Huang, W and Huang, Z and Matei, M and Wang, T, Price volatility forecast for agricultural commodity futures: The role of high frequency data, Romanian Journal of Economic Forecasting, 15, (4) pp. 83-103. ISSN 1582-6163 (2012) [Refereed Article]
Matei, M, Non-Linear Volatility Modelling of Economic and Financial Time Series Using High Frequency Data, Romanian Journal of Economic Forecasting, 14, (2) pp. 116-141. ISSN 1582-6163 (2011) [Refereed Article] 
Matei, M, Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead, Romanian Journal of Economic Forecasting, 12, (4) pp. 42-65. ISSN 1582-6163 (2009) [Refereed Article] 
Dungey, MH and McKenzie, M and Smith, V, Empirical evidence on jumps in the term structure of the US treasury market, Journal of Empirical Finance, 16, (3) pp. 430-445. ISSN 0927-5398 (2009) [Refereed Article]
Poke, J and Wells, GM, The term spread and GDP growth in Australia, Economic Record, 85, (269) pp. 121-131. ISSN 0013-0249 (2009) [Refereed Article]
Dungey, MH, The Tsunami: Measures of Contagion in the 2007-08 Credit Crunch, CESifo Forum, 9, (4) pp. 33-43. ISSN 1615-245X (2009) [Non Refereed Article] 
Dungey, MH and Fry, R and Gonzalez-Hermosillo, B and Vance, M, Shocks and Systemic Influences: Contagion in Global Equity Markets in 1998, North American Journal of Economics & Finance, 18, (2) pp. 155-174. ISSN 1062-9408 (2007) [Refereed Article] 
Dungey, MH and Martin, V, Unravelling Financial Market Linkages During Crises, Journal of Applied Econometrics, 22, (1) pp. 89-119. ISSN 0883-7252 (2007) [Refereed Article]
Biekpe, N and Tippett, M and Willett, RJ, Accounting Earnings, Permanent Cash Flow and the Distribution of the Earnings to Price Ratio, British Accounting Review, The, 30, (2) pp. 105-40. ISSN 0890-8389 (1998) [Refereed Article] 
Book
Dungey, MH and Tambakis, DN, Identifying International Financial Contagion Progress and Challenges, Oxford University Press, New York, pp. 240. ISBN 0195187180 (2005) [Edited Book] 
Chapter in Book
Matei, M, Modelling and measuring jumps in high frequency data, Selected Issues in Macroeconomic and Regional Modeling: Romania as an Emerging Country in the EU, Nova Science Publishers, E Dobrescu, B Pauna, and C Saman (ed), New York, NY, pp. 245-254. ISBN 978-1-63484-936-4 (2016) [Research Book Chapter] 
Dungey, MH and Fry, R and Gonzalez-Hermosillo, B and Martin, V, A Comparison of Alternative Tests of Contagion with Applications, Identifying International Financial Contagion: Progress and Challenges, Oxford University Press, M Dungey and D Tambakis (ed), New York, pp. 60-85. ISBN 978-0-19-518-718-2 (2005) [Research Book Chapter]
Dungey, MH and Tambakis, D, Contagion: What Should we be looking for?, Identifying International Financial Contagion Progress and Challenges, Oxford University Press, M Dungey and D Tambakis (ed), New York, pp. 3-33. ISBN 978-0-19-518-718-2 (2005) [Research Book Chapter]
Conference Publication
Dungey, MH, The US Perspective, In Search of a New Bretton Woods: Reserve Currencies and Global Imbalances Fourth Florence Colloquium, October 20, 2006, Florence, Italy, pp. 15-43. (2007) [Non Refereed Conference Paper] 
Jeyasreedharan, N, Compound models of high-low speculative prices: a cointegration-based approach, University of Ballarat, 13-14 December 2004, Australia, pp. 413-432. ISBN 187685118X (2004) [Conference Edited] 

This list was generated on Mon May 20 05:35:25 2019.