Unravelling financial market linkages during crises
By Mardi Dungey, Vance L. Martin. 2007
221 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9977deba59f41cd2c9b0c49f5b15ef47ddba29f8
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Michael Ehrmann
- Marcel Fratzscher
- Dinesh Gajurel
- Renée Fry
- R. Vermeulen
- Theoharry Grammatikos
- Mardi Dungey
- Vance L. Martin
In Finance
- Marcel Fratzscher
- Michael Ehrmann
- Dinesh Gajurel
- R. Vermeulen
- Theoharry Grammatikos
- Mardi Dungey
- Renée Fry
- Vance L. Martin
Citations in the corpus
- Transmission of the Financial and Sovereign Debt Crises to the EMU: Stock Prices, CDS Spreads and Exchange Rates (2012, methodology): “Scholars use several methodologies when dealing with daily data, e.g. GARCH models (Hamao et al, 1990; Engle et al, 1990), correlations (Forbes and Rigobon, 2002), logit models (Bae et al, 2003) and factor models (Dungey and Martin, 2007).”
- Contagion and Banking Crisis - International Evidence for 2007-2009 (2015, background): “However, during a period of stress, shocks from the crisisoriginating economy may impact over and above these spillovers, denoted as idiosyncratic contagion, (Dungey et al., 2005; Dungey and Martin, 2007).”
- A New Class of Tests of Contagion With Applications (2008, background): “where rf,t+1 is the risk free rate of interest, (11) becomes”
- Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis (2017, background): “See Dungey and Martin (2007) for an excellent review.”
- Contagion as a domino effect in global stock markets (2009, unknown): “For instance, Dungey and Martin (2007) use factor models with world, regional and country factors and define contagion as the correlation between the residuals.”
- A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach (2013, unknown): “To address the above-mentioned concerns, some researchers have applied multivariate-GARCH models (Ang and Chen, 2002; Tastan, 2006; Dungey and Martin, 2007), or Hamilton's regime-switching models (Ang and Bekaert, 2002; Ang and Chen, 2002) to model the joint dynamics of returns.”