Now showing items 2-8 of 8

    • Detecting Contagion with Correlation: Volatility and Timing Matter 

      Dungey, Mardi; Yalama, Abdullah (CFAP, Cambridge Judge Business School, University of Cambridge, 2010-05)
      We examine whether contagion tests are affected by controls for volatility clustering and the collection of synchronized data sets. Without controlling for volatility clustering synchronization does not apparently matter. ...
    • Empirical modelling of contagion: a review of methodologies 

      Dungey, Mardi; Fry, Renee; Gonzalez-Hermosillo, Brenda; Martin, Vance L (CFAP, Cambridge Judge Business School, University of Cambridge, 2003-10)
      The existing literature promotes a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. ...
    • From Trade-to-Trade in US Treasuries 

      Dungey, Mardi; Henry, Olan; McKenzie, Michael (CFAP, Cambridge Judge Business School, University of Cambridge, 2010-05)
      The aim of this paper is to model the trading intensity of the US Treasury bond market which has a unique expandable limit order book which distinguishes its structure from other asset markets. An analysis of tick data ...
    • International financial contagion: what do we know? 

      Dungey, Mardi; Tambakis, Demosthenes N (CFAP, Cambridge Judge Business School, University of Cambridge, 2003-07)
      This paper attempts a synthesis of theoretical and empirical work on international financial contagion. Although a professional consensus on the appropriate definitions of contagion has yet to emerge, we document substantial ...
    • Synchronisation of financial crises 

      Dungey, Mardi; Jacobs, Jan P A M; Lestano (CFAP, Cambridge Judge Business School, University of Cambridge, 2005-08)
      This paper develops concordance indices for studying the simultaneous occurrence of financial crises. The indices are designed to cope with these typically low incidence events. This leads us to confine attention to ...
    • The Term Premium and The UK Economy 1980-2007 

      Dungey, Mardi; Vehbi, M Tugrul (2010)
      The term premium is estimated from an empirically coherent open economy VAR model of the UK economy where the model specifically accounts for the mixed nature of the data and cointegration between some variables. Using ...
    • The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high frequency data 

      Dungey, Mardi; Goodheart, Charles; Tambakis, Demosthenes N (CFAP, Cambridge Judge Business School, University of Cambridge, 2005-09)
      The second half of August 1998 was dominated by two events. From 14 to 28 August, the Hong Kong Monetary Authority (HKMA) intervened in the Hong Kong equity markets to prevent a speculative double play against their ...