Browsing by Author "Dungey, Mardi"

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Browsing by Author "Dungey, Mardi"

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  • Dungey, Mardi; Pagan, Adrian (Blackwell Publishing Ltd, 2009)
    Dungey and Pagan (2000) present a SVAR model of the Australian economy which models macroeconomic outcomes as transitory deviations from a deterministic trend. In this paper we extend that model in two directions. First, ...
  • Dungey, Mardi; Milunovich, George; Thorp, Susan (Elsevier Inc, 2010)
    We propose an identified structural GARCH model to disentangle the dynamics of financial market crises. We distinguish between the hypersensitivity of a domestic market in crisis to news from foreign non-crisis markets, ...