Skip navigation
Skip navigation

Unravelling financial market linkages during crises

Dungey, Mardi; Martin, Vance L


An empirical model of multiple asset classes across countries is formulated in a latent factor framework. A special feature of the model is that financial market linkages during periods of financial crises, including spillover and contagion effects, are formally specified. The model also captures a range of common factors including global shocks, country and market shocks, and idiosyncratic shocks. The framework is applied to modelling linkages between currency and equity markets during the...[Show more]

CollectionsANU Research Publications
Date published: 2007
Type: Journal article
Source: Journal of Applied Econometrics
DOI: 10.1002/jae.936


File Description SizeFormat Image
01_Dungey_Unravelling_financial_market_2007.pdf277.56 kBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  20 July 2017/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator