Browsing School of Technology by Subject "financial crises"

Now showing items 1-3 of 3

  • 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. ...

  • 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 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 ...