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Joint tests of contagion with applications
Fry-McKibbin, Renée; Hsiao, Cody Yu-Ling; Martin, Vance - In: Quantitative finance 19 (2019) 3, pp. 473-490
Persistent link: https://www.econbiz.de/10012194667
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Modeling trade duration in U.S. Treasury markets
Dungey, Mardi; Henry, Olan; Mckenzie, Michael - In: Quantitative finance 13 (2013) 9, pp. 1431-1442
Persistent link: https://www.econbiz.de/10010186153
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In memoriam Mardi Dungey
Dempster, Michael A. H.; Gatheral, Jim - In: Quantitative finance 22 (2022) 4, pp. 631-631
Persistent link: https://www.econbiz.de/10013367840
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Characterizing financial crises using high-frequency data
Dungey, Mardi H.; Holloway, Jet; Yalaman, Abdullah; … - In: Quantitative finance 22 (2022) 4, pp. 743-760
Persistent link: https://www.econbiz.de/10013367856