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Transmission of financial crises and contagion : a latent factor approach

Dungey, Mardi H.; Fry, Renée A.; González Hermosillo, … - 2011

Persistent link: https://www.econbiz.de/10008842351

The econometrics of financial markets

Pagan, Adrian R. - In: Journal of empirical finance 3 (1996) 1, pp. 15-102

Persistent link: https://www.econbiz.de/10001208678

Towards an understanding of some business cycle characteristics

Pagan, Adrian R. - In: The Australian economic review 30 (1997) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10001223615

The Tsunami : measures of contagion in the 2007 - 2008 credit crunch : financial crisis (Focus)

Dungey, Mardi H. - In: CESifo forum : a bi-monthly journal on European … 9 (2008) 4, pp. 33-43

Persistent link: https://www.econbiz.de/10003792704

Some experiments in constructing a hybrid model for macroeconomic analysis

McKibbin, Warwick J.; Pagan, Adrian R.; Robertson, John C. - In: Carnegie Rochester conference series on public policy : … 49 (1998), pp. 113-142

Persistent link: https://www.econbiz.de/10001419380

Some experiments in constructing a hybrid model for macroeconomic analysis : a comment

Geweke, John - In: Carnegie Rochester conference series on public policy : … 49 (1998), pp. 143-147

Persistent link: https://www.econbiz.de/10001419382

The credit channel and monetary transmission in Brazil and Chile : a structured VAR approach

Catão, Luis; Pagan, Adrian R. - 2009

Persistent link: https://www.econbiz.de/10003978950

The credit channel and monetary transmission in Brazil and Chile : a structural VAR approach

Catão, Luis; Pagan, Adrian R. - 2010

Persistent link: https://www.econbiz.de/10008823202

The credit channel and monetary transmission in Brazil and Chile: a structured VAR approach

Catão, Luis; Pagan, Adrian R. - In: Monetary policy under financial turbulence : …, (pp. 105-144). 2011

Persistent link: https://www.econbiz.de/10009537352

Systematic and liquidity risk in subprime-mortgage backed securities

Dungey, Mardi; Dwyer, Gerald P.; Flavin, Thomas - 2011

The misevaluation of risk in securitized financial products is central to understanding the financial crisis of 2007 - 8. This paper characterizes the evolution of factors affecting collateralized debt obligations based on subprime mortgages. A key feature of subprime-mortgage backed indices is...

Persistent link: https://www.econbiz.de/10010292259