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A multilateral approach to decomposing volatility in bilateral exchange rates

Dungey, Mardi H. - 1997

Persistent link: https://www.econbiz.de/10000959373

Identifying terms of trade effects in real exchange rate movements : evidence from Asia

Dungey, Mardi H. - In: Journal of Asian economics 15 (2004) 2, pp. 217-235

Persistent link: https://www.econbiz.de/10002118960

Identifying terms of trade effect in real exchange rate movements : evidence from Asia

Dungey, Mardi H. - In: Asian economic cooperation in the new millennium : …, (pp. 213-233). 2004

Persistent link: https://www.econbiz.de/10002902643

Volatility of the Australian dollar exchange rate

Boulton, Lindsay F.; Dungey, Mardi H.; Parkin, Melissa B. - 1990

Persistent link: https://www.econbiz.de/10000805029

Continuous and jump betas : implications for portfolio diversification

Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...

Persistent link: https://www.econbiz.de/10011506397