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Identification of Common and Idiosyncratic Shocks in Real Equity Prices: Australia 1982 to 2002

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  • Mardi Dungey

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  • Renee Fry

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Bibliographic Info

Paper provided by The Australian National University, Arndt-Corden Department of Economics in its series Departmental Working Papers with number 2003-18.

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Date of creation: 2003
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Handle: RePEc:pas:papers:2003-18

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Cited by:
  1. Olfa Kaabia & Ilyes Abid & Khaled Guesmi, 2012. "Does Bayesian Shrinkage Help to Better Reflect What Happened during the Subprime Crisis?," EconomiX Working Papers 2012-46, University of Paris West - Nanterre la Défense, EconomiX.
  2. Brenda González-Hermosillo & Vance Martin & Mardi Dungey & Renee Fry, 2003. "Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises," IMF Working Papers 03/251, International Monetary Fund.
  3. Dungey, Mardi & Fry, Renee & Martin, Vance L., 2004. "Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002," Global Finance Journal, Elsevier, vol. 15(1), pages 81-102.

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