Publications

  • PUBLISHED ARTICLES

2020 Examining stress in Asian currencies: A perspective offered by high frequency financial market data | Dungey M., Matei M. & Treepongkaruna S. | Journal of International Financial Markets, Institutions & Money | Volume 67 (101200), pp. 1-18. Link: https://authors.elsevier.com/a/1bPqW3j1YpubCk

2019 Bivariate Volatility Modelling with High Frequency Data | Matei M., Rovira X. & Agell N. | Econometrics | 7(3), 41

2018 Testing for Mutually Exciting Jumps and Financial Flights in High Frequency Data | Dungey M., Erdemlioglu D., Matei M. & Yang X. | Journal of Econometrics | Vol . 202(2018), 18-44

2017 Surfing through the GFC: Systemic Risk in Australia | Dungey M., Luciani M., Matei M. & Veredas D. | Economic Record | Vol 93(300)

2012 Price Volatility Forecast for Agricultural Commodity Futures: The Role of High Frequency Data | Matei M., Huang W., Huang Z. & Wang T. | Romanian Journal of Economic Forecasting | Vol 15(4)

2012 Perspectives on Risk Measurement - A critical Assessment of PC-GARCH Against the Main Volatility Forecasting Models | Matei M. | Romanian Journal of Economic Forecasting | Vol.15(1)

2011 Non-linear Volatility Modelling of Economic and Financial Time Series Using High Frequency Data | Matei M. | Romanian Journal of Economic Forecasting | Vol. 14(2), also book chapter in ‘Non-Linear Modelling in Economics - Beyond Standard Economics’, Expert: Bucharest, 2011

2009 Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead | Matei M. |Romanian Journal of Economic Forecasting | Vol.12(4)


  • SUBMITTED ARTICLES

▫ Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized GARCH Approach | Banulescu G. D., Hansen P. R., Matei M. & Huang Z. | revise and resubmit at Journal of Banking & Finance


  • WORKING PAPERS

▫ Notes on FX Global Intensities | Dungey M., Matei M. & Novotný J.

▫ Impact of Illiquidity in Identification of Financial Stress Periods: A Simulation Approach | Dungey M., Matei M. & Treepongkaruna S.

▫ F inancial Modelling with Cryptocurrencies High Frequency Data | Matei M. & Milunovich G..


  • BOOKS

2012 Techniques of forecasting volatility an returns of high frequency time series. Macro-micro binomial from the data aggregation and synthetising perspective | Matei Marius | Expert: Bucharest, ISBN 978-973-618-380-5


  • BOOK CHAPTERS

2015 Modelling and Measuring jumps in High Frequency Data | Matei Marius | in ‘Selected issues in macroeconomic and regional modelling: Romania an emerging country in EU’, Nova Science Publishers: NY, ISBN 978-1-63484-936-4

2011 Non-linear Volatility Modelling of Economic and Financial Time Series Using High Frequency Data | Matei Marius | in ‘Non-Linear Modelling in Economics - Beyond Standard Economics’, Expert: Bucharest, ISBN 978-973-618-260-0