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His wife, Joan Didion, published The Year of Magical Thinking in October 2005 to critical acclaim, a memoir of the year following his death, during which their daughter, Quintana Roo Dunne, was seriously ill.
He was father to Quintana Roo Dunne, who died in 2005 after a series of illnesses, and uncle to actors Griffin Dunne (who co-starred in An American Werewolf in London) and Dominique Dunne (who co-starred in Poltergeist).