Determination of the Time of Contagion in Capital Markets Based on the Switching Model

Milda Burzala ()

Dynamic Econometric Models, 2013, vol. 13, 69-86

Abstract: This article attempts to compare conclusions made about market contagion based on the periods indicated by using the Markov-switching model and based on a range for unconditional correlations as well as on arbitrary arrangements. DCC-model was used to control for correlation change over time. Determination of extremely high correlations by using a range for unconditional correlations and the MS(3) switching model yields similar results regarding conclusions about the occurrence of the process of contagion in a market. Conclusions about contagion are, however, made at a higher significance level in the case of the switching model.

Keywords: switching model; DCC-model; contagion. (search for similar items in EconPapers)
JEL-codes: C24 G01 G15 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:13:y:2013:p:69-86

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