Empirical Modelling of Contagion: A Review of Methodologies

Vance Martin, Brenda Gonzalez-Hermosillo,, Mardi Dungey and Renee Fry-McKibbin

No 243, Econometric Society 2004 Australasian Meetings from Econometric Society

Abstract: The existing literature promotes a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods, and shows how they are related in a unified framework. A number of extensions are also suggested which allow for multivarite testing, endogeneity issues and structural breaks.

Keywords: Contagion; Financial Crises (search for similar items in EconPapers)
JEL-codes: C15 F31 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-ifn
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Citations: View citations in EconPapers (28)

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Related works:
Journal Article: Empirical modelling of contagion: a review of methodologies (2005)
Working Paper: Empirical Modelling of Contagion: A Review of Methodologies (2004)
Working Paper: Empirical Modeling of Contagion: A Review of Methodologies (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:ausm04:243

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