Empirical Modelling of Contagion: A Review of Methodologies
Mardi Dungey and
Renee Fry-McKibbin ()
No 243, Econometric Society 2004 Australasian Meetings from Econometric Society
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)
New Economics Papers: this item is included in nep-ifn
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24) Track citations by RSS feed
Downloads: (external link)
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)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ecm:ausm04:243
Access Statistics for this paper
More papers in Econometric Society 2004 Australasian Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().