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Empirical Modelling of Contagion: A Review of Methodologies

Vance Martin, Mardi Dungey () and M.
Authors registered in the RePEc Author Service: Renee A. Fry-McKibbin ()

No 574, Econometric Society 2004 Far Eastern 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)
New Economics Papers: this item is included in nep-ifn and nep-pke
Date: 2004-08-11
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http://repec.org/esFEAM04/up.3665.1080097800.pdf (application/pdf)

Related works:
Journal Article: Empirical modelling of contagion: a review of methodologies (2005) Downloads
Working Paper: Empirical Modelling of Contagion: A Review of Methodologies (2004) Downloads
Working Paper: Empirical Modeling of Contagion; A Review of Methodologies (2004) Downloads
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