Baur, Dirk G.; Fry, Renée A. - In: Journal of Asian Economics 20 (2009) 4, pp. 353-366
This paper proposes a multivariate test to measure the statistical and economic significance of contagion through analysis of extreme unobserved common shocks. Contagious episodes are endogenously determined with no need, but the possibility, to specify the source country. Application to a panel...