Empirical Modeling of Contagion : A Review of Methodologies

The existing literature suggests 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 that allow for multivariate testing, endogeneity issues, and structural breaks

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Year of publication:	[2006]
Authors:	Dungey, Mardi H.
Other Persons:	Fry, Renee (contributor)
Publisher:	[2006]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (33 p)
Series:	IMF Working Paper, Vol. , pp. 1-33, 2004
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2004 erstellt
Other identifiers:	10.2139/ssrn.878901 [DOI]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; F31 - Foreign Exchange
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012783185