Empirical Modelling of Contagion: A Review of Methodologies

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.

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Year of publication:	2004-08-11
Authors:	Martin, Vance L. ; Gonzalez-Hermosillo, Brenda ; Dungey, Mardi ; Fry, Renee A.
Institutions:	Econometric Society
Subject:	Contagion \| Financial Crises

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Extent:	application/pdf
Series:	Econometric Society 2004 Australasian Meetings.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Econometric Society Australasian Meetings 2004 Number 243
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005063666