Detecting contagion during financial crises requires the demarcation of crisis periods. We develop a method for endogenously dating both the start and finish of crises, along with measuring contagion effects. Identification is achieved by coupling smooth transition functions with structural...

We conduct a pseudo real-time analysis of the existence and severity of speculative bubbles in eleven US sectors over the period 1973-2015. Based on the real-time bubble signals, a trading strategy is constructed which switches funds between the market index and those industry sectors that...

Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal...