Empirical Modeling of Contagion A Review of Methodologies |
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| Author:
| Dungey, Mardi
Fry, Renee
Martin, Vance |
| Series title: | IMF Working Papers |
| ISBN: | 978-1-4519-9552-7 |
| Publication Date: | May 2004 |
| Publisher: | International Monetary Fund
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| Book Format: | Ebook |
| List Price: | Contact Supplier contact
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Book Description:
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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.
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.