Empirical modelling of contagion: a review of methodologies
Martin, Vance L
CFAP Working Paper
CFAP, Cambridge Judge Business School, University of Cambridge
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Dungey, M., Fry, R., Gonzalez-Hermosillo, B., & Martin, V. L. (2003). 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 multivariate testing, endogenous issues and structural breaks.
contagion, financial crises
This record's URL: http://www.dspace.cam.ac.uk/handle/1810/225208