Empirical modelling of contagion: a review of methodologies
Change log
Authors
Dungey, M
Fry, R
Gonzalez Hermosillo, B
Martin, VL
Abstract
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.
Description
Keywords
38 Economics, 49 Mathematical Sciences, 35 Commerce, Management, Tourism and Services
Is Part Of
Publisher
Informa UK Limited