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Is there life in the old dogs yet? Making break-tests work on financial contagion

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Author Info

  • Bartosz Gębka

    ()

  • Michail Karoglou

    ()

Abstract

Many tests of financial contagion require a definition of the dates separating calm from crisis periods. We propose to use a battery of break search procedures for individual time series to objectively identify potential break dates in relationships between countries. Applied to the biggest European stock markets and combined with two well established tests for financial contagion, this approach results in break dates which correctly identify the timing of changes in cross-country transmission mechanisms. Application of break search procedures breathes new life into the established contagion tests, allowing for an objective, data-driven timing of crisis periods. Copyright Springer Science+Business Media, LLC 2013

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File URL: http://hdl.handle.net/10.1007/s11156-012-0278-z
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Bibliographic Info

Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

Volume (Year): 40 (2013)
Issue (Month): 3 (April)
Pages: 485-507

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Handle: RePEc:kap:rqfnac:v:40:y:2013:i:3:p:485-507

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Web page: http://springerlink.metapress.com/link.asp?id=102990

Related research

Keywords: Breaks in time series; Financial contagion; C22; C51; G01; G15;

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References

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