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Empirical Modelling of Contagion: A Review of Methodologies

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Author Info
Martin, V.
Dungey
M.

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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 multivarite testing, endogeneity issues and structural breaks.

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Paper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 574.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:feam04:574

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Related research
Keywords: Contagion; Financial Crises;

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Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
F31 - International Economics - - International Finance - - - Foreign Exchange

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