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Determination of the Time of Contagion in Capital Markets Based on the Switching Model

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  • Milda Maria Burzala

    (Poznan University of Economics)

Abstract

This article attempts to compare conclusions made about market contagion based on the periods indicated by using the Markov-switching model and based on a range for unconditional correlations as well as on arbitrary arrangements. DCC-model was used to control for correlation change over time. Determination of extremely high correlations by using a range for unconditional correlations and the MS(3) switching model yields similar results regarding conclusions about the occurrence of the process of contagion in a market. Conclusions about contagion are, however, made at a higher significance level in the case of the switching model.

Suggested Citation

  • Milda Maria Burzala, 2013. "Determination of the Time of Contagion in Capital Markets Based on the Switching Model," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 69-86.
    • Handle: RePEc:cpn:umkdem:v:13:y:2013:p:69-86
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models

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