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Empirical modelling of contagion: a review of methodologies

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  • Mardi Dungey
  • Renee Fry
  • Brenda Gonzalez-Hermosillo
  • Vance Martin

Abstract

The existing literature suggests 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 that allow for multivariate testing, endogeneity issues, and structural breaks.
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  • Mardi Dungey & Renee Fry & Brenda Gonzalez-Hermosillo & Vance Martin, 2005. "Empirical modelling of contagion: a review of methodologies," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 9-24.
  • Handle: RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24
    DOI: 10.1080/14697680500142045
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    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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