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Empirical modelling of contagion: a review of methodologies

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

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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Article provided by Taylor & Francis Journals in its journal Quantitative Finance.

Volume (Year): 5 (2005)
Issue (Month): 1 ()
Pages: 9-24

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Handle: RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24
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