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ContagT: GAUSS module to implement a pairwise bootstrap test for contagion

Author

Listed:
  • Scott Hacker

    (Jonkoping University, Sweden)

  • Abdulnasser Hatemi-J

    (UAE University)

Programming Language

GAUSS

Abstract

This GAUSS module performs the Hatemi-J and Hacker (2005) pairwise bootstrap test for contagion during financial crisis and it also gives pairwise bootstrap estimators and the corresponding bootstrap P-values as suggested by the authors. For technical description see the published paper.

Suggested Citation

  • Scott Hacker & Abdulnasser Hatemi-J, 2009. "ContagT: GAUSS module to implement a pairwise bootstrap test for contagion," Statistical Software Components G00007, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:g00007
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/c/ContagT.prg
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/ContagT.txt
    File Function: documentation
    Download Restriction: no
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    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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    Cited by:

    1. Hatemi-J, Abdulnasser, 2010. "Did the Austrian Financial Market Become more Integrated with the German Market after EU Accession? - Il mercato finanziario austriaco si è integrato maggiormente con quello tedesco dopo l’adesione al," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 63(3), pages 297-304.
    2. Abdulnasser Hatemi-J & Eduardo Roca, 2010. "The Impact of the US Real Estate Market on Other Major Markets During Normal and Crisis Periods," Discussion Papers in Finance finance:201003, Griffith University, Department of Accounting, Finance and Economics.
    3. Hatemi-J, Abdulnasser & Roca, Eduardo, 2011. "How globally contagious was the recent US real estate market crisis? Evidence based on a new contagion test," Economic Modelling, Elsevier, vol. 28(6), pages 2560-2565.
    4. Abdulnasser Hatemi-J & Eduardo Roca, 2011. "Are Real Estate Markets Integrated with the World Market?," Discussion Papers in Finance finance:201111, Griffith University, Department of Accounting, Finance and Economics.
    5. Harun UCAK & Ilhan OZTURK & Alper ASLAN, 2014. "An Examination of Fisher Effect for Selected New EU Member States," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 956-959.
    6. Domingo Rodríguez Benavides & Ignacio Perrotini Hernández, 2019. "Las correlaciones dinámicas de contagio financiero:Estados Unidos y América Latina," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(2), pages 151-168, Abril-Jun.
    7. Hatemi-J, Abdulnasser & Sarmiento-Sabogal, Julio, 2013. "An Empirical Investigation of the Colombian Stock Market Reaction to the US Market: Evidence from a Casewise Bootstrap Approach - Un’analisi empirica della reazione del mercato azionario colombiano al," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 66(1), pages 57-67.

    More about this item

    Keywords

    contagion; bootstrap; GAUSS;
    All these keywords.

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