Econometric Issues in the Analysis of Contagion
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- Pesaran, M. Hashem & Pick, Andreas, 2007. "Econometric issues in the analysis of contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1245-1277, April.
- Pesaran, M.H. & Pick, A., 2004. "Econometric Issues in the Analysis of Contagion," Cambridge Working Papers in Economics 0402, Faculty of Economics, University of Cambridge.
- Hashem Pesaran & Andreas Pick, 2004. "Econometric Issues in the Analysis of Contagion," Money Macro and Finance (MMF) Research Group Conference 2004 67, Money Macro and Finance Research Group.
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More about this item
Keywords
contagion; inter-dependence; identification; financial crises;JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2004-06-02 (All new papers)
- NEP-ETS-2004-06-02 (Econometric Time Series)
- NEP-IFN-2004-06-02 (International Finance)
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