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Empirical Modelling of Contagion: A Review of Methodologies

  • Vance L. Martin
  • Brenda Gonzalez-Hermosillo,
  • Mardi Dungey
  • Renee A. Fry

The existing literature promotes 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 which allow for multivarite testing, endogeneity issues and structural breaks.

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Paper provided by Econometric Society in its series Econometric Society 2004 Australasian Meetings with number 243.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:ausm04:243
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