Detecting Contagion with Correlation: Volatility and Timing Matter
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- Mardi Dungey & Abdullah Yalama, 2009. "Detecting Contagion with Correlation: Volatility and Timing Matter," CAMA Working Papers 2009-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
References listed on IDEAS
- Laura E. Kodres & Matthew Pritsker, 2002. "A Rational Expectations Model of Financial Contagion," Journal of Finance, American Finance Association, vol. 57(2), pages 769-799, April.
- Kristin J. Forbes & Roberto Rigobon, 2002.
"No Contagion, Only Interdependence: Measuring Stock Market Comovements,"
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American Finance Association, vol. 57(5), pages 2223-2261, October.
- Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
- Mardi Dungey & Renee Fry & Brenda Gonzalez-Hermosillo & Vance Martin, 2005.
"Empirical modelling of contagion: a review of methodologies,"
Taylor & Francis Journals, vol. 5(1), pages 9-24.
- Mardi Dungey & Renee Fry & Vance Martin & Brenda Gonzalez-Hermosillo, 2004. "Empirical Modeling of Contagion; A Review of Methodologies," IMF Working Papers 04/78, International Monetary Fund.
- Vance L. Martin & Brenda Gonzalez-Hermosillo, & Mardi Dungey & Renee A. Fry, 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Australasian Meetings 243, Econometric Society.
- Martin, V. & Dungey & M., 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Far Eastern Meetings 574, Econometric Society.
- Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
- Stefanie Kleimeier & Thorsten Lehnert & Willem F. C. Verschoor, 2008. "Measuring Financial Contagion Using Time-Aligned Data: The Importance of the Speed of Transmission of Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(4), pages 493-508, August.
- Martens, Martin & Poon, Ser-Huang, 2001. "Returns synchronization and daily correlation dynamics between international stock markets," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1805-1827, October.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Abdullah Yalama, 2012. "International Financial Contagion: The Role of the UK," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 26(2), pages 115-129.
- Tabak, Benjamin M. & de Castro Miranda, Rodrigo & da Silva Medeiros, Maurício, 2016. "Contagion in CDS, banking and equity markets," Economic Systems, Elsevier, vol. 40(1), pages 120-134.
More about this item
KeywordsContagion; interdependence; timing; volatility spillover;
- G01 - Financial Economics - - General - - - Financial Crises
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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