Empirical Modeling of Contagion: A Review of Methodologies
University of Cambridge - Cambridge Endowment for Research in Finance (CERF)
Australian National University (ANU) - Department of Economics
IMF Working Paper No. WP/04/78
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.
Number of Pages in PDF File: 33
Keywords: contagion, financial crises
JEL Classification: C15, F31working papers series
Date posted: February 15, 2006
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