Abstract

  
 

References (78)



 
 

Citations (47)



 


 



Empirical Modeling of Contagion: A Review of Methodologies


Mardi Dungey


University of Cambridge - Cambridge Endowment for Research in Finance (CERF)

Renee Fry


Australian National University (ANU) - Department of Economics
May 2004

IMF Working Paper No. WP/04/78

Abstract:     
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, F31

working papers series


Download This Paper

Date posted: February 15, 2006  

Suggested Citation

Dungey, Mardi and Fry, Renee, Empirical Modeling of Contagion: A Review of Methodologies (May 2004). IMF Working Paper, Vol. , pp. 1-33, 2004. Available at SSRN: http://ssrn.com/abstract=878901

Contact Information

Mardi Dungey (Contact Author)
University of Cambridge - Cambridge Endowment for Research in Finance (CERF) ( email )
Trumpington Street
Cambridge, CB2 1AG
United Kingdom
HOME PAGE: http://www.dungey.bigpondhosting.com
Renee Fry
Australian National University (ANU) - Department of Economics ( email )
Canberra, Australian Capital Territory 2600
Australia
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 408
Downloads: 143
Download Rank: 102,240
References:  78
Citations:  47

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo6 in 0.531 seconds