| Title: | Empirical modelling of contagion: a review of methodologies |
| Authors: | Dungey, Mardi Fry, Renee Gonzalez-Hermosillo, Brenda Martin, Vance L |
| Keywords: | contagion financial crises |
| Issue Date: | Oct-2003 |
| Publisher: | CFAP, Cambridge Judge Business School, University of Cambridge |
| Citation: | JEL classification: C15, F31 |
| Series/Report no.: | CFAP Working Paper 08 |
| Abstract: | 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 multivariate testing, endogenous issues and structural breaks. |
| URI: | http://www.dspace.cam.ac.uk/handle/1810/225208 |
| Appears in Collections: | CFAP Working Papers |
Files in This Item:
|
| Additional resources for this item |
|---|
| search for alternative versions in eresources@cambridge |
| retrieve citation metadata in EndNote format |
This item has been accessed 397 times.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.