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Empirical Modelling of Contagion: A Review of Methodologies

Author

Listed:
  • Vance L. Martin
  • Brenda Gonzalez-Hermosillo,
  • Mardi Dungey
  • Renee A. Fry
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 multivarite testing, endogeneity issues and structural breaks.

Suggested Citation

  • 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.
    • Handle: RePEc:ecm:ausm04:243
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    Keywords

    Contagion; Financial Crises;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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