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Empirical Modeling of Contagion A Review of Methodologies

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...

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Bibliographic Details
Main Author: Dungey, Mardi
Other Authors: Fry, Renee, Gonzalez-Hermosillo, Brenda, Martin, Vance
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2004
Series:IMF Working Papers
Subjects:
Economic & Financial Crises & Disasters
Stock Exchanges
Factor Models
Finance
Dynamic Treatment Effect Models
Financial Crises
Capital Market
Diffusion Processes
General Financial Markets: General (includes Measurement And Data)
Vector Autoregression
Principal Components
Time-series Models
Cluster Analysis
Stock Markets
Econometric Models
Econometrics
Dynamic Quantile Regressions
Financial Risk Management
Econometrics & Economic Statistics
Finance: General
Classification Methods
Securities Markets
Brazil
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary: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
Physical Description:32 pages
ISBN:9781451850130

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