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Empirical Modeling of Contagion :, A Review of Methodologies, Mardi Dungey, Renee Fry, Vance Martin, Brenda Gonzalez-Hermosillo

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
Table Of Contents
""Contents""; ""I. INTRODUCTION""; ""II. A MODEL OF INTERDEPENDENCE""; ""III. UNANTICIPATED- SHOCK MODELS OF CONTAGION""; ""A. Bivariate Testing""; ""B. Multivariate Testing""; ""C. Structural Breaks""; ""D. Using Only Crisis Data""; ""E. Autoregressive and Heteroscedastic Dynamics""; ""IV. CORRELATION AND COVARIANCE ANALYSIS""; ""A. Bivariate Testing""; ""B. Alternative Formulation""; ""C. Relationship with Unanticipated-Shock Models""; ""D. Multivariate Testing""; ""E. Endogeneity Issues""; ""V. MODELS OF ASYMMETRIES AND NONLINEARITIES""; ""A. Outliers""
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (33 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781451995527

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