Empirical Modeling of Contagion : A Review of Methodologies

Dungey, Mardi

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

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Year of publication:	2004
Authors:	Dungey, Mardi
Other Persons:	González-Hermosillo, Brenda (contributor) ; Dungey, Mardi (contributor) ; Fry, Renee (contributor) ; Martin, Vance (contributor)
Publisher:	Washington, D.C : International Monetary Fund
Subject:	Wirtschaftswachstum \| Economic growth \| Australien \| Australia \| Wirkungsanalyse \| Impact assessment \| Inflation \| Vergleich \| Comparison \| Kanada \| Canada \| Bruttoinlandsprodukt \| Gross domestic product \| Produktionspotenzial \| Potential output \| Theorie \| Theory

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Extent:	Online-Ressource (32 p)
Series:	IMF working papers. - Washington, DC : IMF, ZDB-ID 2108494-4. - Vol. Working Paper No. 04/78
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper
Language:	English
ISBN:	1-4518-5013-1 ; 978-1-4518-5013-0
Other identifiers:	10.5089/9781451850130.001 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014401432