Bodart, Vincent; Candelon, Bertrand - Maastricht : METEOR, Maastricht Research School of … - 2005
The purpose of this paper is to propose a new measure of contagion. Our approach to testing contagion is based on the frequency analysis of causality developed recently by Breitung and Candelon (2004). This approach handles, in a unified framework, several of the statistical problems identified...