Baele, Lieven; Inghelbrecht, Koen - In: Journal of International Money and Finance 29 (2010) 5, pp. 791-818
Bekaert et al. (2005) define contagion as "correlation over and above what one would expect from economic fundamentals". Based on a two-factor asset pricing specification to model fundamentally-driven linkages between markets, they define contagion as correlation among the model residuals,...
