Dungey, Mardi; Milunovich, George; Thorp, Susan; Yang, … - School of Economics and Finance, Tasmanian School of … - 2012
Detecting contagion during financial crises requires demarcation of crisis periods. This paper presents a method for endogeneous dating of both the start and finish of crises, coupled with the statistical detection of contagion effects. We couple smooth transition functions with structural GARCH...