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...

Detecting contagion during financial crises requires demarcation of crisis periods. This paper presents a method for endogenous 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...

Markets in financial crisis may experience heightened sensitivity to news from abroad and they may also spread turbulence into foreign markets, creating contagion. We use a structural GARCH model to separate and measure these two parts of crisis transmission. Unobservable structural shocks are...