Bodart, Vincent; Candelon, Bertrand - In: Emerging Markets Review 10 (2009) 2, pp. 140-150
This paper proposes a new measure of contagion, based on the frequency analysis of causality developed recently by Breitung and Candelon [Breitung, J., Candelon, B. 2006. Testing for short and long-run causality: a frequency domain approach, Journal of Econometrics, 12, 363-378.]. This approach...