Empirical modeling of contagion : review of methodologies /
The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate testing...
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Bibliographic Details
| Main Authors: |
Dungey, Mardi
(Author),
Fry, Renée
(Author),
González-Hermosillo, Brenda
(Author),
Martin, Vance (Economist)
(Author) |
|---|
| Corporate Author: |
IMF Institute |
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| Format: | Book
|
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| Language: | English |
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| Published: |
[Washington, D.C.] :
International Monetary Fund, IMF Institute.,
2004
|
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| Series: | IMF working paper ;
WP/04/78
|
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| Subjects: |
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