Mardi Dungey, Renee Fry, Vance Martin, and Brenda Gonzalez-Hermosillo
INTERNATIONAL MONETARY FUND
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, endogeneity issues, and structural breaks.