Empirical Modeling of Contagion : A Review of Methodologies

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Empirical Modeling of Contagion : A Review of Methodologies
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Volume/Issue:
2004/78
Series:
IMF Working Papers
Author(s):
Mardi Dungey, Renee Fry, Vance Martin, and Brenda Gonzalez-Hermosillo
Publisher:
INTERNATIONAL MONETARY FUND
Published Date:
May 2004
DOI:
http://dx.doi.org/10.5089/9781451850130.001
ISBN:
9781451850130
ISSN:
1018-5941
Page:
32
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.
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