Empirical Modeling of Contagion : A 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...
| Main Author: | |
|---|---|
| Other Authors: | , , |
| Format: | Journal |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
2004.
|
| Series: | IMF Working Papers; Working Paper ;
No. 2004/078 |
| Online Access: | Full text available on IMF |