Author: Mr. Mardi Dungey, Ms. Renee Fry, Mr. Vance Martin, and Ms. Brenda Gonzalez-Hermosillo
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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