Empirical modelling of contagion: a review of methodologies

DOI10.1080/14697680500142045MaRDI QIDQ5697332zbMATH OpenOpenAlexWikidataFDO

Authors Mardi Dungey, Renée Fry, Brenda González-Hermosillo, Vance Martin

Publication date 17 October 2005

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://www.dspace.cam.ac.uk/handle/1810/225208

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• Alternative models for stock price dynamics.
• Errors in Variables
• The Fitting of Straight Lines if Both Variables are Subject to Error

Cited in

(19)

• Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach
• A statistical procedure for testing financial contagion
• Testing for mutually exciting jumps and financial flights in high frequency data
• Joint tests of contagion with applications
• A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model
• Co-movements, option pricing and risk management: an application to WTI versus Brent spread options
• A new Bayesian model for contagion and interdependence
• On spatial contagion and multivariate GARCH models
• Mildly explosive dynamics in U.S. fixed income markets
• Did China avoid the ‘Asian flu’? The contagion effect test with dynamic correlation coefficients
• Characterizing financial crises using high-frequency data
• scientific article; zbMATH DE number 7686977 (Why is no real title available?)
• Empirical asset pricing with multi-period disaster risk: a simulation-based approach
• Spatial contagion between financial markets: a copula-based approach
• Volatility transmission patterns and terrorist attacks
• Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas
• Econometric issues in the analysis of contagion
• Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
• Contagion in eurozone sovereign bond markets? The good, the bad and the ugly

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