Empirical modelling of contagion: a review of methodologies

DOI10.1080/14697680500142045zbMATH Open1118.62363OpenAlexW2171728272WikidataQ110446016 ScholiaQ110446016MaRDI QIDQ5697332FDOQ5697332

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)

• Title not available (Why is that?)
• Empirical asset pricing with multi-period disaster risk: a simulation-based approach
• On spatial contagion and multivariate GARCH models
• Testing for mutually exciting jumps and financial flights in high frequency data
• A new Bayesian model for contagion and interdependence
• Mildly explosive dynamics in U.S. fixed income markets
• Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas
• A statistical procedure for testing financial contagion
• Econometric issues in the analysis of contagion
• Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach
• Volatility transmission patterns and terrorist attacks
• Contagion in eurozone sovereign bond markets? The good, the bad and the ugly
• Joint tests of contagion with applications
• Did China avoid the ‘Asian flu’? The contagion effect test with dynamic correlation coefficients
• A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model
• Spatial contagion between financial markets: a copula-based approach
• Co-movements, option pricing and risk management: an application to WTI versus Brent spread options
• Characterizing financial crises using high-frequency data
• Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion

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