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Empirical Modelling of Contagion: A Review of Methodologies

McKibbin, Renee Anne; Dungey, Mardi; González-Hermosillo, Brenda; Martin, Vance L.


There is now a reasonably large body of empirical work testing for the existence of contagion during financial crises. A range of different methodologies are in use, making it difficult to assess the evidence for and against contagion, and particularly its significance in transmitting crises between countries. The origins of current empirical studies of contagion stem from Sharpe (1964) and Grubel and Fadner (1971), and more recently from King and Wadhwani (1990), Engle et al. (1990)...[Show more]

CollectionsANU Research Publications
Date published: 2005-02-05
Type: Journal article
Source: Quantitative Finance. 5.1(2005): 9-24
DOI: 10.1080/14697680500142045


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