Browsing by Subject "contagion"

Now showing items 1-3 of 3

  • Detecting Contagion with Correlation: Volatility and Timing Matter 

    Dungey, Mardi; Yalama, Abdullah (CFAP, Cambridge Judge Business School, University of Cambridge, 2010-05)
    We examine whether contagion tests are affected by controls for volatility clustering and the collection of synchronized data sets. Without controlling for volatility clustering synchronization does not apparently matter. ...

  • Empirical modelling of contagion: a review of methodologies 

    Dungey, Mardi; Fry, Renee; Gonzalez-Hermosillo, Brenda; Martin, Vance L (CFAP, Cambridge Judge Business School, University of Cambridge, 2003-10)
    The existing literature promotes 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. ...

  • Endogenous contagion – a panel data analysis 

    Baur, Dirk; Fry, Renee (CFAP, Cambridge Judge Business School, University of Cambridge, 2006)
    This paper proposes a panel data model to analyze contagion in a multivariate framework. The model distinguishes between vulnerability and contagion, and provides a time series of contagion. The most important feature of ...