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Empirical modelling of contagion: a review of methodologies
(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
(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 ...