Empirical modelling of contagion: a review of methodologies

Dungey, Mardi ; Fry, Renee ; Gonzalez-Hermosillo, Brenda ; Martin, Vance L (2003-10)

Working Paper

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. A number of extensions are also suggested which allow for multivariate testing, endogenous issues and structural breaks.