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International financial contagion: what do we know?
(CFAP, Cambridge Judge Business School, University of Cambridge, 2003-07)
This paper attempts a synthesis of theoretical and empirical work on international financial contagion. Although a professional consensus on the appropriate definitions of contagion has yet to emerge, we document substantial ...
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. ...