Empirical Modeling of Contagion

By Mardi Dungey, Renée Fry, Vance L. Martin, Brenda González-Hermosillo. 2004

559 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/34d38015c74eb27630f860adfca872062898efa1

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Citations in the corpus

Testing for East-West Contagion in the European Banking Sector During the Financial Crisis (2011, unknown): “Dungey et al. (2005) provide a review of alternative methods to test for the presence of contagion. forms, such as those arising from payments and settlements infrastructures, asset prices or common investors.”
Contagion as a domino effect in global stock markets (2009, unknown): “For a comprehensive overview on recent developments in the contagion literature we refer to Dungey et al. (2005).”
A New Class of Tests of Contagion With Applications (2008, methodology): “Exceptions are Dungey et al. (2007) who focused on the second moments of the crisis by examining a factor structure, and Reinhart and Rogoff (2008) who compared the subprime crisis with historical crises.”
The Global Crisis and Equity Market Contagion: The Global Crisis and Equity Market Contagion (2014, unknown): “Countless papers have been written proposing quantitative measures of contagion (see Karolyi (2003); Dungey et al. (2004), for surveys) or developing theories to explain it (e.g., Allen and Gale (2000)).”
Spatial contagion between financial markets: a copula-based approach (2010, unknown): “See, for example, [2, 3, 4 , 5, 6] and the references therein.”
Modeling financial contagion using mutually exciting jump processes (2015, unknown): “This aspect of the model can be thought of as playing the same role for jumps as ARCH does for volatility (see Engle (1982)).”
The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil (2014, unknown): “Dungey et al. (2004) provide an exhaustive review of the empirical methods that deal with financial contagion.”
FINANCIAL CONTAGION THROUGH CAPITAL CONNECTIONS: A MODEL OF THE ORIGIN AND SPREAD OF BANK PANICS (2004, background): “The existence of contagion in the real world is a much debated issue, both in the context of banking systems and more generally (see Gorton and Winton (2002) and Dungey et al (2003) for a survey of the literature).”
The Dark Side of Global Integration: Increasing Tail Dependence (2010, unknown): “In order to assess risk at any point in the return distribution Engle and Manganelli (2004) introduce the CAViaR method.”