Empirical modelling of contagion:: a review of methodologies

被引：242

作者：

Dungey, M

Fry, R

González-Hermosillo, B

Martin, VL

机构：

[1] Australian Natl Univ, Res Sch Pacific & Asian Studies, Econ Div, Canberra, ACT 0200, Australia

[2] Univ Cambridge, CERF, Cambridge, England

[3] Int Monetary Fund, Washington, DC 20431 USA

[4] Univ Melbourne, Melbourne, Vic, Australia

来源：

QUANTITATIVE FINANCE | 2005年 / 5卷 / 01期

关键词：

D O I：

10.1080/14697680500142045

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

[No abstract available]

引用

收藏

页码：9 / 24

页数：16

相关论文

共 73 条

[1] Financial contagion
Allen, F
Gale, D
[J]. JOURNAL OF POLITICAL ECONOMY, 2000, 108 (01) : 1 - 33
[2] [Anonymous], 2000, INT FINANCE DISCUSSI
[3] [Anonymous], 1995, ECON POLICY
[4] A new approach to measuring financial contagion
Bae, KH
Karolyi, GA
Stulz, RM
[J]. REVIEW OF FINANCIAL STUDIES, 2003, 16 (03) : 717 - 763
[5] BAIG T, 2000, WP00160 IMF
[6] Bayoumi T., 2003, WP0380 IMF
[7] Market integration and contagion
Bekaert, G
Harvey, CR
Ng, A
[J]. JOURNAL OF BUSINESS, 2005, 78 (01) : 39 - 69
[8] CHARACTERIZING PREDICTABLE COMPONENTS IN EXCESS RETURNS ON EQUITY AND FOREIGN-EXCHANGE MARKETS
BEKAERT, G
HODRICK, RJ
[J]. JOURNAL OF FINANCE, 1992, 47 (02) : 467 - 509
[9] BOYER BH, 1999, 597R INT FIN DIV FED
[10] Are the gains from international portfolio diversification exaggerated? The influence of downside risk in bear markets
Butler, KC
Joaquin, DC
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2002, 21 (07) : 981 - 1011

← 1 2 3 4 5 6 7 8 →