Testing for contagion: A conditional correlation analysis

Journal of Empirical Finance

Volumn 12, Issue 3, 2005, Pages 476-489

  Caporale, Guglielmo Maria ^a,c   Cipollini, Andrea ^b   Spagnolo, Nicola ^a  

^a BRUNEL UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF LONDON   (United Kingdom)

^c BRUNEL UNIVERSITY   (United Kingdom)

Author keywords

Conditional correlation; Contagion; Financial crises

Indexed keywords

EID: 19644387726     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2004.02.005     Document Type: Article

References (26)

1. J. Bai Estimating multiple breaks one at a time Econometric Theory 13 1997 315-352
2. Baig, T., Goldfajn, I., 1998. Financial market contagion in the Asian crisis, International Monetary Fund, WP/98/155.
3. Barassi, M., Caporale, G.M., Hall, S.G., 2001. Testing for changes in the long-run causal structure of Cointegrated Vector Autoregressions, D.P. no. 06-2001, Centre for Monetary and Financial Economics, South Bank University, London.
4. T.P Bollerslev J.M. Wooldridge Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances Econometric Reviews 11 1992 143-172
5. Boyer, B.H., Gibson M.S., Loretan M. 1999. Pitfalls in test for changes in correlations International Finance Discussion Paper, no. 597, Federal Reserve Board.
6. Corsetti, G., Pesenti, P., Roubini, N., 1998, "What caused the Asian financial crisis?: Part II. The policy debate", NBER, mimeo.
7. G. Corsetti M. Pericoli M. Sbracia Correlation analysis of financial contagion: What one should know before running a test Temi di Discussione del Servizio Studi Banca d'Italia 2001 408
8. Dungey, M., Martin, V., 2000. "Measuring contagion in the East Asian Currency crisis", Australian National University Working Paper, Canberra, Australia.
9. Dungey, M., Zhumabekova, D., 2001. "Testing for contagion using correlations: Some words of caution", WP no. PB01-09, Center for Pacific Basin Monetary and Economic Studies, Economic Research Department, Federal Reserve Bank of San Francisco.
10. B. Efron R.J. Tibshirani An introduction to the bootstrap Monographs on Statistics and Applied Probability vol. 57 1993 Chapman & Hall London
11. Favero, C.A., Giavazzi, F., 2000. "Looking for contagion: Evidence from the ERM", NBER Working Paper no. 7797.
12. Forbes, K.J., Rigobon, R. 1999. Measuring contagion: Conceptual and empirical issues MIT-Sloan School of Management, mimeo.
13. K.J. Forbes R. Rigobon Contagion in Latin America: Definitions, measurement, and policy implications Economia 1 2 2001 1-46
14. K.J. Forbes R. Rigobon No contagion, only interdependence: Measuring stock market co-movement Journal of Finance 57 5 2002 2223-2261
15. R. Glick A.K. Rose Contagion and trade: Why are currency crises regional? Journal of International Money and Finance 18 4 1999 603-617
16. G.L. Kaminsky S.L. Schmukler What triggers market jitters? A chronicle of the Asian crisis Journal of International Money and Finance 18 4 1999 537-560
17. M.A. King S. Wadhwani Transmission of volatility between stock markets Review of Financial Studies 3 1 1990 5-33
18. M.A. King E. Sentana S. Wadhwani Volatility and links between national stock markets Econometrica 62 4 1994 901-933
19. G.M., Ljung G.E.P. Box On a measure of lack of fit in time series models Biometrika 65 1978 297-303
20. P. Masson Contagion: Macroeconomic models with multiple equilibria Journal of International Money and Finance 18 4 1999 587-602
21. Y.C. Park C.Y. Song Financial contagion in the East Asia crisis - with special reference to the Republic of Korea In: S. Claessens K. Forbes (Eds.) International Financial Contagion 2001 Kluwer Academic Publishers
22. R. Rigobon On the measurement of the international propagation of shocks: Is the transmission stable? Journal of International Economics 61 2003 261-283
23. R. Rigobon Identification through heteroscedasticity Review of Economics and Statistics 85 4 2003 777-792
24. R. Rigobon B. Sack Measuring the reaction of monetary policy to the stock market Quarterly Journal of Economics 118 2 2003 639-669
25. Sentana, E., 1992. "Identification of multivariate conditionally heteroscedastic factor models", LSE, FMG Discussion Paper no. 139.
26. E. Sentana G. Fiorentini Identification, estimation and testing of conditionally heteroscedastic factor models Journal of Econometrics 102 2001 143-164