Preprintgreen2005

How to Estimate Spatial Contagion between Financial Markets

25 citations0/0 files storedSSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Complex Systems and Time Series Analysis

Abstract

A definition of contagion between financial markets based on local correlation was introduced in Bradley and Taqqu (2004) and a test for contagion was proposed. For the test to be implemented, local correlation must be estimated. This paper describes an estimation procedure based on nonparametric local polynomial regression. The procedure is illustrated on the US and French equity market data.

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1998Efficient estimation of conditional variance functions in stochastic regression 1997Pitfalls in Tests for Changes in Correlations 2004Framework for Analyzing Spatial Contagion between Financial Markets 2005Empirical Evidence on Spatial Contagion Between Financial Markets

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2013On spatial contagion and multivariate GARCH models

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