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An Alternative Method to Measure Contagion with an Application to the Asian Financial Crisis
Högskolan i Skövde, Institutionen för teknik och samhälle.
Department of Economics, Jönköping International Business School, Jönköping, Sweden.
2005 (engelsk)Inngår i: Applied Financial Economics Letters, ISSN 1744-6546, E-ISSN 1744-6554, Vol. 1, nr 6, s. 343-347Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

This paper investigates the size properties of a test for contagion based on an asymptotic t-distribution. The simulations show that this asymptotic test does not have correct size properties. An alternative test method based on case-resampling bootstrapping is introduced to improve on the correctness of inference. The simulations show that this new test has much better size properties. It also has quite high power properties and it is robust to ARCH effects. The method is applied to testing for contagion from Thailand to Indonesia during the Asian financial crisis.

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Routledge, 2005. Vol. 1, nr 6, s. 343-347
Identifikatorer
URN: urn:nbn:se:his:diva-1741DOI: 10.1080/17446540500393468OAI: oai:DiVA.org:his-1741DiVA, id: diva2:32017
Tilgjengelig fra: 2007-08-27 Laget: 2007-08-27 Sist oppdatert: 2017-12-12bibliografisk kontrollert

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