The DOI matches its Crossref record; 63 of the 63 references it cites were found in a registry or an index.
Empirical modelling of contagion: a review of methodologies
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There is now a reasonably large body of empirical work testing for the existence of contagion during financial crises. A range of different methodologies are in use, making it difficult to assess t...
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Cites
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FAMA, E. F., & FRENCH, K. R. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb05202.x · Cited by 6,700
The Twin Crises: The Causes of Banking and Balance-of-Payments Problems
Kaminsky, G. L., & Reinhart, C. M. (1999) · American Economic Review · doi:10.1257/aer.89.3.473 · Cited by 4,978
No Contagion, Only Interdependence: Measuring Stock Market Comovements
Forbes, K. J., & Rigobon, R. (2002) · The Journal of Finance · doi:10.1111/0022-1082.00494 · Cited by 4,615
Multivariate Simultaneous Generalized ARCH
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A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments
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Cited by
Is gold a safe haven? International evidence
Baur, D. G., & McDermott, T. K. (2010) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2009.12.008 · Cited by 1,947
International Stock Return Comovements
BEKAERT, G., HODRICK, R. J., & ZHANG, X. (2009) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01512.x · Cited by 855
The Global Crisis and Equity Market Contagion
BEKAERT, G., EHRMANN, M., FRATZSCHER, M., & MEHL, A. (2014) · The Journal of Finance · doi:10.1111/jofi.12203 · Cited by 705
Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach
Dimitriou, D., Kenourgios, D., & Simos, T. (2013) · International Review of Financial Analysis · doi:10.1016/j.irfa.2013.05.008 · Cited by 358
Metadata
- Authors
- Dungey *, M., Fry, R., González-Hermosillo, B., & Martin, V. L.
- Venue
- Quantitative Finance
- Publisher
- Informa UK Limited
- Published
- 2005-02
- Volume
- 5
- Issue
- 1
- Pages
- 9-24
- ISSN
- 1469-7688 (ISSN-L)
- 1469-7696
- OpenAlex
- W2171728272
- Cited by
- 548
- References
- 63
- FWCI
- 27.83
- Type
- journal article
- Language
- en
- Open access
- green
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- Dungey *, M., Fry, R., González-Hermosillo, B., & Martin, V. L. (2005). Empirical modelling of contagion: a review of methodologies. Quantitative Finance. https://doi.org/10.1080/14697680500142045
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
