A New Class of Tests of Contagion With Applications
Renee Fry, Vance L Martin, Chrismin Tang
JOURNAL OF BUSINESS & ECONOMIC STATISTICS | AMER STATISTICAL ASSOC | Published : 2010
Awarded by ARC
The authors thank the editor, associate editor, and two referees of the journal. Special thanks to Shaun Bond for providing the real estate data. Also thanks to Ross Mailer and participants at the FIRN Doctoral Conference, Sydney, 2005; the Global Finance Conference, Melbourne, 2007; ESAM07, Brisbane 2007; and the Singapore Econometrics Study Group, Singapore 2007. Fry acknowledges funding from ARC grant DP0556371 and the support of CFAR University of Cambridge.