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An Alternative Meth...
An Alternative Method to Test for Contagion with an Application to the Asian Financial Crisis
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- Hacker, R Scott (författare)
- Jönköping University,IHH, Nationalekonomi
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Hatemi-J, Abdulnasser (författare)
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(creator_code:org_t)
- Informa UK Limited, 2005
- 2005
- Engelska.
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Ingår i: Applied Financial Economics Letters. - : Informa UK Limited. - 1744-6546 .- 1744-6554. ; 1:6, s. 343-347
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- 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.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Contagion
- Case-resampling Bootstrap
- Dependency
- Asian Crisis
- Economics
- Nationalekonomi
- Econometrics
- Ekonometri
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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