ITISE-2025

https://itise.ugr.es/ 

https://easychair.org/        |       Submission 8824

https://easychair.org/conferences/submission?a=34381039&submission=7222482 

ABSTRACT

The main goal of this article is to present a new software component created by authors in GAUSS for implementing dynamic tests for contagion. These tests are aimed at providing the possibilities of testing for spill-over effects between financial markets during a crisis or during a pandemic situation such as the one that we were experiencing recently. Unlike standard tests for contagion that have fixed dates, the tests implemented here are dynamic in the sense that the potential contagion effect is measured across the timespan. The leverage bootstrap simulation technique is utilized to generate critical values that are reliable when the tests are implemented to make sure that the conducted inference is accurate. Since the approach is new, the software component needs to be created for conducting the underlying tests, which is accomplished via this article. The module is very easy to implement by general practitioners via a graphical user interface. An application is offered by using real data from stock markets to demonstrate how the software component can be used.