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To untangle this we propose a GARCH (generalized autoregressive conditional heteroskedasticity) common features approach, where systemic risk emerges from a common factor source (or indeed multiple factor sources) with contagion evident through possible changes in the factor loadings relating to the common factor(s). Within a portfolio mimicking factor framework this can be identified using moment conditions. We use this framework to identify contagion in three illustrations involving both single and multiple factor specifications: to the Asian currency markets in 1997\u20131998, to US sectoral equity indices in 2007\u20132009 and to the CDS (credit default swap) market during the European sovereign debt crisis of 2010\u20132013. The results reveal the extent to which contagion effects may be masked by not accounting for the sources of changed volatility apparent in simple measures such as correlation.<\/jats:p>","DOI":"10.1002\/jae.2593","type":"journal-article","created":{"date-parts":[[2017,8,8]],"date-time":"2017-08-08T04:42:11Z","timestamp":1502167331000},"page":"227-250","source":"Crossref","is-referenced-by-count":26,"title":["Identifying contagion"],"prefix":"10.1002","volume":"33","author":[{"given":"Mardi","family":"Dungey","sequence":"first","affiliation":[{"name":"Tasmanian School of Business and Economics University of Tasmania  Hobart Tasmania Australia"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Eric","family":"Renault","sequence":"additional","affiliation":[{"name":"Economics Department Brown University  Providence RI USA"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2017,8,7]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/9781118766798.ch9"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2015.03.002"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2013.02.005"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.intfin.2012.03.003"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951771"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhg012"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ememar.2004.10.001"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1086\/426519"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12203"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0148-6195(03)00048-1"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2010.01594.x"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2015.03.010"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbq020"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2004.02.005"},{"key":"e_1_2_7_16_1","doi-asserted-by":"crossref","unstructured":"Caporin M. 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