Detecting Contagion with Correlation: Volatility and Timing Matter

We examine whether contagion tests are affected by controls for volatility clustering and the collection of synchronized data sets. Without controlling for volatility clustering synchronization does not apparently matter. Once volatility clustering is accounted for synchronized data dramatically changes results.

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Year of publication:	2009-09
Authors:	Dungey, Mardi ; Yalama, Abdullah
Institutions:	College of Business and Economics, Australian National University

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Extent:	application/pdf
Series:	CAMA Working Papers.
Type of publication:	Book / Working Paper
Notes:	9 pages
Classification:	G01 - Financial Crises ; C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005042060