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:	2010-05-01
Authors:	Dungey, Mardi ; Yalama, Abdullah
Institutions:	School of Economics and Finance, Tasmanian School of Business and Economics
Subject:	Contagion \| interdependence \| timing \| volatility spillover

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Published by the University of Tasmania. Discussion paper 2010-03 Number 10447 13 pages
Classification:	G01 - Financial Crises ; C22 - Time-Series Models ; G15 - International Financial Markets ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010905852