A variable is defined to be self-generating if it can be forecast efficiently from its own past only. Conditions are derived for certain linear combinations to be self-generating in error correction models. Interestingly, there are only two candidates for self-generation in an error correction...

A significant increase in the correlation coefficients of returns across countries during periods of high turbulence is regarded as evidence of the contagion of financial crises. However, heteroskedasticity is known to cause correlation coefficients to be biased upward. This note shows that...