Forbes, Kristin J.; Rigobon, Roberto - In: Journal of Finance 57 (2002) 5, pp. 2223-2261
Heteroskedasticity biases tests for contagion based on correlation coefficients. When contagion is defined as a significant increase in market comovement after a shock to one country, previous work suggests contagion occurred during recent crises. This paper shows that correlation coefficients...