Detecting contagion with correlation: Volatility and timing matter

Vol: 
23/2009
Author name: 
Dungey M
Yalama A
Year: 
2009
Month: 
January
Abstract: 

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.

Publication file: 

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