Detecting Contagion with Correlation: Volatility and Timing Matter

Mardi Dungey and Abdullah Yalama ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

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.

JEL-codes: C23 G01 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2009-09
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Detecting Contagion with Correlation: Volatility and Timing Matter (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2009-23

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