Testing for contagion using correlations: some words of caution
Mardi Dungey () and
No 2001-09, Pacific Basin Working Paper Series from Federal Reserve Bank of San Francisco
Tests for contagion in financial returns using correlation analysis are seriously affected by the size of the “noncrisis” and “crisis” periods. Typically the crisis period contains relatively few observations, which seriously affects the power of the test.
Keywords: Financial crises; Financial markets (search for similar items in EconPapers)
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