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
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: G01 C23 (search for similar items in EconPapers)
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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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