Testing for contagion using correlations: some words of caution

Mardi Dungey and Diana Zhumabekova

No 2001-09, Pacific Basin Working Paper Series from Federal Reserve Bank of San Francisco

Abstract: 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)
Date: 2001
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