EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (49) Track citations by RSS feed

Downloads: (external link)
http://www.frbsf.org/publications/economics/pbcpapers/2001/pb01-09.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedfpb:2001-09

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Pacific Basin Working Paper Series from Federal Reserve Bank of San Francisco Contact information at EDIRC.
Series data maintained by Federal Reserve Bank of San Francisco Research Library ().

 
Page updated 2017-11-13
Handle: RePEc:fip:fedfpb:2001-09