Detecting Contagion with Correlation: Volatility and Timing Matter

Mardi Dungey and Abdullah Yalama ()

No 10447, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

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.

Keywords: Contagion; interdependence; timing; volatility spillover (search for similar items in EconPapers)
JEL-codes: C22 C51 G01 G15 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2010-05-01, Revised 2010-05-01
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Citations: View citations in EconPapers (4)

Published by the University of Tasmania. Discussion paper 2010-03

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Related works:
Working Paper: Detecting Contagion with Correlation: Volatility and Timing Matter (2009)
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