Detecting Contagion with Correlation: Volatility and Timing Matter
AbstractWe 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.
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Bibliographic InfoPaper provided by Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University in its series CAMA Working Papers with number 2009-23.
Length: 9 pages
Date of creation: Sep 2009
Date of revision:
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Other versions of this item:
- Dungey, Mardi & Yalama, Abdullah, 2010. "Detecting Contagion with Correlation: Volatility and Timing Matter," Working Papers 10447, University of Tasmania, School of Economics and Finance, revised 01 May 2010.
- G01 - Financial Economics - - General - - - Financial Crises
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
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