Testing for contagion using correlations: some words of caution
AbstractTests 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.
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Bibliographic InfoPaper provided by Federal Reserve Bank of San Francisco in its series Pacific Basin Working Paper Series with number 2001-09.
Date of creation: 2001
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- Luci Ellis & Eleanor Lewis, 2001. "The Response of Financial Markets in Australia and New Zealand to News about the Asian Crisis," RBA Research Discussion Papers rdp2001-03, Reserve Bank of Australia.
- Kalbaska, A. & Gątkowski, M., 2012. "Eurozone sovereign contagion: Evidence from the CDS market (2005–2010)," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 657-673.
- Urbina, Jilber, 2013. "Contagion or Interdependence in the recent Global Financial Crisis? An application to the stock markets using unconditional cross-market correlations," Working Papers 2072/211884, Universitat Rovira i Virgili, Department of Economics.
- Wen, Xiaoqian & Wei, Yu & Huang, Dengshi, 2012. "Measuring contagion between energy market and stock market during financial crisis: A copula approach," Energy Economics, Elsevier, vol. 34(5), pages 1435-1446.
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