Detecting Contagion with Correlation: Volatility and Timing Matter
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.
|Date of creation:||01 May 2010|
|Date of revision:||01 May 2010|
|Publication status:||Published by the University of Tasmania. Discussion paper 2010-03|
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