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Detecting Contagion with Correlation: Volatility and Timing Matter (Discussion Paper 2010-03)

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Dungey, M and Yalama, A (2010) Detecting Contagion with Correlation: Volatility and Timing Matter (Discussion Paper 2010-03). Discussion Paper. School of Economics and Finance, University of Tasmania. (Unpublished)

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Abstract

We examine whether contagion tests are a¤ected 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.

Item Type: Report (Discussion Paper)
Keywords: Contagion, interdependence, timing, volatility spillover, repec
Publisher: School of Economics and Finance, University of Tasmania
Date Deposited: 29 Nov 2010 05:39
Last Modified: 27 Nov 2012 01:56
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