Library Open Repository

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

Downloads

Downloads per month over past year

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 (Unpublished)

[img] PDF
DP2010-03_Dungey_Yalama_May2010.pdf | Download (179kB)
Available under University of Tasmania Standard License.

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
URI: http://eprints.utas.edu.au/id/eprint/10447
Item Statistics: View statistics for this item

Repository Staff Only (login required)

Item Control Page Item Control Page