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

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 (Unpublished)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
ID Code:	10447
Deposited By:	Dr V Alexeev
Deposited On:	29 Nov 2010 16:39
Last Modified:	27 Nov 2012 12:56
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