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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).

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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)
Authors/Creators:Dungey, M and Yalama, A
Keywords: Contagion, interdependence, timing, volatility spillover, repec
Publisher: School of Economics and Finance, University of Tasmania
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