Detecting Contagion with Correlation: Volatility and Timing Matter
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Authors
Dungey, Mardi
Yalama, Abdullah
Publication Date
2010-05Series
CFAP Working Paper
35
Publisher
CFAP, Cambridge Judge Business School, University of Cambridge
Language
English
Type
Working Paper
Metadata
Show full item recordCitation
Dungey, M., & Yalama, A. (2010). Detecting Contagion with Correlation: Volatility and Timing Matter. http://www.dspace.cam.ac.uk/handle/1810/225145
Abstract
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.
Keywords
contagion, interdependence, timing, volatility spillover
Identifiers
This record's URL: http://www.dspace.cam.ac.uk/handle/1810/225145