Detecting Contagion with Correlation: Volatility and Timing Matter
CFAP Working Paper
CFAP, Cambridge Judge Business School, University of Cambridge
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Dungey, M., & Yalama, A. (2010). Detecting Contagion with Correlation: Volatility and Timing Matter.
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.
contagion, interdependence, timing, volatility spillover
This record's URL: http://www.dspace.cam.ac.uk/handle/1810/225145