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dc.contributor.authorDungey, Mardi
dc.contributor.authorYalama, Abdullah
dc.date.accessioned2010-05-19T09:01:28Z
dc.date.available2010-05-19T09:01:28Z
dc.date.issued2010-05
dc.identifier.citationJEL Classi.cation: G01, C22, G15, C51en
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/225145
dc.description.abstractWe 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.en
dc.language.isoenen
dc.publisherCFAP, Cambridge Judge Business School, University of Cambridgeen
dc.relation.ispartofseriesCFAP Working Paperen
dc.relation.ispartofseries35en
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subjectcontagionen
dc.subjectinterdependenceen
dc.subjecttimingen
dc.subjectvolatility spilloveren
dc.titleDetecting Contagion with Correlation: Volatility and Timing Matteren
dc.typeWorking Paperen
dc.type.versionpublished versionen


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