Detecting Contagion with Correlation: Volatility and Timing Matter


Type
Working Paper
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Authors
Dungey, Mardi 
Yalama, Abdullah 
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.

Description
Keywords
contagion, interdependence, timing, volatility spillover
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