Detecting Contagion with Correlation: Volatility and Timing Matter
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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.
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Keywords
contagion, interdependence, timing, volatility spillover