Browsing by Author "Yalama, Abdullah"

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  • Detecting Contagion with Correlation: Volatility and Timing Matter 

    Dungey, Mardi; Yalama, Abdullah (CFAP, Cambridge Judge Business School, University of Cambridge, 2010-05)
    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. ...