Browsing School of Technology by Subject "interdependence"
Now showing items 1-2 of 2
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Detecting Contagion with Correlation: Volatility and Timing Matter
(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. ...
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Endogenous contagion – a panel data analysis
(CFAP, Cambridge Judge Business School, University of Cambridge, 2006)This paper proposes a panel data model to analyze contagion in a multivariate framework. The model distinguishes between vulnerability and contagion, and provides a time series of contagion. The most important feature of ...