Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test

References

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[2] Bordo, M., Murshid, A., 2000, “Are Financial Crises Becoming Increas-
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[3] Boyer, B.H., Gibson, M.S., Loretan, M., 1999, “Pitfalls in Test for Changes
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[12] Deutsche Bank, 2000, “Does Correlation Really Increase in Volatile Mar-
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[13] Edwards, S., 1998, “Interest Rate Volatility, Capital Controls and Conta-
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[15] Forbes, K., Rigobon, R., 1999a, “No Contagion, only Interdependence:
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[16] Forbes, K., Rigobon, R., 1999b, “Measuring Contagion: Conceptual and
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