Kleimeier, Stefanie; Lehnert, Thorsten; Verschoor, … - In: Oxford Bulletin of Economics and Statistics 70 (2008) 4, pp. 493-508
This paper presents a new empirical approach to address the problem of trading time differences between markets in studies of financial contagion. In contrast to end-of-business-day data common to most contagion studies, we employ price observations, which are exactly aligned in time to correct...