Skip navigation
Skip navigation

A regime switching skew-normal model of crises and contagion

McKibbin, Renee Anne; Chan, Joshua C.C.; Hsiao, Cody Yu-Ling


A regime switching skew-normal model for nancial crisis and contagion is proposed in which we develop a new class of multiple-channel crisis and con- tagion tests. Crisis channels are measured through changes in own moments of the mean, variance and skewness, while contagion is through changes in the correlation and co-skewness of the joint distribution of asset returns. In this framework: i) linear and non-linear dependence is allowed; ii) transmission chan- nels are simultaneously...[Show more]

CollectionsANU College of Asia & the Pacific
Date published: 2013-09
Type: Working/Technical Paper
Access Rights: Open Access


File Description SizeFormat Image
McKibbin_ARegimeSwitching_2013.pdf307.55 kBAdobe PDFThumbnail

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  22 January 2019/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator