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A regime switching skew-normal model of crises and contagion

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

Description

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 Research Publications
Date published: 2013-09
Type: Working/Technical Paper
URI: http://hdl.handle.net/1885/11674

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