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New approaches of testing for financial market crisis and contagion

Hsiao, Yu-Ling Cody

Description

This thesis consists of four chapters that focus on the development of new statistical frameworks or tests of financial market crisis and contagion. A new test for financial market contagion based on changes in the fourth order co-moments is proposed in chapter 2 to identify the propagation mechanism of shocks across international financial markets. The proposed approach captures changes in various aspects of the asset return relationships such as cross-market mean and skewness (co-kurtosis) as...[Show more]

CollectionsOpen Access Theses
Date published: 2014
Type: Thesis (PhD)
URI: http://hdl.handle.net/1885/157185
DOI: 10.25911/5c90b7be2e91b

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