Skip navigation
Skip navigation

New approaches of testing for financial market crisis and contagion

Hsiao, Yu-Ling Cody


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)
DOI: 10.25911/5c90b7be2e91b


File Description SizeFormat Image
b35684768-Hsiao_Y.pdf43.02 MBAdobe PDFThumbnail

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

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator