Skip navigation
Skip navigation

Joint Tests of Contagion with Applications

Fry-McKibbin, Renee; Hsiao, Cody Yu-Ling; Martin, Vance L.


Joint tests of contagion are derived which are designed to have power where contagion operates simultaneously through coskewness, cokurtosis and covolatility. Finite sample properties of the new tests are evaluated and compared with existing tests of contagion that focus on a single channel. Applying the tests to daily euro zone equity returns from 2005 to 2014 shows that contagion operated mainly through higher order moment channels during the GFC and the European debt crisis, which were not...[Show more]

CollectionsANU Research Publications
Date published: 2018-08-01
Type: Journal article
Source: Quantitative Finance
DOI: 10.1080/14697688.2018.1475747
Access Rights: Open Access


File Description SizeFormat Image
contagiontesting_revisionsQF_2018Mar07.pdfAuthor Accepted Manuscript457.9 kBAdobe PDFThumbnail
    Request a copy

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