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Joint Tests of Contagion with Applications to Financial Crises

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 Eurozone equity returns from 2005 to 2014 shows that contagion operates through higher order moment channels during the GFC and the European debt crisis, which are not...[Show more]

CollectionsANU Crawford School of Public Policy
Date published: 2017-03
Type: Working/Technical Paper
Access Rights: Open Access


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