A regime switching skew-normal model of contagion

Chan, JCC; Fry-McKibbin, RA; Hsiao, CYL

A regime switching skew-normal model of contagion

Chan, JCC

Fry-McKibbin, RA Hsiao, CYL

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Publication Type:: Journal Article
Citation:: Studies in Nonlinear Dynamics and Econometrics, 2019, 23 (1)
Issue Date:: 2019-02-01

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Field	Value	Language
dc.contributor.author	Chan, JCC https://orcid.org/0000-0003-3632-128X	en_US
dc.contributor.author	Fry-McKibbin, RA	en_US
dc.contributor.author	Hsiao, CYL	en_US
dc.date.accessioned	2020-04-14T21:17:58Z
dc.date.available	2020-04-14T21:17:58Z
dc.date.issued	2019-02-01	en_US
dc.identifier.citation	Studies in Nonlinear Dynamics and Econometrics, 2019, 23 (1)	en_US
dc.identifier.issn	1081-1826	en_US
dc.identifier.uri	http://hdl.handle.net/10453/139992
dc.description.abstract	© 2019 Walter de Gruyter GmbH, Berlin/Boston. A flexible multivariate model of a time-varying joint distribution of asset returns is developed which allows for regime switching and a joint skew-normal distribution. A suite of tests for linear and nonlinear financial market contagion is developed within the framework. The model is illustrated through an application to contagion between US and European equity markets during the Global Financial Crisis. The results show that correlation contagion dominates coskewness contagion, but that coskewness contagion is significant for Greece. A flight to safety to the US is also evident in the significance of breaks in the skewness parameter in the crisis regime. Comparison to the Asian crisis shows that similar patterns emerge, with a flight to safety to Japan, and Malaysia affected by coskewnes contagion with Hong Kong.	en_US
dc.relation.ispartof	Studies in Nonlinear Dynamics and Econometrics	en_US
dc.relation.isbasedon	10.1515/snde-2017-0001	en_US
dc.rights	info:eu-repo/semantics/openAccess
dc.subject.classification	Econometrics	en_US
dc.title	A regime switching skew-normal model of contagion	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	23	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	1403 Econometrics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	open_access	*
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	23	en_US

Abstract:

© 2019 Walter de Gruyter GmbH, Berlin/Boston. A flexible multivariate model of a time-varying joint distribution of asset returns is developed which allows for regime switching and a joint skew-normal distribution. A suite of tests for linear and nonlinear financial market contagion is developed within the framework. The model is illustrated through an application to contagion between US and European equity markets during the Global Financial Crisis. The results show that correlation contagion dominates coskewness contagion, but that coskewness contagion is significant for Greece. A flight to safety to the US is also evident in the significance of breaks in the skewness parameter in the crisis regime. Comparison to the Asian crisis shows that similar patterns emerge, with a flight to safety to Japan, and Malaysia affected by coskewnes contagion with Hong Kong.

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http://hdl.handle.net/10453/139992