Chan, Joshua C.C.; Hsiao, Cody Yu-Ling; Fry-McKibbin, … - Crawford School of Public Policy, Australian National … - 2013
A regime switching skew-normal model for financial crisis and contagion is proposed in which we develop a new class of multiple-channel crisis and contagion tests. Crisis channels are measured through changes in 'own' moments of the mean, variance and skewness, while contagion is through changes...