A regime switching skew-normal model of contagion

DOI10.1515/SNDE-2017-0001MaRDI QIDQ2697018zbMATH OpenOpenAlexWikidataFDO

Authors Joshua C. C. Chan, Renée Fry-McKibbin, Cody Yu-Ling Hsiao

Publication date 17 April 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2017-0001

zbMATH Keywords

Bayesian model comparisoncontagionfinancial crisisGibbs samplingGlobal Financial Crisisregime switchingskew-normal distribution

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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• scientific article; zbMATH DE number 3189754 (Why is no real title available?)
• Marginal Likelihood from the Gibbs Output
• Marginal Likelihood From the Metropolis–Hastings Output
• Modeling multivariate extreme events using self-exciting point processes
• Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
• Regime switching for dynamic correlations
• The Weighted Likelihood Ratio, Linear Hypotheses on Normal Location Parameters

Cited in

(2)

• Joint tests of contagion with applications
• A contagion test with unspecified heteroscedastic errors

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