A regime switching skew-normal model of contagion

DOI10.1515/snde-2017-0001OpenAlexW2885647298WikidataQ129394743 ScholiaQ129394743MaRDI QIDQ2697018

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

Publication date: 17 April 2023

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

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

zbMATH Keywords

regime switchingGibbs samplingcontagionfinancial crisisskew-normal distributionBayesian model comparisonGlobal Financial Crisis

Mathematics Subject Classification ID

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

Related Items (1)

Joint tests of contagion with applications

Cites Work

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