A Regime Switching Skew-normal Model of Contagion

Joshua Chan, Renée Fry-McKibbin and Cody Hsiao (2017)
[ Journal Version | Working Paper | Code ]

This code estimates a flexible multivariate model of a time-varying joint distribution of asset returns that allows for regime switching and a joint skew-normal distribution. A suite of tests for linear and nonlinear fiancial 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.