A Regime Switching Skew-normal Model of Contagion

Joshua Chan, Renée Fry-McKibbin and Cody Hsiao (2019)
Studies in Nonlinear Dynamics and Econometrics, 23(1): 20170001
[ Journal Version | Working Paper | Code ]

This MATLAB code estimates the regime switching skew-normal model by MCMC and tests for linear and nonlinear contagion between US and European equity markets during the Global Financial Crisis. The main file, RSSN_eu5.m, runs 200,000 iterations and discards the first 10,000. The data are daily equity price indices in US dollars for France, Germany, Greece, Italy and the US, from 3 January 2005 to 28 November 2014.

How to cite. If you use this code, please cite: Chan, Fry-McKibbin and Hsiao (2019), A Regime Switching Skew-normal Model of Contagion, Studies in Nonlinear Dynamics and Econometrics, 23(1): 20170001.