A Regime Switching Skew-Distribution Model of Contagion

Autor:	Paravee Maneejuk, Songsak Sriboonchitta, Woraphon Yamaka, Payap Tarkhamtham
Rok vydání:	2018
Předmět:	Nonlinear system Markov chain Contagion effect Econometrics Skew Stock market Distribution model Regime switching Stock (geology) Mathematics
Zdroj:	Structural Changes and their Econometric Modeling ISBN: 9783030042622 Structural Changes and their Econometric Modeling
DOI:	10.1007/978-3-030-04263-9_34
Popis:	Our main concern is to investigate effectively and more realistically the linkage as well as a contagion effect among the stock markets of Thailand, United States of America, and Japan. To obtain the regime dependent correlation and co-skewness, we construct the Markov Switching model based on skew-normal and skewed student-t distributions as the extension of conventional Markov Switching model. The result shows that this model outperforms the conventional Markov Switching model in terms of the lowest AIC and BIC. Furthermore, we can confirm the existence of the contagion effect and co-skewness among the three stock markets with the nonlinearity and contagion LR-tests.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::d6e1dbb1722f819bc1f0b71781e29acb https://doi.org/10.1007/978-3-030-04263-9_34 Zobrazit plný text záznamu