Cody Yu-Ling Hsiao

University of New South Wales (UNSW)

Sydney , NSW 2052

Australia

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

ANU College of Business and Economics

Canberra, Australian Capital Territory 0200

Australia

SCHOLARLY PAPERS

6

DOWNLOADS

527

CITATIONS

2

Scholarly Papers (6)

1.

A New Test of Financial Contagion with Application to the US Banking Sector

Number of pages: 62 Posted: 15 Nov 2012
Cody Yu-Ling Hsiao
University of New South Wales (UNSW)
Downloads 105 (183,384)

Abstract:

Co-skewness, Co-kurtosis, Co-volatility, Contagion testing, Extremal dependence, Financial crisis, Lagrangian multiplier tests

2.

Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence

CAMA Working Paper No. 74/2013
Number of pages: 23 Posted: 26 Nov 2013
Joshua C. C. Chan and Cody Yu-Ling Hsiao
Australian National University (ANU) and University of New South Wales (UNSW)
Downloads 76 (211,298)
Citation 1

Abstract:

stochastic volatility, scale mixture of normal, state space model, Markov chain Monte Carlo, financial data

3.

Actually this Time is Different

Centre for Applied Microeconomic Analysis (CAMA) Working Paper No. 12/2011
Number of pages: 40 Posted: 13 Jun 2011
Renee Fry, Cody Yu-Ling Hsiao and Chrismin Tang
Australian National University (ANU) - Department of Economics, University of New South Wales (UNSW) and University of Melbourne
Downloads 73 (256,033)
Citation 1

Abstract:

Contagion Testing, Correlation, Coskewness, Asian Crisis, Russian Crisis, LTCM Crisis, Brazil Crisis, Dot-Com Crisis, Argentinian Crisis, Sub-Prime Crisis, Great Recession, Global Financial Crisis

4.

Debt and Financial Market Contagion

UNSW Business School Research Paper No. 2015-02
Number of pages: 33 Posted: 09 Feb 2015
Cody Yu-Ling Hsiao and James Morley
University of New South Wales (UNSW) and University of New South Wales
Downloads 71 (176,795)

Abstract:

Contagion, debt, European debt crisis, financial crisis, Great Recession, trade linkages, regional linkages

5.

Extremal Dependence Tests for Contagion

CAMA Working Paper No. 40/2015
Number of pages: 53 Posted: 10 May 2014 Last Revised: 03 Nov 2015
Renee Fry-McKibbin and Cody Yu-Ling Hsiao
Australian National University (ANU) - Crawford School of Public Policy and University of New South Wales (UNSW)
Downloads 33 (337,159)

Abstract:

Co-skewness, Co-kurtosis, Co-volatility, Contagion testing, Extremal dependence, Financial crisis, Lagrangian multiplier tests

6.

A Regime Switching Skew-Normal Model for Measuring Financial Crisis and Contagion

CAMA Working Paper 15/2013
Number of pages: 41 Posted: 19 Jul 2013
Joshua C. C. Chan, Cody Yu-Ling Hsiao and Renee Fry-McKibbin
Australian National University (ANU), University of New South Wales (UNSW) and Australian National University (ANU) - Crawford School of Public Policy
Downloads 30 (356,570)

Abstract:

Great Recession, Crisis tests, Contagion tests, Co-skewness, Regime switching skew-normal model, Gibbs sampling, Bayesian model comparison