Sydney , NSW 2052
ANU College of Business and Economics
Canberra, Australian Capital Territory 0200
University of New South Wales (UNSW)
Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Co-skewness, Co-kurtosis, Co-volatility, Contagion testing, Extremal dependence, Financial crisis, Lagrangian multiplier tests
stochastic volatility, scale mixture of normal, state space model, Markov chain Monte Carlo, financial data
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
Contagion, debt, European debt crisis, financial crisis, Great Recession, trade linkages, regional linkages
Great Recession, Crisis tests, Contagion tests, Co-skewness, Regime switching skew-normal model, Gibbs sampling, Bayesian model comparison
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