Cody Yu-Ling Hsiao

University of New South Wales (UNSW)

Kensington

High St

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

  • University of New South Wales (UNSW)

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

SCHOLARLY PAPERS

6

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935

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22

CROSSREF CITATIONS

5

Scholarly Papers (6)

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1.

Debt and Financial Market Contagion

UNSW Business School Research Paper No. 2015-02
Number of pages: 51 Posted: 09 Feb 2015 Last Revised: 21 Apr 2021
Cody Yu-Ling Hsiao and James Morley
University of New South Wales (UNSW) and University of Sydney - School of Economics
Downloads 310 (180,098)
Citation 3

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

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, Joshua C. C. Chan and Cody Yu-Ling Hsiao
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School and University of New South Wales (UNSW)
Downloads 193 (286,092)
Citation 14

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

3.

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 169 (321,784)
Citation 1

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

4.

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, Chrismin Tang and Chrismin Tang
Australian National University (ANU) - Department of Economics, University of New South Wales (UNSW) and University of MelbourneAustralian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 106 (463,779)
Citation 6

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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

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 91 (513,539)
Citation 9

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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, Joshua C. C. Chan, Cody Yu-Ling Hsiao and Renee Fry-McKibbin
Purdue UniversityUniversity of Technology Sydney (UTS) - UTS Business School, University of New South Wales (UNSW) and Australian National University (ANU) - Crawford School of Public Policy
Downloads 66 (617,725)
Citation 2

Abstract:

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