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A regime switching skew-normal model of contagion

Chan, Joshua; Fry-McKibbin, Renée; Hsiao, Cody Yu-Ling - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10012054868

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

Chan, Joshua C.C.; Hsiao, Cody Yu-Ling; Fry-McKibbin, … - Crawford School of Public Policy, Australian National … - 2013

A regime switching skew-normal model for financial crisis and contagion is proposed in which we develop a new class of multiple-channel crisis and contagion tests. Crisis channels are measured through changes in 'own' moments of the mean, variance and skewness, while contagion is through changes...

Persistent link: https://www.econbiz.de/10011185980

Specification tests for time-varying parameter models with stochastic volatility

Chan, Joshua - In: Econometric reviews 37 (2018) 6/10, pp. 807-823

Persistent link: https://www.econbiz.de/10012040412

Fast computation of the deviance information criterion for latent variable models

Chan, Joshua; Grant, Angelia L. - 2014

Persistent link: https://www.econbiz.de/10010244614

Pitfalls of estimating the marginal likelihood using the modified harmonic mean

Chan, Joshua; Grant, Angelia L. - In: Economics letters 131 (2015), pp. 29-33

Persistent link: https://www.econbiz.de/10011422529

Issues in comparing stochastic volatility models using the deviance information criterion

Chan, Joshua; Grant, Angelia L. - 2014

Persistent link: https://www.econbiz.de/10011341989

Pitfalls of estimating the marginal likelihood using the modified harmonic mean

Chan, Joshua; Grant, Angelia L. - 2015

Persistent link: https://www.econbiz.de/10011342444

Modeling energy price dynamics : GARCH versus stochastic volatility

Chan, Joshua; Grant, Angelia L. - In: Energy economics 54 (2016), pp. 182-189

Persistent link: https://www.econbiz.de/10011662805

Specification tests for time-varying parameter models with stochastic volatility

Chan, Joshua - 2015

Persistent link: https://www.econbiz.de/10011758150

On the observed-data deviance information criterion for volatility modeling

Chan, Joshua; Grant, Angelia L. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 772-802

Persistent link: https://www.econbiz.de/10011623867

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