Higher order moment contagion testing: implications of the US subprime mortgage crisis for Australia

  • Fry-McKibbin, Renee (Primary Investigator)
  • Martin, Vance L (Co-Investigator)
  • Tang, Lei Ming (Co-Investigator)

    Project Details

    Description

    A new class of tests of contagion are developed and applied to the recent US subprime crisis. This class extends existing approaches by focussing on higher order comoments of the distribution including coskewness and cokurtosis. An important advantage of the proposed framework is that it solves some of the empirical puzzles that occur during financial crises. The project also considers i) the links between theoretical and empirical models of contagion; ii) the effects of higher order comoments on asset pricing on options; iii) as well as investigates the sampling properties of the tests by conducting a range of Monte Carlo experiments.
    StatusFinished
    Effective start/end date1/01/0931/12/15

    Funding

    • Australian Research Council (ARC): AUD310,000.00