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A Regime Switching Skew-Distribution Model of Contagion

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Structural Changes and their Econometric Modeling (TES 2019)

Part of the book series: Studies in Computational Intelligence ((SCI,volume 808))

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Abstract

Our main concern is to investigate effectively and more realistically the linkage as well as a contagion effect among the stock markets of Thailand, United States of America, and Japan. To obtain the regime dependent correlation and co-skewness, we construct the Markov Switching model based on skew-normal and skewed student-t distributions as the extension of conventional Markov Switching model. The result shows that this model outperforms the conventional Markov Switching model in terms of the lowest AIC and BIC. Furthermore, we can confirm the existence of the contagion effect and co-skewness among the three stock markets with the nonlinearity and contagion LR-tests.

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Acknowledgements

The authors are grateful to Puay Ungphakorn Centre of Excellence in Econometrics, Faculty of Economics, Chiang Mai University for the financial support.

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Authors and Affiliations

  1. Centre of Excellence in Econometrics, Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

    Woraphon Yamaka, Payap Tarkhamtham, Paravee Maneejuk & Songsak Sriboonchitta

Authors
  1. Woraphon Yamaka
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  2. Payap Tarkhamtham
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  3. Paravee Maneejuk
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  4. Songsak Sriboonchitta
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Corresponding author

Correspondence to Payap Tarkhamtham .

Editor information

Editors and Affiliations

  1. Department of Computer Science, University of Texas at El Paso, El Paso, TX, USA

    Vladik Kreinovich

  2. Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

    Songsak Sriboonchitta

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Yamaka, W., Tarkhamtham, P., Maneejuk, P., Sriboonchitta, S. (2019). A Regime Switching Skew-Distribution Model of Contagion. In: Kreinovich, V., Sriboonchitta, S. (eds) Structural Changes and their Econometric Modeling. TES 2019. Studies in Computational Intelligence, vol 808. Springer, Cham. https://doi.org/10.1007/978-3-030-04263-9_34

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