A New Class of Tests of Contagion With Applications
提出一类新的金融传染检验方法，通过分析收益率分布的高阶矩（如协偏度）变化来识别危机传导渠道，并应用于1997-1998年香港危机和2007年美国次贷危机中的房地产与股票市场，发现基于协偏度的检验能捕捉到相关性检验无法识别的额外渠道。
A new class of tests of contagion is proposed identifying transmission channels of financial market crises through changes in higher order moments of the distribution of returns such as coskewness. Applying the framework to test for contagion in real estate and equity markets following the Hong Kong crisis in 1997–1998 and the U.S. subprime crisis in 2007 shows that the coskewness-based tests of contagion detect additional channels not identified by the correlation-based tests. Implications of contagion in pricing exchange options where there is a change in higher order comoments of returns on the underlying assets are also investigated.