Financial contagion and the TIR-MIDAS model

Wuyi Ye, Kunliang Jiang, Xiaoquan Liu

Research output: Journal PublicationArticlepeer-review

1 Citation (Scopus)
6 Downloads (Pure)

Abstract

In this paper, we develop a new approach for modeling financial contagion. It is combines the tail index regression, which specifically describes fat tails in asset returns, with the information contained in macroeconomic variables via the mixed data sampling technique in order to identify contagion in international equity markets. Empirically, our model successfully detects structural breaks in the tails of equity return distributions between the US and five developed economies during the recent Great Recession, and identifies the existence of contagion for two of them. The findings underscore our method as a flexible and reliable alternative for examining contagion.

Original languageEnglish
Article number101589
JournalFinance Research Letters
Volume39
DOIs
Publication statusPublished - Mar 2021

Keywords

  • Financial Crisis
  • Hill Estimator
  • Macroeconomic Variables
  • Time Series Analysis

ASJC Scopus subject areas

  • Finance

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