Caractérisation des crises financières à l'aide de modèles hybrides (HMC-MLP)
AbstractCharacterization of financial crisis with hybridHMC-MLP models Violent turbulences are often striking the financial markets and an Index of Market Shocks (IMS) was recently introduced in the attempt of quantifying these turbulences. Regime switching linear models have already been used in modelling the conditional volatility of returns. In this paper, we propose a description of the IMS with hybrid models integrating multi-layer perceptrons and hidden Markov chains. After studying the prediction performance of the models, we focus on the series separation and the index behaviour subject to hidden states.
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Bibliographic InfoArticle provided by Dalloz in its journal Revue d'économie politique.
Volume (Year): Volume 114 (2004)
Issue (Month): 4 ()
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Web page: http://www.cairn.info/revue-d-economie-politique.htm
financial time series; hidden Markov models; multi-layer perceptrons; index of market shocks; financial crisis;
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