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Caractérisation des crises financières à l'aide de modèles hybrides (HMC-MLP)

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  • Bertrand Maillet
  • Madalina Olteanu
  • Joseph Rynkiewicz

Abstract

Characterization 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 Info

Article provided by Dalloz in its journal Revue d'économie politique.

Volume (Year): Volume 114 (2004)
Issue (Month): 4 ()
Pages: 489-506

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Handle: RePEc:cai:repdal:redp_144_0489

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Web page: http://www.cairn.info/revue-d-economie-politique.htm

Related research

Keywords: financial time series; hidden Markov models; multi-layer perceptrons; index of market shocks; financial crisis;

References

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  1. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
  2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  3. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
  4. Coe, Patrick J, 2002. "Financial Crisis and the Great Depression: A Regime Switching Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(1), pages 76-93, February.
  5. Bertrand Maillet & Thierry Michel, 2003. "An index of market shocks based on multiscale analysis," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 88-97.
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