Caractérisation des crises financières à l'aide de modèles hybrides (HMC-MLP)
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- Bertrand Maillet & Madalina Olteanu & Joseph Rynkiewicz, 2004. "Caractérisation de crises financières à l'aide de modèles hybrides (HMC-MLP)," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308473, HAL.
References listed on IDEAS
- 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.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- 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.
- Hamilton, James D. & Susmel, Raul, 1994.
"Autoregressive conditional heteroskedasticity and changes in regime,"
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Elsevier, vol. 64(1-2), pages 307-333.
- Tom Doan, "undated". "RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model," Statistical Software Components RTZ00083, Boston College Department of Economics.
- 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.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
More about this item
Keywordsfinancial time series; hidden Markov models; multi-layer perceptrons; index of market shocks; financial crisis;
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