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Extreme Financial cycles

Author

Listed:
  • Bertrand Candelon
  • Guillaume Gaulier
  • Christophe Hurlin

Abstract

Cet article ?labore une nouvelle m?thodologie de datation des cycles financiers extr?mes. S?appuyant sur la th?orie des valeurs extr?mes, il ?tend la ??calculus rule?? afin de d?tecter les pics et les creux exceptionnels. Appliqu?e sur des s?ries financi?res am?ricaines depuis?1871, cette m?thode permet de mieux appr?hender les mouvements extr?mes et d?y apporter le cas ?ch?ant les r?ponses les plus ad?quates.

Suggested Citation

  • Bertrand Candelon & Guillaume Gaulier & Christophe Hurlin, 2012. "Extreme Financial cycles," Revue d'économie politique, Dalloz, vol. 122(6), pages 823-831.
  • Handle: RePEc:cai:repdal:redp_226_0823
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    References listed on IDEAS

    as
    1. P. Hartmann & S. Straetmans & C. G. de Vries, 2004. "Asset Market Linkages in Crisis Periods," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 313-326, February.
    2. Biscarri, Javier GÛmez & Fernando PÈrez de Gracia, 2002. "Bulls and Bears: Lessons from some European Countries," Royal Economic Society Annual Conference 2002 28, Royal Economic Society.
    3. Edwards, Sebastian & Biscarri, Javier Gomez & Perez de Gracia, Fernando, 2003. "Stock market cycles, financial liberalization and volatility," Journal of International Money and Finance, Elsevier, vol. 22(7), pages 925-955, December.
    4. Candelon, B. & Metiu, N., 2009. "Testing for exceptional bulls and bears: a non-parametric perspective," Research Memorandum 017, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    5. Bertrand Candelon & Pierre-Yves Hénin, 1995. "La récession des années quatre-vingt dix a-t-elle été exceptionnelle ?," Économie et Prévision, Programme National Persée, vol. 120(4), pages 51-71.
    6. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46.
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