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Extreme Financial cycles

Author

Listed:
  • Bertrand Candelon
  • Guillaume Gaulier
  • Christophe Hurlin

Abstract

Cet article élabore une nouvelle méthodologie de datation des cycles financiers extrêmes. S?appuyant sur la théorie des valeurs extrêmes, il étend la « calculus rule » afin de détecter les pics et les creux exceptionnels. Appliquée sur des séries financières américaines depuis 1871, cette méthode permet de mieux appréhender les mouvements extrêmes et d?y apporter le cas échéant les réponses les plus adéquates.

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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