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Extreme Financial Cycles

Listed author(s):
  • Bertrand Candelon

    ()

    (Economics - Maastricht University)

  • Guillaume Gaulier

    (Centre de recherche de la Banque de France - Banque de France)

  • Christophe Hurlin

    ()

    (LEO - Laboratoire d'économie d'Orleans - CNRS - UO - Université d'Orléans)

This paper proposes a new approach to date extreme financial cycles. Elaborating on recent methods in extreme value theory, it elaborates an extension of the famous calculus rule to detect extreme peaks and troughs. Applied on United-States stock market since 1871, it leads to a dating of these exceptional events and calls for adequate economic policies in order to tackle them.

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File URL: https://halshs.archives-ouvertes.fr/halshs-00769817/document
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Paper provided by HAL in its series Working Papers with number halshs-00769817.

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Date of creation: 2012
Handle: RePEc:hal:wpaper:halshs-00769817
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00769817
Contact details of provider: Web page: https://hal.archives-ouvertes.fr/

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  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 Bertrand & Metiu Norbert, 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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