Extreme Financial Cycles

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Auteurs

Date

2012

Discipline

Economies et finances

Type de document

Prépublication

Périmètre

Publications

Langue

Anglais

Identifiants

ISIDORE Id: 10670/1.9371ef...
halshs: halshs-00769817

Source

HAL SHS (Sciences de l’Homme et de la Société)

Collection

Archives ouvertes

Organisation

Centre pour la communication scientifique directe

Licence

info:eu-repo/semantics/OpenAccess

Mots-clés Fr

Financial extreme cycles Extreme value theory

Sujets proches En

Periodicity Natural cycles Cyclic theory

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Bertrand Candelon et al., « Extreme Financial Cycles », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.9371ef...

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Résumé 0

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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