Please use this identifier to cite or link to this item:
https://hdl.handle.net/10356/107436
Title: | Financial crises and regime-dependent dynamics | Authors: | Huang, Weihong Zheng, Huanhuan |
Keywords: | DRNTU::Social sciences::Economic development | Issue Date: | 2012 | Source: | Huang, W., & Zheng, H. (2012). Financial crises and regime-dependent dynamics. Journal of economic behavior & organization, 82(2-3), 445-461. | Series/Report no.: | Journal of economic behavior & organization | Abstract: | Generalized with the regime-dependent beliefs and regime-switching dynamics, the simple market-maker framework established by Day and Huang (1990) is capable to model all types of crises, that is, sudden crisis, disturbing crisis and smooth crisis, and to offer economic and dynamic justifications on how and why these crises appear. Moreover, the model simulations verify the salient qualitative and statistical properties commonly observed in the real financial data such as fat tails, volatility clustering, long range dependence, leverage effect and other stylized facts. Additionally, the model replicates the various chart patterns widely applied in the technical analysis. | URI: | https://hdl.handle.net/10356/107436 http://hdl.handle.net/10220/17151 |
DOI: | 10.1016/j.jebo.2012.02.008 | Schools: | School of Humanities and Social Sciences | Fulltext Permission: | none | Fulltext Availability: | No Fulltext |
Appears in Collections: | HSS Journal Articles |
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