dc.contributor.authorHuang, Weihong
dc.contributor.authorZheng, Huanhuan
dc.date.accessioned2013-10-31T07:35:34Z
dc.date.available2013-10-31T07:35:34Z
dc.date.copyright2012en_US
dc.date.issued2012
dc.identifier.citationHuang, W., & Zheng, H. (2012). Financial crises and regime-dependent dynamics. Journal of economic behavior & organization, 82(2-3), 445-461.en_US
dc.identifier.urihttp://hdl.handle.net/10220/17151
dc.description.abstractGeneralized 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.en_US
dc.language.isoenen_US
dc.relation.ispartofseriesJournal of economic behavior & organizationen_US
dc.subjectDRNTU::Social sciences::Economic development
dc.titleFinancial crises and regime-dependent dynamicsen_US
dc.typeJournal Article
dc.contributor.schoolSchool of Humanities and Social Sciencesen_US
dc.identifier.doihttp://dx.doi.org/10.1016/j.jebo.2012.02.008


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