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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.
DOI: 10.1016/j.jebo.2012.02.008
Fulltext Permission: none
Fulltext Availability: No Fulltext
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