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Université d'Orléans |  |
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Université d'Orléans | |
| HAL : halshs-00630036, version 2 |
| Fiche détaillée |  Récupérer au format |
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| Versions disponibles : | v1 (10-10-2011) | v2 (19-07-2012) |
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| Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation |
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| Elena-Ivona Dumitrescu 1Bertrand Candelon 2 |
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| (28/06/2012) |
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| In this paper we propose a multivariate dynamic probit model. Our model can be considered as a non-linear VAR model for the latent variables associated with correlated binary time-series data. To estimate it, we implement an exact maximum-likelihood approach, hence providing a solution to the problem generally encountered in the formulation of multivariate probit models. Our framework allows us to apprehend dynamics and causality in several ways. Furthermore, we propose an impulse-response analysis for such models. An empirical application on three nancial crises is nally proposed. |
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| 1 : | Laboratoire d'économie d'Orleans (LEO) |
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CNRS : UMR6221 – Université d'Orléans |
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| 2 : | Economics |
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Maastricht University |
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| 3 : | Maastricht University |
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univ. Maastricht |
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| Discipline | : | Sciences de l'Homme et Société/Economies et finances |
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| Non-linear VAR – Multivariate dynamic probit models – Exact maximum likelihood – Impulse-response function – Financial crises |
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| Liste des fichiers attachés à ce document : | |||||
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| halshs-00630036, version 2 | |
| http://halshs.archives-ouvertes.fr/halshs-00630036 | |
| oai:halshs.archives-ouvertes.fr:halshs-00630036 | |
| Contributeur : Elena-Ivona Dumitrescu | |
| Soumis le : Mardi 17 Juillet 2012, 16:07:28 | |
| Dernière modification le : Jeudi 19 Juillet 2012, 09:39:03 | |
