Extreme Financial Cycles - Archive ouverte HAL
Preprints, Working Papers, ... Year : 2012

Extreme Financial Cycles

Bertrand Candelon
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Abstract

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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Dates and versions

halshs-00769817 , version 1 (03-01-2013)

Identifiers

  • HAL Id : halshs-00769817 , version 1

Cite

Bertrand Candelon, Guillaume Gaulier, Christophe Hurlin. Extreme Financial Cycles. 2012. ⟨halshs-00769817⟩
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