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Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation
| Content Provider | Semantic Scholar |
|---|---|
| Author | Candelon, Bertrand Dumitrescu, Elena Ivona Hurlin, Christophe Palm, Franz C. |
| Copyright Year | 2013 |
| Abstract | 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. |
| File Format | PDF HTM / HTML |
| DOI | 10.1108/S0731-9053(2013)0000031011 |
| Volume Number | 32 |
| Alternate Webpage(s) | https://halshs.archives-ouvertes.fr/halshs-00630036v2/document |
| Alternate Webpage(s) | https://halshs.archives-ouvertes.fr/halshs-00630036/document |
| Alternate Webpage(s) | http://researchers-sbe.unimaas.nl/franzpalm/wp-content/uploads/sites/24/2013/04/MVEWS0609.pdf |
| Alternate Webpage(s) | https://www.unamur.be/en/eco/eeco/pdf/MVEWS1812.pdf |
| Alternate Webpage(s) | https://halshs.archives-ouvertes.fr/file/index/docid/718587/filename/MVEWS0609.pdf |
| Alternate Webpage(s) | https://doi.org/10.1108/S0731-9053%282013%290000031011 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
