Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation

DOI10.1108/S0731-9053(2013)0000031011zbMath1443.62145OpenAlexW2162051766WikidataQ107460761 ScholiaQ107460761MaRDI QIDQ3295733

Christophe Hurlin, Elena Dumitrescu, Franz C. Palm, Bertrand Candelon

Publication date: 10 July 2020

Published in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-9053(2013)0000031011

zbMATH Keywords

exact maximum likelihoodfinancial crisesimpulse-response functionnonlinear VARmultivariate dynamic probit models

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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