Extreme Financial Cycles

Bertrand Candelon, Guillaume Gaulier and Christophe Hurlin

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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.

Keywords: Financial extreme cycles; Extreme value theory (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-hpe and nep-rmg
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00769817
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Journal Article: Extreme Financial cycles (2012)
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