Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation

DOI10.1108/S0731-9053(2013)0000031011MaRDI QIDQ3295733zbMATH OpenOpenAlexWikidataFDO

Authors Elena Dumitrescu, Christophe Hurlin, 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

financial crisesimpulse-response functionnonlinear VARexact maximum likelihoodmultivariate dynamic probit models

Mathematics Subject Classification ID

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

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Cited in

(3)

• Generalized binary vector autoregressive processes
• Coupling and perturbation techniques for categorical time series
• The spatial \textit{probit} model--an application to the study of banking crises at the end of the 1990's

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