Speculative behaviour, regime-switching and stock market crashes / by Simon van Norden and Huntley Schaller. : FB3-2/96-13E-PDF
This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of manias and panics.... The second explanation is based on switches in fundamentals.--Abstract
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Speculative behaviour, regime-switching and stock market crashes / by Simon van Norden and Huntley Schaller. |
| Series title | Bank of Canada working paper1701-939796-13 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Other formats | Paper-[English] |
| Note(s) | "This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of "manias" and "panics".... The second explanation is based on switches in fundamentals."--Abstract. N.B.: Incorrect ISBN (0-662-25160-1) printed in this publication. Résumé en français. |
| Publishing information | Ottawa - Ontario : Bank of Canada October 1996. |
| Description | 60p.graphs, references, tables |
| ISSN | 1701-9397 |
| Catalogue number |
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