摘要翻译:
本文旨在找出19世纪50年来国际体系一体化进程中出现的断裂现象。历史研究可以将它们与特殊事件联系起来,这些事件是对这一进程的外生冲击。所用的一体化指标是伦敦、汉堡和巴黎金银价格最高和最低之间的价差。将三种算法结合起来研究这种集成:用SOM算法得到的周期对一个两个状态的马尔可夫切换模型进行估计,以解释状态的变化;同时,在整个时期内确定了变化点,为各种类型的监管提供了更精确的解释。
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英文标题:
《Mixing Kohonen Algorithm, Markov Switching Model and Detection of
Multiple Change-Points: An Application to Monetary History》
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作者:
Marie-Th\'er\`ese Boyer-Xambeu (LED - EA3391), Ghislain Deleplace (LED
- EA3391), Patrice Gaubert (SAMOS), Lucien Gillard (LED - EA3391), Madalina
Olteanu (SAMOS)
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最新提交年份:
2007
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类:Statistics 统计学
二级分类:Applications 应用程序
分类描述:Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学,教育学,流行病学,工程学,环境科学,医学,物理科学,质量控制,社会科学
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英文摘要:
The present paper aims at locating the breakings of the integration process of an international system observed during about 50 years in the 19th century. A historical study could link them to special events, which operated as exogenous shocks on this process. The indicator of integration used is the spread between the highest and the lowest among the London, Hamburg and Paris gold-silver prices. Three algorithms are combined to study this integration: a periodization obtained with the SOM algorithm is confronted to the estimation of a two-regime Markov switching model, in order to give an interpretation of the changes of regime; in the same time change-points are identified over the whole period providing a more precise interpretation of the various types of regulation.
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PDF链接:
https://arxiv.org/pdf/710.0745