@inbook{128b6a47e7f64950bd5e41f5adea5d8b,
title = "Multivariate dynamic probit models: an application to financial crises mutation",
abstract = "In this article we propose a multivariate dynamic probit model. Our model can be viewed as a nonlinear VAR model for the latent variables associated with correlated binary time-series data. To estimate it, we implement an exact maximum likelihood approach, hence providing a solution to the problem generally encountered in the formulation of multivariate probit models. Our framework allows us to study the predictive relationships among the binary processes under analysis. Finally, an empirical study of three financial crises is conducted.",
author = "B. Candelon and E-I. Dumitrescu and C. Hurlin and F.C. Palm",
year = "2013",
month = jan,
day = "1",
doi = "10.1108/S0731-9053(2013)0000031011",
language = "English",
isbn = "978-1-78190-752-8",
series = "Advances in Econometrics",
publisher = "Emerald Group Publishing Limited",
number = "32",
pages = "395--427",
editor = "T.B. Fomby and L. Kilian and A. Murphy",
booktitle = "VAR Models in Macroeconomics — New Developments and Applications: Essays in Honor of Christopher A. Sims",
}