Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds-Reference-Cited by-同舟云学术

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Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds

Published:2021-08-25 Issue: Volume: Page:1-21
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Fries Sébastien¹^ORCID

Affiliation:

1. Department of Econometrics and Data Science, Vrije Universiteit Amsterdam, Amsterdam, Netherlands

Funder

Groupe des Écoles Nationales d’Économie et Statistique

Agence Nationale de la Recherche

European Commission

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2021.1953508

Reference43 articles.

1. Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing1

2. Blanchard, O., and Watson, M. (1982), “Bubbles, Rational Expectations, and Financial Markets,” National Bureau of Economic Research, No. 0945.

3. A Time-Varying Parameter Model for Local Explosions

4. Linear Problems in Linear Problems inpth Order and Stable Processes

5. Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling

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