Advanced Search
MyIDEAS: Login

Explosive Bubble Modelling by Noncausal Process

Contents:

Author Info

  • Christian Gouriéroux

    ()
    (CREST and University of Toronto)

  • Jean-Michel Zakoian

    ()
    (CREST and University Lille 3)

Abstract

The linear mixed causal and noncausal autoregressive processes provide often a better fit to economic and financial time series than the standard causal linear autoregressive processes. By considering the example of the noncausal Cauchy autoregressive process, we show that it might be explained by the special associated nonlinear causal dynamics. Indeed, this causal dynamics can include unit root, bubble phenomena, or asymmetric cycles often observed on financial markets. The noncausal Cauchy autoregressive process provides a new modelling for explosive multiple bubbles and their transmission in a multivariate dynamic framework. We also explain why standard unit root tests will fail in detecting such explosive bubbles

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.crest.fr/images/docTravail2013/2013-04.pdf
File Function: Crest working paper version
Download Restriction: no

Bibliographic Info

Paper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2013-04.

as in new window
Length: 48
Date of creation: Feb 2013
Date of revision:
Handle: RePEc:crs:wpaper:2013-04

Contact details of provider:
Postal: 15 Boulevard Gabriel Peri 92245 Malakoff Cedex
Phone: 01 41 17 60 81
Web page: http://www.crest.fr
More information through EDIRC

Related research

Keywords: Causal Innovation; Explosive Bubble; Noncausal Process; Unit Root; Bubble Cointegration;

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Gouriéroux, Christian & Zakoian, Jean-Michel, 2014. "On uniqueness of moving average representations of heavy-tailed stationary processes," MPRA Paper 54907, University Library of Munich, Germany.
  2. Saikkonen, Pentti & Sandberg , Rickard, 2013. "Testing for a unit root in noncausal autoregressive models," Research Discussion Papers 26/2013, Bank of Finland.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:crs:wpaper:2013-04. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Florian Sallaberry).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.