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Mixed Causal-Noncausal Ar Processes And The Modelling Of Explosive Bubbles

Citations

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Cited by:

  1. Tom'as del Barrio Castro & Alain Hecq & Sean Telg, 2026. "Seasonality in Mixed Causal-Noncausal Processes," Papers 2604.07040, arXiv.org.
  2. Marina Friedrich & Sébastien Fries & Michael Pahle & Ottmar Edenhofer, 2020. "Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System," CESifo Working Paper Series 8637, CESifo.
  3. Hecq Alain & Sun Li, 2021. "Selecting between causal and noncausal models with quantile autoregressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(5), pages 393-416, December.
  4. Blasques, Francisco & Nientker, Marc, 2023. "Stochastic properties of nonlinear locally-nonstationary filters," Journal of Econometrics, Elsevier, vol. 235(2), pages 2082-2095.
  5. Weifeng Jin, 2023. "Quantile Autoregression-based Non-causality Testing," Papers 2301.02937, arXiv.org.
  6. Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is Climate Change Time-Reversible?," Econometrics, MDPI, vol. 10(4), pages 1-18, December.
  7. Telg, Sean, 2024. "Time aggregation of mixed causal–noncausal models," Economics Letters, Elsevier, vol. 244(C).
  8. Christian Gourieroux & Andrew Hencic & Joann Jasiak, 2021. "Forecast performance and bubble analysis in noncausal MAR(1, 1) processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 301-326, March.
  9. Francisco Blasques & Siem Jan Koopman & Gabriele Mingoli, 2023. "Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics," Tinbergen Institute Discussion Papers 23-065/III, Tinbergen Institute, revised 01 Mar 2024.
  10. Giancaterini, Francesco & Hecq, Alain, 2025. "Inference in mixed causal and noncausal models with generalized Student’s t-distributions," Econometrics and Statistics, Elsevier, vol. 33(C), pages 1-12.
  11. Francesco Giancaterini & Alain Hecq & Joann Jasiak & Aryan Manafi Neyazi, 2025. "Bubble Detection with Application to Green Bubbles: A Noncausal Approach," Papers 2505.14911, arXiv.org, revised Apr 2026.
  12. Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
  13. Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
  14. Christian Gourieroux & Joann Jasiak & Michelle Tong, 2021. "Convolution‐based filtering and forecasting: An application to WTI crude oil prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1230-1244, November.
  15. Hecq, Alain & Voisin, Elisa, 2021. "Forecasting bubbles with mixed causal-noncausal autoregressive models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 29-45.
  16. Alain Hecq & Li Sun, 2019. "Identification of Noncausal Models by Quantile Autoregressions," Papers 1904.05952, arXiv.org.
  17. Gianluca Cubadda & Francesco Giancaterini & Stefano Grassi, 2025. "Sequential Monte Carlo for Noncausal Processes," Papers 2501.03945, arXiv.org.
  18. Frédérique Bec & Alain Guay, 2020. "A simple unit root test consistent against any stationary alternative," Thema Working Papers 2020-10, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS.
  19. F. Blasques & S. J. Koopman & G. Mingoli & S. Telg, 2025. "A Novel Test for the Presence of Local Explosive Dynamics," Journal of Time Series Analysis, Wiley Blackwell, vol. 46(5), pages 966-980, September.
  20. Francesco Giancaterini & Alain Hecq & Joann Jasiak & Aryan Manafi Neyazi, 2025. "Regularized Generalized Covariance (RGCov) Estimator," Papers 2504.18678, arXiv.org.
  21. Jian Pei & Yang Lu & Fukang Zhu, 2025. "Mixed causal-noncausal count process," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 34(2), pages 325-360, June.
  22. Alain Hecq & Daniel Velasquez-Gaviria, 2025. "Explosive Episodes and Time-Varying Volatility: A New MARMA–GARCH Model Applied to Cryptocurrencies," Econometrics, MDPI, vol. 13(2), pages 1-25, March.
  23. Blasques, Francisco & Koopman, Siem Jan & Nientker, Marc, 2022. "A time-varying parameter model for local explosions," Journal of Econometrics, Elsevier, vol. 227(1), pages 65-84.
  24. Gabriele Mingoli, 2024. "Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model," Tinbergen Institute Discussion Papers 24-072/III, Tinbergen Institute.
  25. Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2020. "Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1413-1428, December.
  26. Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.
  27. Hecq, Alain & Issler, João Victor & Voisin, Elisa, 2024. "A short term credibility index for central banks under inflation targeting: An application to Brazil," Journal of International Money and Finance, Elsevier, vol. 143(C).
  28. Alain Hecq & Elisa Voisin, 2023. "Predicting Crashes in Oil Prices During The Covid-19 Pandemic with Mixed Causal-Noncausal Models," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 209-233, Emerald Group Publishing Limited.
  29. Antonio Aguirre & Ignacio N. Lobato, 2024. "Evidence of non-fundamentalness in OECD capital stocks," Empirical Economics, Springer, vol. 67(2), pages 761-772, August.
  30. Frederique Bec & Alain Guay, 2020. "A Simple Unit Root Test Consistent Against Any Stationary Alternative," Working Papers 20-20, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
  31. Xuanling Yang & Dong Li & Ting Zhang, 2024. "Bubble Modeling and Tagging: A Stochastic Nonlinear Autoregression Approach," Papers 2401.07038, arXiv.org, revised Jan 2025.
  32. Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023. "Optimization of the Generalized Covariance Estimator in Noncausal Processes," Papers 2306.14653, arXiv.org, revised Jan 2024.
  33. Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
  34. Alain Hecq & Daniel Velásquez-Gaviria, 2025. "Spectral estimation for mixed causal-noncausal autoregressive models," Econometric Reviews, Taylor & Francis Journals, vol. 44(7), pages 939-962, August.
  35. Viacheslav Kramkov & Andrey Maksimov, 2020. "Loan market markups and noncausal autoregressions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 60, pages 48-69.
  36. Yaosong Zhan & Shiqing Ling & Zhenya Liu & Shixuan Wang, 2026. "Noncausal AR‐ARCH Model and Its Applications to Financial Time Series," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 31(1), pages 1424-1443, January.
  37. Jean-Baptiste MICHAU, 2019. "Helicopter Drops of Money under Secular Stagnation," Working Papers 2019-10, Center for Research in Economics and Statistics.
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