Probabilistic forecasting of bubbles and flash crashes

DOI10.1093/ECTJ/UTAA004OpenAlexW2993599786MaRDI QIDQ5083227

Guillaume Chevillon, Marie F. Kratz, Anurag N. Banerjee

Publication date: 22 June 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: http://dro.dur.ac.uk/29692/1/29692.pdf

zbMATH Keywords

bubblespredictive densityrandom coefficient autoregressive modellocal asymptoticsflash crashes

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (5)

Random autoregressive models: A structured overview ⋮ A first order continuous time <scp>VAR</scp> with random coefficients ⋮ Stochastic local and moderate departures from a unit root and its application to unit root testing ⋮ Testing for explosive bubbles: a review ⋮ Testing for strict stationarity in a random coefficient autoregressive model

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