MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES

DOI10.1017/S0266466618000452zbMath1433.62258OpenAlexW2755010359MaRDI QIDQ5205276

Jean-Michel Zakoian, Sébastien Fries

Publication date: 11 December 2019

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466618000452

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30)

Related Items (3)

Stochastic properties of nonlinear locally-nonstationary filters ⋮ Noncausal counting processes: a queuing perspective ⋮ A time-varying parameter model for local explosions

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