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Noncausal time series models for the forecasting of speculative bubbles

Project description

Non-causal time series models for speculative bubble prediction

Speculative bubbles in financial markets can result in dramatic damages to portfolio performances and threaten the stability of the financial system. Autoregressive and moving average processes known as non-causal time series models have proved their capacity to reproduce standardised facts from speculative bubbles such as locally explosive trajectories. On condition that their dynamics are better understood, they will allow the formulation of predictions on future bubble trajectories. However, understanding regarding the prediction of non-causal processes remains limited. The EU-funded NONCAUSALBubble project will focus on the lack of theoretical foundations for the forecasting of strong non-causal processes. The project will be based on recent developments of extreme value and alpha-stable distribution theories. Analytical assessment of crash probabilities will lead to an intuitive prediction model of bubble identification.

Call for proposal

H2020-MSCA-IF-2019
See other projects for this call

Coordinator

STICHTING VU
Address
De Boelelaan 1105
1081 HV Amsterdam
Netherlands
Activity type
Higher or Secondary Education Establishments
EU contribution
€ 187 572,48