Noncausal time series models for the forecasting of speculative bubbles

Project Information

NONCAUSALBubble

Grant agreement ID: 896504

DOI

10.3030/896504

Project terminated on 2 October 2021

EC signature date 30 April 2020

Start date 1 July 2020

End date 30 June 2022

Funded under

• EXCELLENT SCIENCE - Marie Skłodowska-Curie Actions

Total cost

€ 187 572,48

EU contribution

€ 187 572,48

Coordinated by

STICHTING VU
Netherlands

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Links to deliverables and publications from FP7 projects, as well as links to some specific result types such as dataset and software, are dynamically retrieved from OpenAIRE .

Publications

Peer reviewed articles (1)

Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds

Author(s): Sébastien Fries
Published in: Journal of Business & Economic Statistics, 2021, Page(s) 1-21, ISSN 0735-0015
Publisher: American Statistical Association
DOI: 10.1080/07350015.2021.1953508