Noncausal time series models for the forecasting of speculative bubbles

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