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Noncausal time series models for the forecasting of speculative bubbles

CORDIS provides links to public deliverables and publications of HORIZON projects.

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

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

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