Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
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Cites work
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- Noncausal autoregressive model in application to Bitcoin/USD exchange rates
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Cited in
(9)- Optimization of the generalized covariance estimator in noncausal processes
- Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds
- Monitoring Network Changes in Social Media
- Testing ARCH effect of high-dimensional time series data
- A stochastic tree for bubble asset modelling and pricing
- Asymptotic inference for a sign-double autoregressive (SDAR) model of order one
- Noncausal AR processes driven by causal GARCH volatility
- Beyond the mean: limit theory and tests for infinite-mean autoregressive conditional durations
- GCov-based portmanteau test
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