Local explosion modelling by non-causal process
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Local explosion modelling by non-causal process
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Cited in
(27)- Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
- Estimation of time series models using residuals dependence measures
- Stochastic properties of nonlinear locally-nonstationary filters
- Mixed causal-noncausal AR processes and the modelling of explosive bubbles
- A time-varying parameter model for local explosions
- Directional predictability tests
- Noncausal affine processes with applications to derivative pricing
- Asymptotic inference for a sign-double autoregressive (SDAR) model of order one
- Noncausal counting processes: a queuing perspective
- Optimization of the generalized covariance estimator in noncausal processes
- Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
- Misspecification of noncausal order in autoregressive processes
- Stationary bubble equilibria in rational expectation models
- Non-causal and non-invertible ARMA models: identification, estimation and application in equity portfolios
- Generalized covariance-based inference for models set-identified from independence restrictions
- Generalized Covariance Estimator
- Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds
- Inference in continuous systems with mildly explosive regressors
- Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
- Spectral estimation for mixed causal-noncausal autoregressive models
- Noncausal vector AR processes with application to economic time series
- On causal and non-causal cointegrated vector autoregressive time series
- Time aggregation of mixed causal-noncausal models
- Selecting between causal and noncausal models with quantile autoregressions
- Power of unit root tests against nonlinear and noncausal alternatives with an application to the brent crude oil price
- A novel test for the presence of local explosive dynamics
- A stochastic tree for bubble asset modelling and pricing
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