Probabilistic forecasting of bubbles and flash crashes

DOI10.1093/ECTJ/UTAA004MaRDI QIDQ5083227OpenAlexFDO

Authors Guillaume Chevillon, Marie Kratz, Anurag N. Banerjee

Publication date 22 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL http://dro.dur.ac.uk/29692/1/29692.pdf

zbMATH Keywords

predictive densitybubblesrandom coefficient autoregressive modellocal asymptoticsflash crashes

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(10)

• Early warning on stock market bubbles via methods of optimization, clustering and inverse problems
• A first order continuous time <scp>VAR</scp> with random coefficients
• Stochastic local and moderate departures from a unit root and its application to unit root testing
• Random autoregressive models: a structured overview
• Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
• Bubbles and crashes: gradient dynamics in financial markets
• Testing for strict stationarity in a random coefficient autoregressive model
• FORECASTING STOCK MARKET CRASHES VIA REAL-TIME RECESSION PROBABILITIES: A QUANTUM COMPUTING APPROACH
• Bubble detection and sector trading in real time
• Testing for explosive bubbles: a review

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