3 papers
econ.EM2019
Understanding the explosive trend in EU ETS prices -- fundamentals or speculation?
Marina Friedrich, Sébastien Fries, Michael Pahle +1
In 2018, allowance prices in the EU Emission Trading Scheme (EU ETS) experienced a run-up from persistently low levels in previous years. Regulators attribute this to a comprehensi…
math.PR2018
Path prediction of aggregated -stable moving averages using semi-norm representations
Sébastien Fries
For a two-sided -stable moving average, this paper studies the conditional distribution of future paths given a piece of observed trajectory when the process is far from…
math.PR2018
Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds
Sebastien Fries
Noncausal, or anticipative, heavy-tailed processes generate trajectories featuring locally explosive episodes akin to speculative bubbles in financial time series data. For …