2 citations · 3 across the 7 of their papers we have counts for
9 papers · 1 filter
Nonfundamentalness or missing information ? Evidence from causal-noncausal VARs in macro-finance
Lison Christiaens, Julien Hambuckers, Alain Hecq
This paper studies the presence of noncausal dynamics in standard macro-finance VAR models and asks whether they reflect genuine nonfundamentalness or omitted information available…
Seasonality in Mixed Causal-Noncausal Processes
Tomás del Barrio Castro, Alain Hecq, Sean Telg
This paper investigates the role of complex and negative roots in mixed causal-noncausal autoregressive (MAR) models. Using partial fraction decompositions, we show that seasonal r…
Bubble Detection with Application to Green Bubbles: A Noncausal Approach
Francesco Giancaterini, Alain Hecq, Joann Jasiak +1
This paper introduces a new approach for bubble detection based on mixed causal and noncausal autoregressive processes and their tail process representation during an explosive epi…
Regularized Generalized Covariance (RGCov) Estimator
Francesco Giancaterini, Alain Hecq, Joann Jasiak +1
We introduce a regularized Generalized Covariance (RGCov) estimator as an extension of the GCov estimator to high dimensional setting that results either from high-dimensional data…
Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models
Alain Hecq, Daniel Velasquez-Gaviria
This paper introduces new techniques for estimating, identifying and simulating mixed causal-noncausal invertible-noninvertible models. We propose a framework that integrates high-…
Optimization of the Generalized Covariance Estimator in Noncausal Processes
Gianluca Cubadda, Francesco Giancaterini, Alain Hecq +1
This paper investigates the performance of the Generalized Covariance estimator (GCov) in estimating and identifying mixed causal and noncausal models. The GCov estimator is a semi…