3 citations · 10 across the 16 of their papers we have counts for
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econ.EM2019★ 2 cited
Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models
Alain Hecq, Elisa Voisin
This paper aims at shedding light upon how transforming or detrending a series can substantially impact predictions of mixed causal-noncausal (MAR) models, namely dynamic processes…
econ.EM2019★ 2 cited
Identification of Noncausal Models by Quantile Autoregressions
Alain Hecq, Li Sun
We propose a model selection criterion to detect purely causal from purely noncausal models in the framework of quantile autoregressions (QAR). We also present asymptotics for the…