3 citations · 10 across the 16 of their papers we have counts for
4 papers · 1 filter
Spectral estimation for mixed causal-noncausal autoregressive models
Alain Hecq, Daniel Velasquez-Gaviria
This paper investigates new ways of estimating and identifying causal, noncausal, and mixed causal-noncausal autoregressive models driven by a non-Gaussian error sequence. We do no…
Detecting common bubbles in multivariate mixed causal-noncausal models
Gianluca Cubadda, Alain Hecq, Elisa Voisin
This paper proposes methods to investigate whether the bubble patterns observed in individual series are common to various series. We detect the non-linear dynamics using the recen…
Is climate change time reversible?
Francesco Giancaterini, Alain Hecq, Claudio Morana
This paper proposes strategies to detect time reversibility in stationary stochastic processes by using the properties of mixed causal and noncausal models. It shows that they can…
A short term credibility index for central banks under inflation targeting: an application to Brazil
Alain Hecq, Joao Issler, Elisa Voisin
This paper uses predictive densities obtained via mixed causal-noncausal autoregressive models to evaluate the statistical sustainability of Brazilian inflation targeting system wi…