3 citations · 10 across the 16 of their papers we have counts for
Showing 2026Show all
2 papers · 1 filter
econ.EM2026
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…
econ.EM2026
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…