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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…
econ.EM2018★ 3 cited
A Residual Bootstrap for Conditional Expected Shortfall
Alexander Heinemann, Sean Telg
This paper studies a fixed-design residual bootstrap method for the two-step estimator of Francq and Zakoïan (2015) associated with the conditional Expected Shortfall. For a genera…