3 citations · 3 across the 4 of their papers we have counts for
5 papers · 1 filter
Sequential Monte Carlo for Noncausal Processes
Gianluca Cubadda, Francesco Giancaterini, Stefano Grassi
This paper proposes a Sequential Monte Carlo approach for the Bayesian estimation of mixed causal and noncausal models. Unlike previous Bayesian estimation methods developed for th…
VAR models with an index structure: A survey with new results
Gianluca Cubadda
The main aim of this paper is to review recent advances in the multivariate autoregressive index model [MAI], originally proposed by Reinsel (1983), and their applications to econo…
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…
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…
Dimension Reduction for High Dimensional Vector Autoregressive Models
Gianluca Cubadda, Alain Hecq
This paper aims to decompose a large dimensional vector autoregessive (VAR) model into two components, the first one being generated by a small-scale VAR and the second one being a…