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econ.EM2025
Bubble Detection with Application to Green Bubbles: A Noncausal Approach
Francesco Giancaterini, Alain Hecq, Joann Jasiak +1
This paper introduces a new approach for bubble detection based on mixed causal and noncausal autoregressive processes and their tail process representation during an explosive epi…
econ.EM2025
Regularized Generalized Covariance (RGCov) Estimator
Francesco Giancaterini, Alain Hecq, Joann Jasiak +1
We introduce a regularized Generalized Covariance (RGCov) estimator as an extension of the GCov estimator to high dimensional setting that results either from high-dimensional data…
econ.EM2025
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…