4 papers
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…
Shrinkage Regularization for (Non)Linear Serial Dependence Test
Francesco Giancaterini, Alain Hecq, Joann Jasiak +1
This paper introduces a regularized test of the null hypothesis of the absence of linear and nonlinear serial dependence for high-dimensional non-Gaussian time series. Our approach…
Generalized Covariance Estimator under Misspecification and Constraints
Aryan Manafi Neyazi
This paper investigates the properties of the Generalized Covariance (GCov) estimator under misspecification and constraints with application to processes with local explosive patt…
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…