3 citations · 7 across the 3 of their papers we have counts for
3 papers
econ.EM2022★ 3 cited
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…
econ.EM2022★ 2 cited
A short term credibility index for central banks under inflation targeting: an application to Brazil
Alain Hecq, Joao Issler, Elisa Voisin
This paper uses predictive densities obtained via mixed causal-noncausal autoregressive models to evaluate the statistical sustainability of Brazilian inflation targeting system wi…
econ.EM2019★ 2 cited
Predicting crashes in oil prices during the COVID-19 pandemic with mixed causal-noncausal models
Alain Hecq, Elisa Voisin
This paper aims at shedding light upon how transforming or detrending a series can substantially impact predictions of mixed causal-noncausal (MAR) models, namely dynamic processes…