From the 1 of 4 linked papers with an AI index.
4 papers
Nonfundamentalness or missing information ? Evidence from causal-noncausal VARs in macro-finance
Lison Christiaens, Julien Hambuckers, Alain Hecq
The paper examines whether noncausal dynamics in macro‑finance VAR models stem from true nonfundamental behavior or from omitted common information, introducing a factor‑filtered m…
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…
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…
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…