登入選單

返回Google圖書搜尋

Detecting Common Bubbles in Multivariate Mixed Causal-Noncausal Models

Gianluca CubaddaAlain W. J. HecqElisa Voisin

出版	CEIS Tor Vergata, 2023
URL	http://books.google.com.hk/books?id=1bXjzwEACAAJ&hl=&source=gbs_api

註釋

This paper proposes concepts and methods to investigate whether the bubble patterns observed in individual time series are common among them. Having established the conditions under which common bubbles are present within the class of mixed causal-noncausal vector autoregressive models, we suggest statistical tools to detect the common locally explosive dynamics in a Student-t distribution maximum likelihood framework. The performances of both likelihood ratio tests and information criteria are investigated in a Monte Carlo study. Finally, we evaluate the practical value of our approach by an empirical application on three commodity prices.