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Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing1
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Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing1 (2020)Mixed Causal–Noncausal Autoregressions: B…MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES (2019)MIXED CAUSAL-NONCAUSAL AR PRO…Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling (2018)Bootstrapping Noncausal Autor…Local Explosion Modelling by Non-Causal Process (2016)Local Explosion Modelling by …Identification of Mixed Causal-Noncausal Models in Finite Samples (2016)Identification of Mixed Causa…Testing for a Unit Root in Noncausal Autoregressive Models (2015)Testing for a Unit Root in No…Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates (2014)Noncausal Autoregressive Mode…NONCAUSAL VECTOR AUTOREGRESSION (2012)NONCAUSAL VECTOR AUTOREGRESSI…Rational Expectations and the Theory of Price Movements (1961)Bubbles, Rational Expectations and Financial Markets (1982)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Detecting bubbles in Bitcoin price dynamics via market exuberance (2019)Modelling the dynamics of Bitcoin and Litecoin: GARCH versus stochastic volatility models (2019)Forecasting cryptocurrency volatility (2021)Modelling Extremal Events (1997)TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation (2017)Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations (2017)Mixed causal–noncausal autoregressions with exogenous regressors (2020)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)A test for independence based on the correlation dimension (1996)Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities (1985)Estimation and Testing Stationarity for Double-Autoregressive Models (2003)Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (2004)A note on maximum likelihood estimation of the rational expectations model of the term structure (1979)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Term Premia and Interest Rate Forecasts in Affine Models (2002)Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments (2018)Bayesian inference on structural impulse response functions (2019)Time Series Regression with a Unit Root (1987)Statistical Inference in Regressions with Integrated Processes: Part 1 (1988)Testing for a Unit Root in Time Series Regression (1988)Explosive Bubble Modelling by Noncausal Process (2013)
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References

  • 2014Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates93 cited
  • 2012NONCAUSAL VECTOR AUTOREGRESSION90 cited
  • 2016Local Explosion Modelling by Non-Causal Process83 cited
  • 2019MIXED CAUSAL-NONCAUSAL AR PROCESSES AND THE MODELLING OF EXPLOSIVE BUBBLES38 cited
  • 2018Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling35 cited
  • 2016Identification of Mixed Causal-Noncausal Models in Finite Samples32 cited
  • 2015Testing for a Unit Root in Noncausal Autoregressive Models19 cited

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