NONCAUSAL/LOCALLY EXPLOSIVE PROCESSES

You can find here my papers on noncausal/locally explosive processes, codes and supplementary materials:

WORKING PAPERS
  • Green Bubbles: A Noncausal Approach Download with F. Giancaterini, A. Hecq and A. Manafi Neyazi

CODES
  • Code for GCOV mixed VAR(1), Matlab by F. Giancaterini Download
  • Code for diag GCOV version JoE (2017), mixed VAR(p), Python by M. Hall Download
  • Code for GCOV univariate MAR, Matlab by A. Manafi Neyazi Download
  • Code for GCOV, mixed VAR(1) estimation, new version JBES(2022) Download
  • Code for MAR(1,1) Forecast of WTI Crude Oil Prices JTSA(2016), JoF(2020) Download
  • Code for MAR(1,1) Cauchy or t-Student Simulation, JTSA(2016) Download
  • Code for MAR(1,1) Cauchy AML Estimation JTSA(2016) Download
  • Code for Simulation and GCOV Estimation of Cauchy Noncausal AR(1) Download
  • Code for Simulation and GCOV Estimation of Noncausal VAR with t-Student Errors, JoE (2017) Download
  • Codes for GCOV Estimation of Noncausal VAR(2) and VAR(3), JoE (2017) Download, Download
  • Code for Martingale Test and Block Bootstrap, Emetrics and Stats. (2019) Download

TECHNICAL PAPERS
  • Online Appendix to Generalized Covariance-Based Inference for Models Partially Identified from Independence Restrictions Download
  • Online Appendix to Generalized Covariance Estimator Download
  • Data for Forecast Performance and Bubble Analysis : Bitcoin Download, US Corn Download
  • SIMULATION RESULTS FOR Misspecification of Causal and Noncausal Orders in Autoregressive Processes, JoE 2018: CAUCHY MIXTURE Download T-STUDENT MIXTURE Download
  • Noncausal Vector Autoregressive Processes VAR(p), JoE 2016: Complementary Material Download APPENDIX On-Line Download Explanatory analysis for Noncausal Vector Autoregressive VAR(1) Download
  • Appendices to Robust Analysis of the Martingale Hypothesis, Emetrics and Stats. (2019) Download

ARTICLES

    FORECASTING


    CLOSED-FORM PARAMETRIC AND SEMI-PARAMETRIC PREDICTIVE DENSITY FOR
    - MULTIVARIATE CAUSAL-NONCAUSAL PROCESSES
  • 2026 Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal VAR Models with C. Gourieroux Journal of Financial Econometrics

    • - UNIVARIATE CAUSAL-NONCAUSAL PROCESSES
  • 2016 Filtering, Prediction and Simulation Methods for Noncausal Processes, with Gourieroux, Journal of Time Series Analysis, Vol 37, 405-430 link

  • 2020 Forecast Performance and Bubble Analysis in Noncausal MAR(1,1) Processes, with A, Hencic, Gourieroux Journal of Forecasting link

  • 2021 Convolution-Based Filtering and Forecasting: An application to WTI Crude Oil Prices, with M. Tong, Gourieroux Journal of Forecasting link

  • 2014 Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange rates Download C Gourieroux, A. Hencic Econometrics of Risk, 2015, Studies in Computational Intelligence 583:17-40, Springer, New York (application of forecasting method from JTSA 2016)

    • SIMULATION
    MULTIVARIATE CAUSAL-NONCAUSAL PROCESSES
  • 2017 Noncausal Vector Autoregressive Processes: Representation, Identification and Semi-Parametric Estimation, with Gourieroux Journal of Econometrics, Vol 200, 118-134 link

    • UNIVARIATE CAUSAL-NONCAUSAL PROCESSES
  • 2016 Filtering, Prediction and Simulation Methods for Noncausal Processes, with Gourieroux, Journal of Time Series Analysis, Vol 37, 405-430 link

    • SEMI-PARAMETRIC GCov ESTIMATION
  • 2017 Noncausal Vector Autoregressive Processes: Representation, Identification and Semi-Parametric Estimation, with Gourieroux Journal of Econometrics, Vol 200, 118-134 link

  • 2023 Generalized Covariance Estimator Download with C. Gourieroux, Journal of Business and Economic Statistics , Volume 41, 1315-1327.

  • 2024 Optimization of the Generalized Covariance Estimator in Noncausal Processes Download with G. Cubadda, F. Giancaterini and A. Hecq, Statistics and Computing

  • 2026 Regularized Generalized Covariance (RGCov) Estimator Download ArXiv 6390395 with A. Hecq, F. Giancaterini and A. Manafi Neyazi Econometrics Journal

    • INFERENCE GCov-BASED
  • 2025 Generalized Covariance-Based Inference for Models Partially Identified from Independence Restrictions Download with C. Gourieroux Journal of Time Series Analysis

  • 2026 GCov-Based Portmanteau Test Download with A. Manafi Neyazi Econometric Reviews

    • MODELLING


  • 2020 Stationary Bubble Equilibria in Rational Expectation Models, with Gourieroux, Monfort Journal of Econometrics, 218, 714-735 link

  • 2023 Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether Download with A. Djogbenou and E. Inan Journal of International Money and Finance , Vol 139, 102946

  • 2024 Modelling Common Bubbles in Cryptocurrency Prices Download with Mauri Hall, Economic Modelling

  • 2025 A Stochastic Tree for Bubble Asset Modelling and Pricing Download with C. Gourieroux Journal of Time Series Analysis

    • MISSPECIFICATION: ORDER AND TREND (STATIONARY MARTINGALE)


  • 2018 Misspecification of Noncausal Order in Autoregressive Processes, with Gourieroux, Journal of Econometrics, Vol 205, 226-248 link

  • 2019 Robust Analysis of the Martingale Hypothesis, with Gourieroux, Econometrics and Statistics, Vol 9, 17-41 link