| 000 -LEADER |
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| fixed length control field |
01312nam a22001577a 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
210830b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Banerjee, A., Chevillon, G. and Kratz, M. |
| 245 ## - TITLE STATEMENT |
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| Title |
Probabilistic forecasting of bubbles and flash crashes |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc |
The Econometrics Journal |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
23(2), May, 2020: p.297-315 |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc |
We propose a near-explosive random coefficient autoregressive model (NERC) to obtain predictive probabilities of the apparition and devolution of bubbles. The distribution of the autoregressive coefficient of this model is allowed to be centred at an O(T−α) distance of unity, with α ∈ (0, 1). When the expectation of the autoregressive coefficient lies on the explosive side of unity, the NERC helps to model the temporary explosiveness of time series and obtain related predictive probabilities. We study the asymptotic properties of the NERC and provide a procedure for inference on the parameters. In empirical illustrations, we estimate predictive probabilities of bubbles or flash crashes in financial asset prices. – Reproduced |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Random coefficient overaggressive model, Local asymptotic, Predictive dentistry, Bubbles, Flash crashes |
| 9 (RLIN) |
27137 |
| 773 ## - HOST ITEM ENTRY |
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| Main entry heading |
The Econometrics Journal |
| 906 ## - LOCAL DATA ELEMENT F, LDF (RLIN) |
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| Subject DIP |
ECONOMICS |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Item type |
Articles |
