01312nam a22001577a 4500 518223 518223 210830b ||||| |||| 00| 0 eng d Banerjee, A., Chevillon, G. and Kratz, M. 28681 Probabilistic forecasting of bubbles and flash crashes The Econometrics Journal 23(2), May, 2020: p.297-315 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 Random coefficient overaggressive model, Local asymptotic, Predictive dentistry, Bubbles, Flash crashes 27137 The Econometrics Journal ECONOMICS AR 0 0 ddc 0 0 392288 IIPA IIPA 2021-08-30 23(2), May, 2020: p.297-315 AR125408 2021-08-30 AR