01431nam a22001697a 4500999001900000008004100019100005400060245006000114260003100174300003200205520074800237650011800985773003001103906001401133942000701147952010701154  c518223d518223210830b           ||||| |||| 00| 0 eng d  aBanerjee, A., Chevillon, G. and Kratz, M. 928681  aProbabilistic forecasting of bubbles and flash crashes   aThe Econometrics Journal    a23(2), May, 2020: p.297-315  aWe 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   aRandom coefficient overaggressive model, Local asymptotic, Predictive dentistry, Bubbles, Flash crashes   927137  aThe Econometrics Journal   aECONOMICS  cAR  00102ddc40709392288aIIPAbIIPAd2021-08-30h23(2), May, 2020: p.297-315pAR125408r2021-08-30yAR