000			01312nam a22001577a 4500
999			_c518223 _d518223
008			210830b ||||| |||| 00| 0 eng d
100			_aBanerjee, A., Chevillon, G. and Kratz, M. _928681
245			_aProbabilistic forecasting of bubbles and flash crashes
260			_aThe Econometrics Journal
300			_a23(2), May, 2020: p.297-315
520			_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
650			_aRandom coefficient overaggressive model, Local asymptotic, Predictive dentistry, Bubbles, Flash crashes _927137
773			_aThe Econometrics Journal
906			_aECONOMICS
942			_cAR