no code implementations • 23 Jul 2022 • Gianluca Cubadda, Alain Hecq, Elisa Voisin
This paper proposes methods to investigate whether the bubble patterns observed in individual series are common to various series.
no code implementations • 2 May 2022 • Alain Hecq, Joao Issler, Elisa Voisin
This paper uses predictive densities obtained via mixed causal-noncausal autoregressive models to evaluate the statistical sustainability of Brazilian inflation targeting system with the tolerance bounds.
no code implementations • 25 Nov 2019 • Alain Hecq, Elisa Voisin
This paper aims at shedding light upon how transforming or detrending a series can substantially impact predictions of mixed causal-noncausal (MAR) models, namely dynamic processes that depend not only on their lags but also on their leads.
