Essec\Faculty\Model\Contribution {#2216 ▼
#_index: "academ_contributions"
#_id: "10789"
#_source: array:26 [
"id" => "10789"
"slug" => "10789-probabilistic-forecasting-of-bubbles-and-flash-crashes"
"yearMonth" => "2020-05"
"year" => "2020"
"title" => "Probabilistic Forecasting of Bubbles and Flash Crashes"
"description" => "BANERJEE, A., CHEVILLON, G. et KRATZ, M. (2020). Probabilistic Forecasting of Bubbles and Flash Crashes. <i>Econometrics Journal</i>, 23(2). 
BANERJEE, A., CHEVILLON, G. et KRATZ, M. (2020). Probabilistic Forecasting of Bubbles and Flash Cras "
"authors" => array:3 [
0 => array:3 [
"name" => "CHEVILLON Guillaume"
"bid" => "B00072304"
"slug" => "chevillon-guillaume"
]
1 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
2 => array:1 [
"name" => "BANERJEE A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://www.researchgate.net/publication/339273040_Probabilistic_Forecasting_of_Bubbles_and_Flash_Crashes https://www.researchgate.net/publication/339273040_Probabilistic_Forecasting_of_Bubbles_and_Flash_Cr "
"publicationInfo" => array:3 [
"pages" => null
"volume" => "23"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "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. We propose a near explosive random coefficient autoregressive model (NERC) to obtain predictive prob "
"en" => "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. We propose a near explosive random coefficient autoregressive model (NERC) to obtain predictive prob "
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2025-03-20T22:21:45.000Z"
"docTitle" => "Probabilistic Forecasting of Bubbles and Flash Crashes"
"docSurtitle" => "Journal articles"
"authorNames" => "<a href="/cv/chevillon-guillaume">CHEVILLON Guillaume</a>, <a href="/cv/kratz-marie">KRATZ Marie</a>, BANERJEE A. <a href="/cv/chevillon-guillaume">CHEVILLON Guillaume</a>, <a href="/cv/kratz-marie">KRATZ Marie</a> "
"docDescription" => "<span class="document-property-authors">CHEVILLON Guillaume, KRATZ Marie, BANERJEE A.</span><br><span class="document-property-authors_fields">Information Systems, Data Analytics and Operations</span> | <span class="document-property-year">2020</span> <span class="document-property-authors">CHEVILLON Guillaume, KRATZ Marie, BANERJEE A.</span><br><spa "
"keywordList" => ""
"docPreview" => "<b>Probabilistic Forecasting of Bubbles and Flash Crashes</b><br><span>2020-05 | Journal articles </span> <b>Probabilistic Forecasting of Bubbles and Flash Crashes</b><br><span>2020-05 | Journal articles </ "
"docType" => "research"
"publicationLink" => "<a href="https://www.researchgate.net/publication/339273040_Probabilistic_Forecasting_of_Bubbles_and_Flash_Crashes" target="_blank">Probabilistic Forecasting of Bubbles and Flash Crashes</a> <a href="https://www.researchgate.net/publication/339273040_Probabilistic_Forecasting_of_Bubbles_and "
]
+lang: "en"
+"_type": "_doc"
+"_score": 8.762802
+"parent": null
}
