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Journal articles (2020), Econometrics Journal, 23 (2), pp. 297–315

Probabilistic Forecasting of Bubbles and Flash Crashes

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^ Link to the article

BANERJEE, A., CHEVILLON, G. and KRATZ, M. (2020). Probabilistic Forecasting of Bubbles and Flash Crashes. Econometrics Journal, 23(2), pp. 297–315.