Essec\Faculty\Model\Contribution {#6196
  #_index: "academ_contributions"
  #_id: "10789"
  #_source: array:26 [
    "id" => "10789"
    "slug" => "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)."
    "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"
    "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."
      "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."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
      "en" => "Information Systems, Decision Sciences and Statistics"
    ]
    "indexedAt" => "2024-04-19T00:21:44.000Z"
    "docTitle" => "Probabilistic Forecasting of Bubbles and Flash Crashes"
    "docSurtitle" => "Articles"
    "authorNames" => "<a href="/cv/chevillon-guillaume">CHEVILLON Guillaume</a>, <a href="/cv/kratz-marie">KRATZ Marie</a>, BANERJEE A."
    "docDescription" => "<span class="document-property-authors">CHEVILLON Guillaume, KRATZ Marie, BANERJEE A.</span><br><span class="document-property-authors_fields">Systèmes d’Information, Sciences de la Décision et Statistiques</span> | <span class="document-property-year">2020</span>"
    "keywordList" => ""
    "docPreview" => "<b>Probabilistic Forecasting of Bubbles and Flash Crashes</b><br><span>2020-05 | Articles </span>"
    "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>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 8.636148
  +"parent": null
}