Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models

Gianluca Cubadda, Alain Hecq and Elisa Voisin ()
Additional contact information
Elisa Voisin: Maastricht University

No 555, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: This paper proposes concepts and methods to investigate whether the bubble patterns observed in individual time series are common among them. Having established the conditions under which common bubbles are present within the class of mixed causal-noncausal vector autoregressive models, we suggest statistical tools to detect the common locally explosive dynamics in a Student-t distribution maximum likelihood framework. The performances of both likelihood ratio tests and information criteria are investigated in a Monte Carlo study. Finally, we evaluate the practical value of our approach by an empirical application on three commodity prices.

Keywords: Forward-looking models; bubbles; co-movements (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2023-02-27, Revised 2023-02-27
New Economics Papers: this item is included in nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://ceistorvergata.it/RePEc/rpaper/RP555.pdf Main text (application/pdf)

Related works:
Journal Article: Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models (2023)
Working Paper: Detecting common bubbles in multivariate mixed causal-noncausal models (2022)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rtv:ceisrp:555

Ordering information: This working paper can be ordered from
CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
https://ceistorvergata.it

Access Statistics for this paper

More papers in CEIS Research Paper from Tor Vergata University, CEIS CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma. Contact information at EDIRC.
Bibliographic data for series maintained by Barbara Piazzi ().