Bubble Detection with Application to Green Bubbles: A Noncausal Approach
Fuente:
arXiv
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| Auteurs principaux: | , , , |
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| Format: | Preprint |
| Publié: |
2025
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| _version_ | 1866918457980747776 |
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| author | Giancaterini, Francesco Hecq, Alain Jasiak, Joann Neyazi, Aryan Manafi |
| author_facet | Giancaterini, Francesco Hecq, Alain Jasiak, Joann Neyazi, Aryan Manafi |
| contents | This paper introduces a new approach for bubble detection based on mixed causal and noncausal autoregressive processes and their tail process representation during an explosive episode. Departing from traditional definitions of bubbles as nonstationary and temporarily explosive processes, we adopt a perspective in which prices are assumed to follow a strictly stationary process, with the bubble considered an intrinsic component of its nonlinear dynamics. The proposed approach provides a bubble indicator for detecting bubbles and measuring their duration. We implement our strategy to investigate the phenomenon called the "green bubble" in the field of renewable energy investment. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2505_14911 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Bubble Detection with Application to Green Bubbles: A Noncausal Approach Giancaterini, Francesco Hecq, Alain Jasiak, Joann Neyazi, Aryan Manafi Econometrics This paper introduces a new approach for bubble detection based on mixed causal and noncausal autoregressive processes and their tail process representation during an explosive episode. Departing from traditional definitions of bubbles as nonstationary and temporarily explosive processes, we adopt a perspective in which prices are assumed to follow a strictly stationary process, with the bubble considered an intrinsic component of its nonlinear dynamics. The proposed approach provides a bubble indicator for detecting bubbles and measuring their duration. We implement our strategy to investigate the phenomenon called the "green bubble" in the field of renewable energy investment. |
| title | Bubble Detection with Application to Green Bubbles: A Noncausal Approach |
| topic | Econometrics |
| url | https://arxiv.org/abs/2505.14911 |