The Causal-Noncausal Tail Processes
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2025
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866909894617071616 |
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| author | Gouriéroux, Christian Lu, Yang Robert, Christian-Yann |
| author_facet | Gouriéroux, Christian Lu, Yang Robert, Christian-Yann |
| contents | This paper considers one-dimensional mixed causal/noncausal autoregressive (MAR) processes with heavy tail, usually introduced to model trajectories with patterns including asymmetric peaks and throughs, speculative bubbles, flash crashes, or jumps. We especially focus on the extremal behaviour of these processes when at a given date the process is above a large threshold and emphasize the roles of pure causal and noncausal components of the tail process. We provide the dynamic of the tail process and explain how it can be updated during the life of a speculative bubble. In particular we discuss the prediction of the turning point(s) and introduce pure residual plots as a diagnostic for the bubble episodes. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2506_04046 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | The Causal-Noncausal Tail Processes Gouriéroux, Christian Lu, Yang Robert, Christian-Yann Methodology 62M10 This paper considers one-dimensional mixed causal/noncausal autoregressive (MAR) processes with heavy tail, usually introduced to model trajectories with patterns including asymmetric peaks and throughs, speculative bubbles, flash crashes, or jumps. We especially focus on the extremal behaviour of these processes when at a given date the process is above a large threshold and emphasize the roles of pure causal and noncausal components of the tail process. We provide the dynamic of the tail process and explain how it can be updated during the life of a speculative bubble. In particular we discuss the prediction of the turning point(s) and introduce pure residual plots as a diagnostic for the bubble episodes. |
| title | The Causal-Noncausal Tail Processes |
| topic | Methodology 62M10 |
| url | https://arxiv.org/abs/2506.04046 |