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DTSTART;TZID=Europe/Helsinki:20260402T100000
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SUMMARY:Frederik KRABBE (Aarhus University) "Causal Non-causal State Space Models and the Modelling of Financial Bubbles"
DESCRIPTION:Finance-Insurance\nTime: 10.00 am\nDate:02th of April 2026\nRoom 3001 \nFrederik KRABBE (Aarhus University) “Causal Non-causal State Space Models and the Modelling of Financial Bubbles” \nAbstract : In this paper\, we study causal non-causal state space models to model time series characterised by a local explosive increase followed by a sharp decrease such as stock prices. To motivate the use of causal non-causal state space models\, we show that the causal non-causal convolution autoregressive model introduced by Gouriéroux and Zakoïan (2017) can be consistent with the rational expectations stock price model. As in a causal state space model\, a central question is how to perform state and parameter inference in the causal non-causal state space model\, which we discuss in the paper. We also study the causal non-causal convolution autoregressive model in more detail\, providing some new results for the model. To illustrate the usefulness of causal non-causal state space models\, we use the causal non-causal convolution autoregressive model to estimate the size of the dot-com bubble in both real time and a posteriori with the stable non-causal autoregressive model considered also by Gouriéroux and Zakoïan (2017) as a benchmark. \nOrganizers:  Jean-Michel ZAKOIAN & Christian FRANCQ \n  \n
URL:https://crest.science/event/frederik-krabbe-aarhus-university-causal-non-causal-state-space-models-and-the-modelling-of-financial-bubbles/
CATEGORIES:Finance-Insurance,Seminars
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