Finance & Financial Econometrics : 
Time: 10:20 am
Date: 23th of May 2023
Room 3001

Gabriele MINGOLI (Vrije Universiteit Amsterdam) “Non-Stationary Factors for Common Bubbles”

Abstract : This paper proposes a novel multivariate time-series model with common stochastic trends and locally explosive mixed causal non-causal dynamics while allowing for idiosyncratic non-stationarities and explosive episodes. This model allows the description of common bubbles in high dimensional settings through common factors, with every non-stationary process that experience local explosive episodes, either common or idiosyncratic, being modeled according to an additive structure between a fundamental value and a bubble component. We provide sufficient conditions for consistency of the estimated factors and parameters. A Monte Carlo simulation confirms the good finite sample properties. An empirical study shows that our approach models correctly bubbles present in the monthly prices of stock from the energy sector.

Organizers:

Jean-Michel ZAKOIAN (CREST)

Sponsors:
CREST