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DTSTART:20260329T010000
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DTSTART:20261025T010000
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DTSTART;TZID=Europe/Helsinki:20260402T100000
DTEND;TZID=Europe/Helsinki:20260402T230000
DTSTAMP:20260710T035600
CREATED:20260327T140115Z
LAST-MODIFIED:20260327T140133Z
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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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DTSTART;TZID=Europe/Helsinki:20260402T110000
DTEND;TZID=Europe/Helsinki:20260402T120000
DTSTAMP:20260710T035600
CREATED:20260330T073238Z
LAST-MODIFIED:20260330T073238Z
UID:18895-1775127600-1775131200@crest.science
SUMMARY:Gilles DE TRUCHIS DE VARENNE (LEO) "Prediction of bubbles in presence of alpha-stable aggregates moving averages"
DESCRIPTION:Finance-Insurance\nTime: 11.00 am\nDate:02th of April 2026\nRoom 3001 \nGilles DE TRUCHIS DE VARENNE (LEO) “Prediction of bubbles in presence of alpha-stable aggregates moving averages” \nAbstract : Financial markets frequently exhibit dramatic episodes where asset prices undergo rapid growth followed by abrupt collapses\, that are incompatible with standard linear time series models. While anticipative heavy-tailed linear processes offer a promising alternative for modeling such phenomena\, they impose uniform bubble patterns across different episodes\, contradicting empirical evidence. This paper introduces a new model\, based on $\alpha$-stable moving average aggregates\, that accommodates heterogeneous bubble dynamics. We establish the theoretical properties of this model\, demonstrating that it admits a semi-norm representation on a unit cylinder\, thereby enabling the prediction of extreme trajectories with varying growth dynamics. We develop a minimum distance estimation procedure based on the joint characteristic function and establish its asymptotic properties. Monte Carlo simulations confirm the estimator’s good finite-sample performance across various specifications\, and we implement a subsampling methodology to empirically verify the convergence to asymptotic normality. Our empirical application to the CBOE Crude Oil ETF Volatility Index successfully decomposes observed volatility dynamics into distinct components with different persistence properties\, revealing that what appears as a single bubble episode actually consists of multiple superimposed processes with heterogeneous growth rates and crash probabilities. \nOrganizers:  Jean-Michel ZAKOIAN & Christian FRANCQ \n  \n
URL:https://crest.science/event/gilles-de-truchis-de-varenne-leo-prediction-of-bubbles-in-presence-of-alpha-stable-aggregates-moving-averages/
CATEGORIES:Finance-Insurance,Seminars
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