CORDIS Project
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The NONCAUSALBubble project investigates speculative bubbles in financial markets, focusing on noncausal time series models to enhance understanding and forecasting of these phenomena. By applying advanced statistical methods, the project aims to improve predictions of bubble trajectories and assess crash probabilities…
Speculative bubbles on financial markets, viewed as short-term explosive deviations of prices from a typical historical level and ending in an abrupt correction, have become common events across all major asset classes.
They can have a dramatic impact on portfolio performances, financial institutions solvability and can compromise the stability of the financial system.
Because of their ability to reproduce stylized facts from speculative bubbles such as locally explosive trajectories, noncausal…
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