Gianluca Cubadda, Alain Hecq, Elisa Voisin
arXiv 23 Jul 2022 · Econometrics · publishedEconometrics (2023) · 7 citations (OpenAlex)
arXiv:2207.11557 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes methods to investigate whether the bubble patterns observed in individual series are common to various series. We detect the non-linear dynamics using the recent mixed causal and noncausal models. Both a likelihood ratio test and information criteria are investigated, the former having better performances in our Monte Carlo simulations. Implementing our approach on three commodity prices we do not find evidence of commonalities although some series look very similar.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Cubadda, G., Hecq, A (2001) On non-contemporaneous short-run co-movements self | 0.405 | 1 | 1 | 100% |
Showing the top 1 of 1 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 2504.18678 | 0.644 | 2 | 2 |
| 2 | Optimization of the Generalized Covariance Estimator in Noncausal Processes | 0.511 | 2 | 1 |
| 3 | 2501.03945 | 0.405 | 1 | 1 |
| 4 | 2509.13492 | 0.405 | 1 | 1 |