clustering. Motivated by these features, we introduce a mixed causal-noncausal invertible-noninvertible autoregressive moving …, which proves to be more robust to heavy tails and skewness - common in financial returns. To identify causal vs. noncausal … significant noncausal dynamics in the mean, paired with pronounced GARCH effects in the variance. Imposing a purely causal ARMA …

modeled using mixed causal non-causal models, a class of heavy-tailed autoregressive models that allow processes to depend on …

of mixed causal and noncausal models. It shows that they can also be used for non-stationary processes when the trend …

modeled using mixed causal non-causal models, a class of heavy-tailed autoregressive models that allow processes to depend on …