This paper investigates one-step ahead density forecasts of mixed causal-noncausal models. It analyses and compares two data-driven approaches. The paper focuses on explosive episodes and therefore on predicting turning points of bubbles. Guidance in using these approximation methods are...

This paper proposes concepts and methods to investigate whether the bubble patterns observed in individual time series are common among them. Having established the conditions under which common bubbles are present within the class of mixed causal-noncausal vector autoregressive models, we...

This paper proposes concepts and methods to investigate whether the bubble patterns observed in individual time series are common among them. Having established the conditions under which common bubbles are present within the class of mixed causal-noncausal vector autoregressive models, we...