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20 mai 2025
- 2505.14911
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Economics - EconometricsSujets proches
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Francesco Giancaterini et al., « Bubble Detection with Application to Green Bubbles: A Noncausal Approach », arXiv - économie
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Résumé
This paper introduces a new approach to detect bubbles based on mixed causal and noncausal processes and their tail process representation during explosive episodes. Departing from traditional definitions of bubbles as nonstationary and temporarily explosive processes, we adopt a perspective in which prices are viewed as following a strictly stationary process, with the bubble considered an intrinsic component of its non-linear dynamics. We illustrate our approach on the phenomenon referred to as the "green bubble" in the field of renewable energy investment.
