Bubble Detection with Application to Green Bubbles: A Noncausal Approach (opens in new tab)

This paper introduces a new approach for bubble detection based on mixed causal and noncausal autoregressive processes and their tail process representation during an explosive episode. Departing from traditional definitions of bubbles as nonstationary and temporarily explosive processes, we adopt a perspective in which prices are assumed to follow a strictly stationary process, with the bubble considered an intrinsic component of its nonlin...