Bubble Modeling and Tagging: A Stochastic Nonlinear Autoregression Approach
泡沫建模与标记:随机非线性自回归方法
Economic and financial time series can feature locally explosive behavior when a bubble is formed. The economic or financial bubble, especially its dynamics, is an intriguing topic that has been attracting longstanding attention. To illustrate the dynamics of the local explosion itself, the paper presents a novel, simple, yet useful time series model, called the stochastic nonlinear autoregressive model, which is always strictly stationary and geometrically ergodic and can…