Bubble Detection with Application to Green Bubbles: A Noncausal Approach

Francesco Giancaterini; Alain Hecq; Joann Jasiak; Aryan Manafi Neyazi

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arXiv · 2505.14911

Bubble Detection with Application to Green Bubbles: A Noncausal Approach

Francesco Giancaterini·Alain Hecq·Joann Jasiak·Aryan Manafi Neyazi

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Abstract

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 nonlinear dynamics. The proposed approach provides a bubble indicator for detecting bubbles and measuring their duration. We implement our strategy to investigate the phenomenon called the "green bubble" in the field of renewable energy investment.

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Francesco Giancaterini, Alain Hecq, Joann Jasiak, Aryan Manafi Neyazi. 2025-05-20. Bubble Detection with Application to Green Bubbles: A Noncausal Approach. https://arxiv.org/abs/2505.14911

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