Python implementation of Gourieroux-Jasiak's (2025) mixed causal-noncausal VAR models. Features probabilistic forecasting, nonlinear innovation filtering, and state-dependent IRF analysis for financial time series with explosive dynamics. Enables robust risk assessment and structural analysis of speculative behavior.
python bootstrap time-series numpy monte-carlo jupyter-notebook pandas forecasting scipy quantitative-finance uncertainty-quantification risk-management statistical-modeling financial-modeling research-implementation var-models nonlinear-modeling bubble-analysis
- Updated
Jul 18, 2025 - Jupyter Notebook