Research

Research Interests

Time series econometrics, macroeconometrics, financial econometrics, mixed causal-noncausal autoregressive models, conditional volatility models, speculative bubbles, common features, risk management.  

Publications

"Covid-19, Credit Risk Management Modeling, and Government Support" (2022), with Anna Dubinova and André Lucas. Journal of Banking and Finance, 147, DOI: https://doi.org/10.1016/j.jbankfin.2022.106638

"Mixed Causal-Noncausal Autoregressions with Exogenous Regressors" (2020), with João Victor Issler and Alain Hecq, Journal of Applied Econometrics, 35(3), p. 328-343. DOI: https://doi.org/10.1002/jae.2751

"Detecting Co-Movements in Noncausal Time Series" (2019), with Gianluca Cubadda and Alain Hecq, Oxford Bulletin of Economics and Statistics, 81(3), p. 697-715. DOI: https://doi.org/10.1111/obes.12281

"Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?" (2017), with Alain Hecq and Lenard Lieb, Econometrics, 5(4), 48, DOI: 10.3390/econometrics5040048.

"Identification of Mixed Causal-Noncausal Models in Finite Samples" (2016), with Alain Hecq and Lenard Lieb. Annals of Economics & Statistics, 123/124, p. 307-331, DOI: 10.15609/annaeconstat2009.123-124.0307 

Working Papers

"Time-varying effects of housing attributes and economic environment on housing prices" (2023), with Marina Friedrich, Yicong Lin, Pavitram Ramdaras and Bernhard van der Sluis (status: submitted). 

"Time aggregation  of Mixed Causal-Noncausal  Models" (2023), single authored (status: submitted).

"A Residual Bootstrap for Conditional Expected Shortfall" (2018), with Alexander Heinemann.

"Simulation, Estimation and Selection of Mixed Causal-Noncausal Autoregressive Models: The MARX Package" (2017), with Alain Hecq and Lenard Lieb.

Work in Progress

"Fractional Integration in Mixed Causal-Noncausal Models" (2023), with Sébastien Fries, Jorik van den Oord and Jean-Michel Zakoïan.  

"Noncausal Seasonal Bubbles and Volatility Models" (2021), with Tomás Del Barrio Castro and Alain Hecq.

"Finite Sample Properties of Noncausal Bubble Modelling” (2021), with Sébastien Fries.

PhD Dissertation

"Mixed Causal-Noncausal Models - Identification, Estimation and Inference" (2017). [An electronic version of my PhD thesis can be found here]

Software Package

The R package "MARX" for simulating, estimating, selecting and forecasting mixed causal-noncausal processes/models, possibly with exogenous regressors.

More information can be found on  https://CRAN.R-project.org/package=MARX. 

IDEAS/RePEc:                 https://ideas.repec.org/f/pte281.html

ResearchGate:                https://www.researchgate.net/profile/Sean_Telg

GitHub:                                https://github.com/seantelg