https://github.com/chirindaopensource/non_linear_forecasting_backcasting

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.

bootstrap bubble-analysis financial-modeling forecasting jupyter-notebook monte-carlo nonlinear-modeling numpy pandas python quantitative-finance research-implementation risk-management scipy statistical-modeling time-series uncertainty-quantification var-models

Last synced: 11 Apr 2026