Local Lead–Lag Relationships and Nonlinear Granger Causality: An Empirical Analysis

The Granger causality test is essential for detecting lead–lag relationships between time series. Traditionally, one uses a linear version of the test, essentially based on a linear time series regression, itself being based on autocorrelations and cross-correlations of the series. In the present pa...

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Detalles Bibliográficos
Autores principales: Otneim, Håkon, Berentsen, Geir Drage, Tjøstheim, Dag
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8947503/
https://www.ncbi.nlm.nih.gov/pubmed/35327889
http://dx.doi.org/10.3390/e24030378

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8947503/
https://www.ncbi.nlm.nih.gov/pubmed/35327889
http://dx.doi.org/10.3390/e24030378

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