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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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MDPI
2022
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| Materias: | |
| 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 |