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Non-parametric determination of real-time lag structure between two time series: The "optimal thermal causal path" method with applications to economic data

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Comments on "Non-parametric determination of real-time lag structure between two time series: The 'Optimal thermal causal path' method with applications to economic data"

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Non-Parametric Determination of Real-Time Lag Structure between Two Time Series : The 'Optimal Thermal Causal Path' Method

Sornette, Didier; Zhou, Wei-Xing - 2004

We introduce a novel non-parametric methodology to test for the dynamical time evolution of the lag-lead structure between two arbitrary time series. The method consists in constructing a distance matrix based on the matching of all sample data pairs between the two time series. Then, the...

Persistent link: https://www.econbiz.de/10014070226

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Vine copula Granger causality in quantiles

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Nonparametric tests for conditional independence

Su, Liangjun - 2004

Persistent link: https://www.econbiz.de/10003387631