We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural …

The following paper discusses the analysis of some types of economic time series using an altered time scale, or … operational time. It is argued that for some series, observations that are ordinarily thought of as equidistant in time are … actually irregularly spaced in a more natural time scale. Section A discusses point or impulse sampling of related series and …

Correlations between two time series, including the linear Pearson correlation and the nonlinear transfer entropy, have … a time delay and a rolling window. In most cases, the Pearson correlation and transfer entropy share the same tendency … correlation, using the linear correlation with time delays and a rolling window is a robust and simple method to quantify the …