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Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models
Allen, David E. - 2018
. Causal relations are analysed using the recently developed concept of general correlation Zheng et al. (2012) and Vinod (2017 …
Persistent link: https://www.econbiz.de/10012917306
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Generalized Correlations and Instantaneous Causality for Data Pairs Benchmark
Vinod, Hrishikesh D. - 2015
Usual correlations assume linearity. If new generalized correlations satisfy r*(Y |X) r*(X|Y ), X better predicts Y than vice versa. Then we say that X "causes" Y . Thus, Vinod (2013) revives Granger's instantaneous causality concept. Mooij et al. (2014) and their references seem unaware of...
Persistent link: https://www.econbiz.de/10013026895
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Block Versions of R functions in 'generalCorr' for Generalized Correlations and Causal Paths
Vinod, Hrishikesh D. - 2019
Karl Pearson developed the correlation coefficient r(X,Y) in 1890s vastly underestimates dependence between two series …. Vinod(2014} develops new generalized correlation coefficients so that when r*(Y|X) > r*(X|Y) then X is the "kernel cause … latest rendering of the theory behind causal paths including theorems with proofs. The function 'causeSummBlk(.)' is …
Persistent link: https://www.econbiz.de/10012860226
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Measuring Causal Effect with ARDL-BART : A Macroeconomic Application
Mahdavi, Pegah; Ehsani, Mohammad Ali; Ahelegbey, Daniel … - 2023
Modeling dynamic systems with linear parametric models usually suffer limitation which affects forecasting performance and policy implications. This paper advances a non-parametric autoregressive distributed lag model that employs a Bayesian additive regression tree (BART). The performance of...
Persistent link: https://www.econbiz.de/10014262923
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Multiple Horizon Causality in Network Analysis : Measuring Volatility Interconnections in Financial Markets
Dufour, Jean-Marie - 2016
fully exploit the flexibility of our network measurement method. We apply our approach to investigate the implied volatility …
Persistent link: https://www.econbiz.de/10012997130
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Recursiveness, Causality, and Feedback
Caines, Peter; Sethi, Suresh - 2014
Persistent link: https://www.econbiz.de/10014046906
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Asymptotic Results for Conditional Measures of Association of a Random Sum
Asimit, Alexandru Vali - 2018
claims. Interestingly, the Pearson product-moment correlation coefficient between the first two order statistics provides an …
Persistent link: https://www.econbiz.de/10012937883
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Spectral estimation of covolatility from noisy observations using local weights
Bibinger, Markus; Reiß, Markus - 2011
noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …
Persistent link: https://www.econbiz.de/10009388782
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Bayesian Forecasting with Highly Correlated Predictors
Korobilis, Dimitris - 2012
macroeconomic predictors. I show that acknowledging the correlation structure in the predictors can improve forecasts over existing …
Persistent link: https://www.econbiz.de/10013099177
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Spectral Analysis of Time-Dependent Market-Adjusted Return Correlation Matrix
Bommarito, Michael James - 2018
We present an adjusted method for calculating the eigenvalues of a time-dependent return correlation matrix that … market-adjusted return correlation matrix to that of logarithmic return correlation matrix on an 18-year dataset of 310 S …
Persistent link: https://www.econbiz.de/10012940589