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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Author / Producer
Date
2006-03
Publication Type
Journal Article
ETH Bibliography
yes
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Publication status
published
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Book title
Journal / series
Volume
28 (1)
Pages / Article No.
195 - 224
Publisher
Elsevier
Event
Edition / version
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Software
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Date collected
Date created
Subject
causality time-dependent correlation; distance matrix; lead lag; time series; stock markets; bond yields; inflation; GDP growth; unemployment
Organisational unit
03738 - Sornette, Didier (emeritus) / Sornette, Didier (emeritus)
Notes
Received 15 October 2005, Accepted 30 October 2005, Available online 5 January 2006.