Non-parametric determination of real-time lag structure between two time series
- Journal Article
Journal / seriesJournal of Macroeconomics
Pages / Article No.
Subjectcausality time-dependent correlation; distance matrix; lead lag; time series; stock markets; bond yields; inflation; GDP growth; unemployment
Organisational unit03738 - Sornette, Didier
NotesReceived 15 October 2005, Accepted 30 October 2005, Available online 5 January 2006.
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