Local Lead–Lag Relationships and Nonlinear Granger Causality: An Empirical Analysis

The Granger causality test is essential for detecting lead–lag relationships between time series. Traditionally, one uses a linear version of the test, essentially based on a linear time series regression, itself being based on autocorrelations and cross-correlations of the series. In the present pa...

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Bibliographic Details
Main Authors: Håkon Otneim, Geir Drage Berentsen, Dag Tjøstheim
Format: Article
Language:English
Published: MDPI AG 2022-03-01
Series:Entropy
Subjects:
Online Access:https://www.mdpi.com/1099-4300/24/3/378