Detection and clustering of lead-lag networks for multivariate time series with an application to financial markets
In this paper, we propose a method for the detection of lead-lag clusters in multivariate time series, using a pairwise lead-lag metric and a directed network clustering algorithm. We demonstrate that the latent network of pairwise lead-lag relationships between time series can be helpfully construe...
| Hoofdauteurs: | , , |
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| Formaat: | Conference item |
| Taal: | English |
| Gepubliceerd in: |
2022
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