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...
| المؤلفون الرئيسيون: | , , |
|---|---|
| التنسيق: | Conference item |
| اللغة: | English |
| منشور في: |
2022
|