Lead–lag detection and network clustering for multivariate time series with an application to the US equity market

Lead–lag detection and network clustering for multivariate time series with an application to the US equity market

<p>In multivariate time series systems, it has been observed that certain groups of variables partially lead the evolution of the system, while other variables follow this evolution with a time delay; the result is a lead–lag structure amongst the time series variables. In this paper, we propo...

書誌詳細
主要な著者:	Bennett, S, Cucuringu, M, Reinert, G
フォーマット:	Journal article
言語:	English
出版事項:	Springer 2022

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