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...
| Päätekijät: | , , |
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| Aineistotyyppi: | Journal article |
| Kieli: | English |
| Julkaistu: |
Springer
2022
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