Local Lead–Lag Relationships and Nonlinear Granger Causality: An Empirical Analysis
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DOI: 10.3390/e24030378
Abstract: 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… read more here.
Keywords: granger causality; causality; lead lag; lag relationships ... See more keywords