Consistent causal inference for high-dimensional time series
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Cites work
- A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
- A linear non-Gaussian acyclic model for causal discovery
- Copulas and Markov processes
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- Identification and estimation of non-Gaussian structural vector autoregressions
- Identification, estimation and testing of conditionally heteroskedastic factor models
- Impulse response analysis in nonlinear multivariate models
- Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
- Local projections and VARs estimate the same impulse responses
- MODEL SELECTION AND INFERENCE: FACTS AND FICTION
- Modelling high-frequency limit order book dynamics with support vector machines
- Optimal Execution: A Review
- PC algorithm for nonparanormal graphical models
- Statistical inference for independent component analysis: application to structural VAR models
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