Causality analysis of futures sugar prices in Zhengzhou based on graphical models for multivariate time series

DOI10.1007/S10255-016-0543-3zbMATH Open1336.62032OpenAlexW2338446907MaRDI QIDQ272810FDOQ272810

Authors: Xingwei Tong, Jing Xu 

Publication date: 21 April 2016

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-016-0543-3

Recommendations

• Learning of multivariate time series Granger causality based on graphical model methods
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zbMATH Keywords

causalitymixed graphlinear feedbackpartial correlation graphpartial spectral coherence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Graphical methods in statistics (62A09)

Cites Work

• Causation, prediction, and search
• Least angle regression. (With discussion)
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• Graphical interaction models for multivariate time series.
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• Title not available (Why is that?)
• Title not available (Why is that?)
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Granger causality and path diagrams for multivariate time series
• Measures of Conditional Linear Dependence and Feedback Between Time Series
• Measurement of Linear Dependence and Feedback Between Multiple Time Series
• Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
• On Granger causality and the effect of interventions in time series

Cited In (2)

• Causal structure among US corn futures and regional cash prices in the time and frequency domain
• Learning dynamic causal relationships among sugar prices

Uses Software

• TETRAD

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