Symmetric thermal optimal path and time-dependent lead-lag relationship: novel statistical tests and application to UK and US real-estate and monetary policies

DOI10.1080/14697688.2016.1241424zbMath1406.62124arXiv1408.5618OpenAlexW3101753548WikidataQ60844277 ScholiaQ60844277MaRDI QIDQ4555120

Haichuan Xu, Hao Meng, Wei-Xing Zhou, Didier Sornette

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.5618

zbMATH Keywords

monetary policystatistical testhousing marketstochastic time seriessymmetric thermal optimal pathlead-lag structure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

How does economic policy uncertainty comove with stock markets: new evidence from symmetric thermal optimal path method ⋮ On the determinants of data breaches: a cointegration analysis ⋮ Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500

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