Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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Publication:5283191
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- Variance (Non) Causality in Multivariate GARCH
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- Is a subspace containing a splitting subspace a splitting subspace?
- VARMAX-modelling of blast furnace process variables
- State realization with exogenous variables -- a test on blast furnace data
- A Lagrange multiplier test for causality in variance
- Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market
- Mathematical modeling for evolution of heterogeneous modules in the brain
- On predictive causality in longitudinal studies
- Using causal discovery for feature selection in multivariate numerical time series
- Space-time nature of causality
- The in-principle inconclusiveness of causal evidence in macroeconomics
- The analysis of seasonal economic models
- Bayesian modeling and forecasting of vector autoregressive moving average processes
- Semiparametric Analysis of Case Series Data
- On the specification of Granger-causality tests using the cointegration methodology
- Empirical likelihood test for causality of bivariate AR(1) processes
- Identification of stock market forces in the system adaptation framework
- The role of Japanese candlestick in DVAR model
- Some unresolved issues in the application of control theory to economic policy-making
- A survey of exogeneity in vector error correction models
- Dynamic linkages between stock prices, accrual earnings and cash flows: A cointegration analysis
- On the relationship between impulse response analysis, innovation accounting and Granger causality
- Bayesian network models for incomplete and dynamic data
- Causal inference for structural equations: with an application to wage-price spiral
- On unstable and unoptimal prediction
- Causation entropy identifies indirect influences, dominance of neighbors and anticipatory couplings
- Modeling the price side of econometric models. An analysis of the underlying hypotheses
- The impact of information timeliness on the predictability of stock and futures returns: An application of vector models
- UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS
- Causality and separability
- Inconsistency of bootstrap for nonstationary, vector autoregressive processes
- Multivariate contemporaneous ARMA model with hydrological applications
- On exchangeable, causal and cascading failures
- Sharp filters for short sequences
- Bayesian learning of graphical vector autoregressions with unequal lag-lengths
- Evidence for nonlinear asymmetric causality in US inflation, metal, and stock returns
- On the relationship between aggregate merger activity and the stock market: some further empirical evidence
- A model-free characterization of causality
- AUTOMATIC INFERENCE OF THE CONTEMPORANEOUS CAUSAL ORDER OF A SYSTEM OF EQUATIONS
- Further analysis of spurious causality
- Semiparametric estimation of latent variable asset pricing models
- Testing for correlation between two time series using a parametric bootstrap
- Statistical causality and separable processes
- Cart before the horse? The saving--growth nexus in Mexico
- The relative performance of bivariate causality tests in small samples
- Testing cointegrating coefficients in vector autoregressive error correction models
- Dynamic time series smoothing for symbolic interval data applied to neuroscience
- Feedback, causality and distance between ARMA models.
- Tracing `driver' versus `modulator' information flow throughout large-scale, task-related neural circuitry
- Comments on Is partial coherence a viable technique for identifying generators of neural oscillations?
- Measuring connectivity in linear multivariate processes: definitions, interpretation, and practical analysis
- Inflation and bitcoin: a descriptive time-series analysis
- A test for volatility spillover with application to exchange rates
- Trimmed Granger causality between two groups of time series
- Taming animal spirits: risk management with behavioural factors
- Did speculative activities contribute to high crude oil prices during 1993 to 2008?
- Information theory in neuroscience
- On multivariable matrix spectral factorization method
- Tests for noncorrelation of two multivariate ARMA time series
- Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
- Dynamic networks with multi-scale temporal structure
- Inference and testing on the boundary in extended constant conditional correlation GARCH models
- Detecting changes in coupling with Granger causality method from time series with fast transient processes
- A new approach to model financial markets
- Copula directional dependence of discrete time series marginals
- Causality and Markovian representations
- An introductory review of information theory in the context of computational neuroscience
- Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading
- A causality-in-variance test and its application to financial market prices
- Causal information approach to partial conditioning in multivariate data sets
- Statistical causality, extremal measures and weak solutions of stochastic differential equations with driving semimartingales
- Forecasting in dynamic models with stochastic regressors
- A note on the correctness of the causal ordering algorithm
- Modeling the functional network of primary intercellular Ca\(^{2+}\) wave propagation in astrocytes and its application to study drug effects
- Persistence-robust surplus-lag Granger causality testing
- Mathematical issues in the inference of causal interactions among multichannel neural signals
- The relationship between budgetary expenditure and economic growth in Poland
- METHODS FOR QUANTIFYING THE CAUSAL STRUCTURE OF BIVARIATE TIME SERIES
- Nonparametric conditional local independence testing
- A novel method for the identification of synchronization effects in multichannel ECoG with an application to epilepsy
- Measuring frequency domain Granger causality for multiple blocks of interacting time series
- Predicting daily exchange rate with singular spectrum analysis
- A stimulus-dependent connectivity analysis of neuronal networks
- A consistent nonparametric test for nonlinear causality -- specification in time series regression
- Pricing default events: surprise, exogeneity and contagion
- Statistical analysis of single-trial Granger causality spectra
- Invariance of statistical causality under convergence
- Smoothing methods for histogram‐valued time series: an application to value‐at‐risk
- Chaotic time series analysis
- An empirical method for assessing the research relevance gap
- Distinguishing Causal Interactions in Neural Populations
- Nonparametric identification of Kronecker networks
- Extended causal modeling to assess partial directed coherence in multiple time series with significant instantaneous interactions
- Information theoretic interpretation of frequency domain connectivity measures
- Conditional Granger causality and partitioned Granger causality: differences and similarities
- The impact of latent confounders in directed network analysis in neuroscience
- On the evaluation of information flow in multivariate systems by the directed transfer function
- Block coherence: a method for measuring the interdependence between two blocks of neurobiological time series
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