The decomposition and measurement of the interdependency between second- order stationary processes
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Cites work
- scientific article; zbMATH DE number 4147294 (Why is no real title available?)
- scientific article; zbMATH DE number 3244325 (Why is no real title available?)
- scientific article; zbMATH DE number 3283198 (Why is no real title available?)
- A central limit theorem for stationary processes and the parameter estimation of linear processes
- Calculation of the amount of information about a random function contained in another such function
- Economic processes involving feedback
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Measurement of Linear Dependence and Feedback Between Multiple Time Series
- On the Granger Condition for Non-Causality
- On the use of a linear model for the identification of feedback systems
- R 2 Measures for Time Series
Cited in
(15)- Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain
- Some theoretical and simulation results on the frequency domain causality test
- Testing for short- and long-run causality: a frequency-domain approach
- Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the euro area
- A numerical method for factorizing the rational spectral density matrix
- SPECTRAL FINANCIAL ECONOMETRICS
- On the causality between multiple locally stationary processes
- A consistent nonparametric test for nonlinear causality -- specification in time series regression
- The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
- Multivariate linear and nonlinear causality tests
- Characterizing interdependencies of multiple time series. Theory and applications
- Inference on one-way effect and evidence in Japanese macroeconomic data
- Information theoretic interpretation of frequency domain connectivity measures
- Geometric and long run aspects of Granger causality
- A bootstrap causality test for covariance stationary processes
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