Detecting causality in non-stationary time series using partial symbolic transfer entropy : evidence in financial data
Angeliki Papana, Catherine Kyrtsou, Dimitris Kugiumtzis, Cees Diks
| Year of publication: |
March 2016
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|---|---|
| Authors: | Papana, Angeliki ; Kyrtsou, Catherine ; Kugiumtzis, Dimitris ; Diks, Cees G. H. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 47.2016, 3, p. 341-365
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| Subject: | Causality | Non-stationarity | Rank vectors | Multivariate time series | Financial variables | Zeitreihenanalyse | Time series analysis | Kausalanalyse | Causality analysis | Theorie | Theory | Entropie | Entropy |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-015-9491-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011712376