Identification of causal relationships in non-stationary time series with an information measure : evidence for simulated and financial data
Angeliki Papana, Catherine Kyrtsou, Dimitris Kugiumtzis, Cees Diks
| Year of publication: |
2023
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| Authors: | Papana, Angeliki ; Kyrtsou, Catherine ; Kugiumtzis, Dimitris ; Diks, Cees G. H. |
| Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 64.2023, 3, p. 1399-1420
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| Subject: | Co-integration | Financial time series | Granger causality | Non-stationarity | PTERV | VAR | VECM | Kausalanalyse | Causality analysis | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-022-02275-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014226364