Non-parametric determination of real-time lag structure between two time series: The "optimal thermal causal path" method with applications to economic data

Journal of Macroeconomics

Volumn 28, Issue 1, 2006, Pages 195-224

  Zhou, Wei Xing ^a,b   Sornette, Didier ^b,c  

^a EAST CHINA UNIVERSITY OF SCIENCE AND TECHNOLOGY   (China)

^b UNIVERSITÉ CÔTE D'AZUR   (France)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Bond yields; Causality; Distance matrix; GDP growth; Inflation; Lead lag; Stock markets; Time series; Time dependent correlation; Unemployment

Indexed keywords

EID: 32144431930     PISSN: 01640704     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmacro.2005.10.015     Document Type: Article

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