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Non-parametric determination of real-time lag structure between two time series: The “optimal thermal causal path” method with applications to economic data
15 references·12 citing·47 second hop
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A Chinese perspective (2016)How does inflation determine …The lead–lag relationship between stock index and stock index futures: A thermal optimal path method (2015)The lead–lag relationship bet…The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields (2011)The US Stock Market Leads the…Corporate Conservatism and Relative Compensation (1995)Discrete hierarchical organization of social group sizes (2005)Negative bubbles and shocks in cryptocurrency markets (2016)Social physics (2022)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Comparing alternative tests of causality in temporal systems (1983)Chapter 45 Estimation and inference for dependent processes (1994)Multiplicative Panel Data Models Without the Strict Exogeneity Assumption (1997)The Relation between Granger Causality and Directed Information Theory: A Review (2012)Central Bank Strategy, Credibility, and Independence: Theory and Evidence (1992)The role of macroeconomic factors in growth (1993)Africa's Growth Tragedy: Policies and Ethnic Divisions (1997)Why Do New Technologies Complement Skills? 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this work references cited by second hop

References

  • 1995Inflation and Economic Growth1,728 cited
  • 1965Money and Economic Growth1,671 cited
  • 2004Why Stock Markets Crash: Critical Events in Complex Financial Systems941 cited
  • 1963Inflation and Real Interest720 cited
  • 1980Advertising and Aggregate Consumption: An Analysis of Causality548 cited
  • 1996Taxation and Economic Growth386 cited
  • 2005The conquest of US inflation: Learning and robustness to model uncertainty258 cited
  • 1984INFERENCE AND CAUSALITY IN ECONOMIC TIME SERIES MODELS236 cited
  • 2001Significance of log-periodic precursors to financial crashes225 cited
  • 1982The General Equivalence of Granger and Sims Causality133 cited
  • 1982Inflation, Output, and Money113 cited
  • 2002On the Causality Between Exchange Rates and Stock Prices: A Note105 cited
  • 2001Output and inflation in the long run103 cited
  • 2002Inflation and output growth uncertainty and their relationship with inflation and output growth102 cited
  • 2004Inflation, output growth, volatility and causality: evidence from panel data and the G7 countries81 cited

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2017
Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates
52 cited
  • 2011The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields52 cited
  • 2015The lead–lag relationship between stock index and stock index futures: A thermal optimal path method49 cited
  • 2017The lead–lag relationship between the spot and futures markets in China49 cited
  • 2018Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 50044 cited
  • 2020Time-varying lead–lag structure between investor sentiment and stock market37 cited
  • 2020Time-dependent lead-lag relationships between the VIX and VIX futures markets29 cited
  • 2018Dynamic lead–lag relationship between stock indices and their derivatives: A comparative study between Chinese mainland, Hong Kong and US stock markets27 cited
  • 2020A dynamic analysis of the relationship between investor sentiment and stock market realized volatility: Evidence from China21 cited
  • 2019The linear and nonlinear lead–lag relationship among three SSE 50 Index markets: The index futures, 50ETF spot and options markets20 cited
  • 2017The interaction of financial news between mass media and new media: Evidence from news on Chinese stock market18 cited
  • 2016How does inflation determine inflation uncertainty? A Chinese perspective8 cited