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Characterizing Interdependencies of Multiple Time Series: Theory and Applications
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Dieser Artikel gilt, aufgrund seiner Grösse, beim Versand als 3 Artikel!
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| Presents an approach to characterizing the interdependencies of multivariate time series by means of the basic concept of the one-way effect Shows how the third-series effect is eliminated with least causal distortion, introducing partial measures of the one-way effect, reciprocity, and association Illustrates the proposed causal characterization by means of empirical applications to real data sets of the US macroeconomy and Japan's financial economy |
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