4.4 Article

Detecting Causality in Non-stationary Time Series Using Partial Symbolic Transfer Entropy: Evidence in Financial Data

Related references

Note: Only part of the references are listed.
Article Physics, Multidisciplinary

Simulation Study of Direct Causality Measures in Multivariate Time Series

Angeliki Papana et al.

ENTROPY (2013)

Article Physics, Multidisciplinary

Partial transfer entropy on rank vectors

D. Kugiumtzis

EUROPEAN PHYSICAL JOURNAL-SPECIAL TOPICS (2013)

Review Computer Science, Interdisciplinary Applications

Information and phase transitions in socio-economic systems

Terry Bossomaier et al.

COMPLEX ADAPTIVE SYSTEMS MODELING (2013)

Article Engineering, Biomedical

Quantifying Cognitive State From EEG Using Dependence Measures

Bilal Fadlallah et al.

IEEE TRANSACTIONS ON BIOMEDICAL ENGINEERING (2012)

Article Biochemical Research Methods

Behaviour of Granger causality under filtering: Theoretical invariance and practical application

Lionel Barnett et al.

JOURNAL OF NEUROSCIENCE METHODS (2011)

Article Physics, Fluids & Plasmas

Inferring directional interactions from transient signals with symbolic transfer entropy

Marcel Martini et al.

PHYSICAL REVIEW E (2011)

Article Economics

COINTEGRATING REGRESSIONS WITH TIME HETEROGENEITY

Chang Sik Kim et al.

ECONOMETRIC REVIEWS (2010)

Article Physics, Multidisciplinary

Information flow during the quantum-classical transition

A. M. Kowalski et al.

PHYSICS LETTERS A (2010)

Article Business, Finance

How Does Liquidity Affect Government Bond Yields?

Carlo Favero et al.

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2010)

Article Physics, Fluids & Plasmas

Reliable detection of directional couplings using rank statistics

Daniel Chicharro et al.

PHYSICAL REVIEW E (2009)

Article Economics

NEW EVIDENCE ON THE INTEREST RATE EFFECTS OF BUDGET DEFICITS AND DEBT

Thomas Laubach

JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION (2009)

Article Economics

Modelling non-linear comovements between time series

Catherine Kyrtsou et al.

JOURNAL OF MACROECONOMICS (2009)

Article Economics

Adaptive estimation of autoregressive models with time-varying variances

Ke-Li Xu et al.

JOURNAL OF ECONOMETRICS (2008)

Article Physics, Fluids & Plasmas

Inferring the directionality of coupling with conditional mutual information

Martin Vejmelka et al.

PHYSICAL REVIEW E (2008)

Article Physics, Multidisciplinary

Symbolic transfer entropy

Matthaeus Staniek et al.

PHYSICAL REVIEW LETTERS (2008)

Article Physics, Fluids & Plasmas

Estimation of the direction of the coupling by conditional probabilities of recurrence

M. Carmen Romano et al.

PHYSICAL REVIEW E (2007)

Article Computer Science, Cybernetics

Linear and nonlinear causality between signals:: methods, examples and neurophysiological applications

Boris Gourevitch et al.

BIOLOGICAL CYBERNETICS (2006)

Article Economics

A new statistic and practical guidelines for nonparametric Granger causality testing

Cees Diks et al.

JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2006)

Article Biochemical Research Methods

Frequency decomposition of conditional Granger causality and application to multivariate neural field potential data

YH Chen et al.

JOURNAL OF NEUROSCIENCE METHODS (2006)

Article Economics

A model-free characterization of causality

M Baghli

ECONOMICS LETTERS (2006)

Article Physics, Multidisciplinary

Analyzing multiple nonlinear time series with extended Granger causality

YH Chen et al.

PHYSICS LETTERS A (2004)

Article Physics, Fluids & Plasmas

Estimating mutual information -: art. no. 066138

A Kraskov et al.

PHYSICAL REVIEW E (2004)

Article Economics

Pitfalls in using Granger causality tests to find an engine of growth

HY Lee et al.

APPLIED ECONOMICS LETTERS (2002)

Article Engineering, Environmental

A distribution free plotting position

GH Yu et al.

STOCHASTIC ENVIRONMENTAL RESEARCH AND RISK ASSESSMENT (2001)

Article Computer Science, Cybernetics

Partial directed coherence:: a new concept in neural structure determination

LA Baccalá et al.

BIOLOGICAL CYBERNETICS (2001)

Article Physics, Multidisciplinary

Measuring information transfer

T Schreiber

PHYSICAL REVIEW LETTERS (2000)