Symmetric thermal optimal path and time-dependent lead-lag relationship: novel statistical tests and application to UK and US real-estate and monetary policies
Work
Year: 2016
Type: article
Abstract: We present the symmetric thermal optimal path (TOPS) method to determine the time-dependent lead-lag relationship between two stochastic time series. This novel version of the previously introduced TO... more
Source: Quantitative Finance
Institutions East China University of Science and Technology, ETH Zurich, Swiss Finance Institute, University of Geneva
Cites: 40
Cited by: 35
Related to: 10
FWCI: 6.228
Citation percentile (by year/subfield): 97.57
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
Grant ID 71131007,71501072,71532009