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Time-varying multivariate causal processes
Work
Year: 2024
Type: article
Abstract: In this paper, we consider a wide class of time-varying multivariate causal processes that nests many classical and new examples as special cases. We first show the existence of a weakly dependent sta... more
Source: Journal of Econometrics
Authors Jiti Gao, Bin Peng, Wei Biao Wu, Yayi Yan
Institutions Monash University, University of Chicago, Shanghai University of Finance and Economics
Cites: 54
Cited by: 2
Related to: 10
FWCI: 1.66
Citation percentile (by year/subfield): 84.48
Topic: Market Dynamics and Volatility
Subfield: Economics and Econometrics
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: hybrid
APC paid (est): $3,700
Funders National Natural Science Foundation of China, National University's Basic Research Foundation of China, Australian Research Council, Australian Research Council, Fundamental Research Funds for the Central Universities +1 more
Grant IDS 72303142, , DP200102769, DP210100476, 2022110877 +1 more