Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis
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- Papana, A. & Kyrtsou, K. & Kugiumtzis, D. & Diks, C.G.H., 2014. "Identifying causal relationships in case of non-stationary time series," CeNDEF Working Papers 14-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
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More about this item
KeywordsTime series; Frequency domain analysis; Graphical models; Partial directed coherence; Granger causality; Instantaneous causality; Global Markov properties; Information transmission; International financial market; VAR model;
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