Cross-Correlation Matrices for Tests of Independence and Causality Between Two Multivariate Time Series
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Publication:6667043
DOI10.1080/07350015.2014.962699MaRDI QIDQ6667043
Michael Robbins, Thomas J. Fisher
Publication date: 20 January 2025
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Economic time series analysis (91B84)
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