Granger causality of bivariate stationary curve time series

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Shang H. L. , Ji K., Beyaztas U.

JOURNAL OF FORECASTING, 2020 (SSCI İndekslerine Giren Dergi) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası:
  • Basım Tarihi: 2020
  • Doi Numarası: 10.1002/for.2732


We study causality between bivariate curve time series using the Granger causality generalized measures of correlation. With this measure, we can investigate which curve time series Granger-causes the other; in turn, it helps determine the predictability of any two curve time series. Illustrated by a climatology example, we find that the sea surface temperature Granger-causes sea-level atmospheric pressure. Motivated by a portfolio management application in finance, we single out those stocks that lead or lag behind Dow Jones industrial averages. Given a close relationship between S&P 500 index and crude oil price, we determine the leading and lagging variables.