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
  • Dergi Adı: JOURNAL OF FORECASTING

Özet

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.