Title: Characterizing Interdependencies of Multiple Time Series: Theory and Applications
Publisher: Springer Verlag
Publication Date: 2017
Language: English
ISBN 10: 9811064350
ISBN 13: 9789811064357
Binding: Paperback
Condition: Brand New
Weight: 2.3 kilograms

About this title

Synopsis

Presents an approach to characterizing the interdependencies of multivariate time series by means of the basic concept of the one-way effect

Shows how the third-series effect is eliminated with least causal distortion, introducing partial measures of the one-way effect, reciprocity, and association

Illustrates the proposed causal characterization by means of empirical applications to real data sets of the US macroeconomy and Japan’s financial economy

About the Author

Yuzo Hosoya, Professor Emeritus, Tohoku University

Kosuke Oya, Osaka University

Taro Takimoto, Kyushu University

Ryo Kinoshita, Tokyo Keizai University

"About this title" may belong to another edition of this title.

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