Characterizing Interdependencies of Multiple Time Series: Theory and Applications

By Yuzo Hosoya, Taro Takimoto, Kosuke Oya

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

• Format: Paperback
• Language: English
• ISBN: 9811064350
• ISBN13: 9789811064357
• Release Date: November 2017
• Publisher: Springer
• Length: 133 Pages
• Weight: 0.47 lbs.
• Dimensions: 0.3" x 6.1" x 9.2"