SSRNEconometrics & Forecasting
Causal Interactions’ Indicator Between Two Time-Series Through Extreme Variations of the Explanatory Power of the First Eigenvalue Using Lagged Correlation Matrices
The paper presents a method for identifying causal interactions between variables, which has been validated in predicting stock return and volatility in financial markets.
Featured in No. 51 on 28 May 2024 · 22 days after release · 0 citations today
- Released
- 6 May 2024
- First featured
- No. 51 · 28 May 2024
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4841224
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