most citedMeasures of Causality in Complex Datasets with application to financial data

31 citations · 31 across the 1 of their papers we have counts for

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q-fin.CP2014★ 31 cited

Measures of Causality in Complex Datasets with application to financial data

Anna Zaremba, Tomaso Aste

This article investigates the causality structure of financial time series. We concentrate on three main approaches to measuring causality: linear Granger causality, kernel general…