3 citations · 3 across the 2 of their papers we have counts for
2 papers
nlin.CD2012
Estimating the predictability of economic and financial time series
Quentin Giai Gianetto, Jean-Marc Le Caillec, Erwan Marrec
The predictability of a time series is determined by the sensitivity to initial conditions of its data generating process. In this paper our goal is to characterize this sensitivit…
stat.AP2012★ 3 cited
Testing instantaneous causality in presence of non constant unconditional variance
Quentin Giai Gianetto, Hamdi Raissi
The problem of testing instantaneous causality between variables with time-varying unconditional variance is investigated. It is shown that the classical tests based on the assumpt…