A causal interactions indicator between two time series using extreme variations in the first eigenvalue of lagged correlation matrices

Fuente: arXiv

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Bibliographic Details
Main Authors:	Dominguez, Alejandro Rodriguez, Yadav, Om Hari
Format:	Preprint
Published:	2023
Subjects:	Portfolio Management Applications 58C40, 37M10, 60B12 G.3
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2307.04953