Time-varying multivariate causal processes Article Swipe
Jiti Gao
,
Bin Peng
,
Wei Biao Wu
,
Yayi Yan
·
YOU?
·
· 2024
· Open Access
·
· DOI: https://doi.org/10.1016/j.jeconom.2024.105671
YOU?
·
· 2024
· Open Access
·
· DOI: https://doi.org/10.1016/j.jeconom.2024.105671
In this paper, we consider a wide class of time-varying multivariate causal processes that nests many classical and new examples as special cases. We first show the existence of a weakly dependent stationary approximation to initiate our theoretical investigation. We then consider a quasi-maximum likelihood estimation (QMLE), and provide both point-wise and uniform inferences to coefficient functions of interest. The theoretical findings are further examined through extensive simulations. Finally, we show empirical relevance of our study by evaluating both temporal and contemporaneous connectedness between the stock markets of China and U.S.
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- Type
- article
- Language
- en
- Landing Page
- https://doi.org/10.1016/j.jeconom.2024.105671
- OA Status
- hybrid
- Cited By
- 6
- References
- 60
- Related Works
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https://openalex.org/W4391123216Canonical identifier for this work in OpenAlex
- DOI
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https://doi.org/10.1016/j.jeconom.2024.105671Digital Object Identifier
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Time-varying multivariate causal processesWork title
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articleOpenAlex work type
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enPrimary language
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2024Year of publication
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2024-01-22Full publication date if available
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Jiti Gao, Bin Peng, Wei Biao Wu, Yayi YanList of authors in order
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https://doi.org/10.1016/j.jeconom.2024.105671Publisher landing page
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YesWhether a free full text is available
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hybridOpen access status per OpenAlex
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https://doi.org/10.1016/j.jeconom.2024.105671Direct OA link when available
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Multivariate statistics, Social connectedness, Econometrics, Mathematics, Statistical physics, Statistics, Physics, Psychology, PsychotherapistTop concepts (fields/topics) attached by OpenAlex
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6Total citation count in OpenAlex
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2025: 4, 2024: 1, 2023: 1Per-year citation counts (last 5 years)
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10Other works algorithmically related by OpenAlex
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| referenced_works | https://openalex.org/W3123990411, https://openalex.org/W2153303375, https://openalex.org/W3204519639, https://openalex.org/W3123016320, https://openalex.org/W1974977139, https://openalex.org/W1995081547, https://openalex.org/W3125564657, https://openalex.org/W3123517458, https://openalex.org/W2907970702, https://openalex.org/W3032513824, https://openalex.org/W2955117967, https://openalex.org/W2131736052, https://openalex.org/W2796698562, https://openalex.org/W1951851612, https://openalex.org/W3152913909, https://openalex.org/W1972684380, https://openalex.org/W1990139510, https://openalex.org/W1988382961, https://openalex.org/W2169001471, https://openalex.org/W3122186884, https://openalex.org/W3020982786, https://openalex.org/W3125940130, https://openalex.org/W6635371743, https://openalex.org/W3125503014, https://openalex.org/W2000326360, https://openalex.org/W1981655853, https://openalex.org/W3043815492, https://openalex.org/W2104053023, https://openalex.org/W3143236546, https://openalex.org/W3022151456, https://openalex.org/W4378837457, https://openalex.org/W1966617811, https://openalex.org/W2143053136, https://openalex.org/W6736612528, https://openalex.org/W6803731347, https://openalex.org/W2061113405, https://openalex.org/W3123612879, https://openalex.org/W2118607090, https://openalex.org/W2964170216, https://openalex.org/W2233673592, https://openalex.org/W4234722734, https://openalex.org/W2556036483, https://openalex.org/W2270311753, https://openalex.org/W2051904535, https://openalex.org/W2068019718, https://openalex.org/W2146343663, https://openalex.org/W2145850868, https://openalex.org/W2015975331, https://openalex.org/W2003320809, https://openalex.org/W2117380618, https://openalex.org/W2947626232, https://openalex.org/W3023012265, https://openalex.org/W3098399304, https://openalex.org/W1482196458, https://openalex.org/W3103915895, https://openalex.org/W3213159199, https://openalex.org/W2072013944, https://openalex.org/W2792296590, https://openalex.org/W3103141061, https://openalex.org/W2770058355 |
| referenced_works_count | 60 |
| abstract_inverted_index.a | 5, 29, 42 |
| abstract_inverted_index.In | 0 |
| abstract_inverted_index.We | 23, 39 |
| abstract_inverted_index.as | 20 |
| abstract_inverted_index.by | 76 |
| abstract_inverted_index.of | 8, 28, 57, 73, 87 |
| abstract_inverted_index.to | 34, 54 |
| abstract_inverted_index.we | 3, 69 |
| abstract_inverted_index.The | 59 |
| abstract_inverted_index.and | 17, 47, 51, 80, 89 |
| abstract_inverted_index.are | 62 |
| abstract_inverted_index.new | 18 |
| abstract_inverted_index.our | 36, 74 |
| abstract_inverted_index.the | 26, 84 |
| abstract_inverted_index.U.S. | 90 |
| abstract_inverted_index.both | 49, 78 |
| abstract_inverted_index.many | 15 |
| abstract_inverted_index.show | 25, 70 |
| abstract_inverted_index.that | 13 |
| abstract_inverted_index.then | 40 |
| abstract_inverted_index.this | 1 |
| abstract_inverted_index.wide | 6 |
| abstract_inverted_index.China | 88 |
| abstract_inverted_index.class | 7 |
| abstract_inverted_index.first | 24 |
| abstract_inverted_index.nests | 14 |
| abstract_inverted_index.stock | 85 |
| abstract_inverted_index.study | 75 |
| abstract_inverted_index.cases. | 22 |
| abstract_inverted_index.causal | 11 |
| abstract_inverted_index.paper, | 2 |
| abstract_inverted_index.weakly | 30 |
| abstract_inverted_index.(QMLE), | 46 |
| abstract_inverted_index.between | 83 |
| abstract_inverted_index.further | 63 |
| abstract_inverted_index.markets | 86 |
| abstract_inverted_index.provide | 48 |
| abstract_inverted_index.special | 21 |
| abstract_inverted_index.through | 65 |
| abstract_inverted_index.uniform | 52 |
| abstract_inverted_index.Finally, | 68 |
| abstract_inverted_index.consider | 4, 41 |
| abstract_inverted_index.examined | 64 |
| abstract_inverted_index.examples | 19 |
| abstract_inverted_index.findings | 61 |
| abstract_inverted_index.initiate | 35 |
| abstract_inverted_index.temporal | 79 |
| abstract_inverted_index.classical | 16 |
| abstract_inverted_index.dependent | 31 |
| abstract_inverted_index.empirical | 71 |
| abstract_inverted_index.existence | 27 |
| abstract_inverted_index.extensive | 66 |
| abstract_inverted_index.functions | 56 |
| abstract_inverted_index.interest. | 58 |
| abstract_inverted_index.processes | 12 |
| abstract_inverted_index.relevance | 72 |
| abstract_inverted_index.estimation | 45 |
| abstract_inverted_index.evaluating | 77 |
| abstract_inverted_index.inferences | 53 |
| abstract_inverted_index.likelihood | 44 |
| abstract_inverted_index.point-wise | 50 |
| abstract_inverted_index.stationary | 32 |
| abstract_inverted_index.coefficient | 55 |
| abstract_inverted_index.theoretical | 37, 60 |
| abstract_inverted_index.multivariate | 10 |
| abstract_inverted_index.simulations. | 67 |
| abstract_inverted_index.time-varying | 9 |
| abstract_inverted_index.approximation | 33 |
| abstract_inverted_index.connectedness | 82 |
| abstract_inverted_index.quasi-maximum | 43 |
| abstract_inverted_index.investigation. | 38 |
| abstract_inverted_index.contemporaneous | 81 |
| cited_by_percentile_year.max | 98 |
| cited_by_percentile_year.min | 89 |
| corresponding_author_ids | https://openalex.org/A5032509223 |
| countries_distinct_count | 3 |
| institutions_distinct_count | 4 |
| corresponding_institution_ids | https://openalex.org/I56590836 |
| citation_normalized_percentile.value | 0.95182643 |
| citation_normalized_percentile.is_in_top_1_percent | False |
| citation_normalized_percentile.is_in_top_10_percent | True |