Finance & Financial Econometrics: 
Time: 11.30 am
Date: 13th of April 2023
Room 3001

Yuichi GOTO (Kyushu Univ.) “The Existence and Uniqueness of Lagged Spectrum”

Abstract : TCoherence is a similarity measure between two time series and takes the form of the time series extension of Pearson’s correlation. However, only a linear relationship between two time series can be measured by coherence. In this talk, we introduce a lagged spectrum in order to measure non-linear relationships and show the existence and uniqueness of a lagged spectrum by decomposing the regression model we consider into orthogonal processes. We also propose a test for the existence of the lagged process and apply our test to economic data.
Joint work : Xuze Zhang (Univ. of Maryland), Benjamin Kedem (Univ. of Maryland) and Shuo Chen (Univ. of Maryland)

Organizers:
Jean-Michel ZAKOIAN (CREST)

Sponsors:
CREST