Local lead-lag relationships and nonlinear granger causality: an empirical analysis

HIGHLIGHTS

• who: Håkon Otneim and colleagues from the Department of Business and Management Science, Norwegian School of Economics, Bergen, Norway have published the research: Local Lead-Lag Relationships and Nonlinear Granger Causality: An Empirical Analysis, in the Journal: Entropy 2022, 24, 378 16 of 18 of /2022/
• what: The authors will use the standard normal marginal scale in this paper, and the bandwidth b used below is determined on the z-scale. The authors investigate lead-lag relationships among monthly country stock returns.
• how: In Section 4 which is the main part of . . .
  

   

  

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