JSTOR Daily

Canonical Correlation in Multivariate Time Series Analysis with an Application to One-Year-Ahead and Multiyear-Ahead Macroeconomic Forecasting

A simple one-period-ahead and multiperiod-ahead prediction procedure for multivariate time series is suggested, based on the canonical correlation technique. The prediction procedure is direct in the ...
JSTOR Daily

Robust Optimal Tests for Causality in Multivariate Time Series

This is a preview. Log in through your library . Abstract Here, we derive optimal rank-based tests for noncausality in the sense of Granger between two multivariate time series. Assuming that the ...
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Advanced Time Series Analysis

This course is available on the MSc in Data Science, MSc in Econometrics and Mathematical Economics, MSc in Financial Mathematics, MSc in Health Data Science, MSc in Marketing, MSc in Mathematics and ...
Investopedia

What Is a Time Series and How Is It Used to Analyze Data?

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...