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Causality analysis of futures sugar prices in Zhengzhou based on graphical models for multivariate time series
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Causality analysis of futures sugar prices in Zhengzhou based on graphical models for multivariate time series
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Journal Article
Causality analysis of futures sugar prices in Zhengzhou based on graphical models for multivariate time series
2016
Overview
This paper presents a method of constructing a mixed graph which can be used to analyze the causality for multivariate time series. We construct a partial correlation graph at first which is an undirected graph. For every undirected edge in the partial correlation graph, the measures of linear feedback between two time series can help us decide its direction, then we obtain the mixed graph. Using this method, we construct a mixed graph for futures sugar prices in Zhengzhou (ZF), spot sugar prices in Zhengzhou (ZS) and futures sugar prices in New York (NF). The result shows that there is a bi-directional causality between ZF and ZS, an unidirectional causality from NF to ZF, but no causality between NF and ZS.
Publisher
Springer Nature B.V
Subject
