Testing for Granger Causality with Mixed Frequency Data

By Eric Ghysels, Jonathan B. Hill, Kaiji Motegi. 2016

122 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Dacheng Tao
2. Bernhard Schölkopf
3. Mingming Gong
4. Clark Glymour
5. Kun Zhang

In Finance

1. Bernhard Schölkopf
2. Clark Glymour
3. Kun Zhang

In Statistics and Probability

1. Kun Zhang
2. Mingming Gong
3. Dacheng Tao
4. Bernhard Schölkopf
5. Clark Glymour
6. Arthur Gretton
7. Dominik Janzing
8. Kenji Fukumizu

Citations in the corpus

• Causal Discovery from Temporally Aggregated Time Series (2017, background): “Causal interactions between the processes, however, may take place at the weekly or fortnightly scales (Ghysels et al., 2016).”