Multifractal temporally weighted detrended partial cross-correlation analysis to quantify intrinsic power-law cross-correlation of two non-stationary time series affected by common external factors
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- Lavancier, Frédéric & Philippe, Anne & Surgailis, Donatas, 2009. "Covariance function of vector self-similar processes," Statistics & Probability Letters, Elsevier, vol. 79(23), pages 2415-2421, December.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2020-06-29 (Econometrics)
- NEP-ETS-2020-06-29 (Econometric Time Series)
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