Symmetric thermal optimal path and time-dependent lead-lag relationship: novel statistical tests and application to UK and US real-estate and monetary policies-Reference-Cited by-同舟云学术

Symmetric thermal optimal path and time-dependent lead-lag relationship: novel statistical tests and application to UK and US real-estate and monetary policies

Published:2016-11-04 Issue:6 Volume:17 Page:959-977
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Meng Hao¹²,Xu Hai-Chuan¹²,Zhou Wei-Xing¹²,Sornette Didier³⁴

Affiliation:

1. School of Business and Research Center for Econophysics, East China University of Science and Technology, Shanghai, 200237China.

2. Department of Mathematics, School of Science, East China University of Science and Technology, Shanghai, 200237China.

3. Department of Management, Technology and Economics, ETH Zurich, Scheuchzerstrasse 7, CH-8092, Zurich, Switzerland.

4. Swiss Finance Institute, c/o University of Geneva, 40 blvd. Du Pont dArve, CH 1211, Geneva, 4Switzerland.

Funder

National Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2016.1241424

Reference33 articles.

1. Macroeconomic determinants of international housing markets

2. Advertising and Aggregate Consumption: An Analysis of Causality

3. DO HOUSE PRICES DRIVE CONSUMPTION GROWTH? THE COINCIDENT CYCLES OF HOUSE PRICES AND CONSUMPTION IN THE UK

4. The Financial Accelerator and the Flight to Quality

5. Monetary Policy and Asset Prices: Does 'Benign Neglect' Make Sense?

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