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Non-parametric Determination of Real-Time Lag Structure between Two Time Series: the Optimal Thermal Causal Path Method. (2004). Sornette, D. ; W. -X. Zhou, ; W.-X. Zhou, .
In: Papers.
RePEc:arx:papers:cond-mat/0408166.

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  1. The linear and nonlinear lead–lag relationship among three SSE 50 Index markets: The index futures, 50ETF spot and options markets. (2019). Li, Long ; Bao, SI ; Jiang, Tao.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:525:y:2019:i:c:p:878-893.

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    In: Papers.
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