How to Identify Varying Lead−Lag Effects in Time Series Data: Implementation, Validation, and Application of the Generalized Causality Algorithm - Stübinger, Johannes; Adler, Katharina (Friedrich-Alexander-Universität Erlangen-Nürnberg, 2020)
Keywords: lead–lag effect; structural break; generalized causality algorithm; optimal causal path; simulation study; quantitative economics; finance