Time-Varying Multivariate Causal Processes

Jiti Gao, Bin Peng, Wei Biao Wu, Yayi Yan
In this paper, we consider a wide class of time-varying multivariate causal processes that nests many classical and new examples as special cases. We first prove the existence of a weakly dependent stationary approximation for our model which is the foundation to initiate the theoretical development. Afterwards, we consider the QMLE estimation approach, and provide both point-wise and simultaneous inferences on the coefficient functions. In addition, we demonstrate the theoretical findings
more » ... gh both simulated and real data examples. In particular, we show the empirical relevance of our study using an application to evaluate the conditional correlations between the stock markets of China and U.S. We find that the interdependence between the two stock markets is increasing over time.
doi:10.26180/21531621.v1 fatcat:knocl4fpl5gafljjt37bqc3cru