{"id":"https://openalex.org/W2056549779","doi":"https://doi.org/10.1080/03610910903350516","title":"On the Detection of Contemporaneous Relationships Among Multiple Time Series","display_name":"On the Detection of Contemporaneous Relationships Among Multiple Time Series","publication_year":2009,"publication_date":"2009-11-13","ids":{"openalex":"https://openalex.org/W2056549779","doi":"https://doi.org/10.1080/03610910903350516","mag":"2056549779"},"language":"en","primary_location":{"id":"doi:10.1080/03610910903350516","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610910903350516","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5086824133","display_name":"Johannes Ledolter","orcid":"https://orcid.org/0000-0002-0492-8434"},"institutions":[{"id":"https://openalex.org/I102248843","display_name":"Vienna University of Economics and Business","ror":"https://ror.org/03yn8s215","country_code":"AT","type":"education","lineage":["https://openalex.org/I102248843"]},{"id":"https://openalex.org/I126307644","display_name":"University of Iowa","ror":"https://ror.org/036jqmy94","country_code":"US","type":"education","lineage":["https://openalex.org/I126307644"]}],"countries":["AT","US"],"is_corresponding":true,"raw_author_name":"Johannes Ledolter","raw_affiliation_strings":["Department of Management Sciences , University of Iowa , Iowa City, Iowa, USA ; Department of Statistics and Mathematics , Vienna University of Economics and Business , Vienna, Austria","Department of Management Sciences , University of Iowa , Iowa City, Iowa, USA","Department of Statistics and Mathematics , Vienna University of Economics and Business , Vienna, Austria"],"affiliations":[{"raw_affiliation_string":"Department of Management Sciences , University of Iowa , Iowa City, Iowa, USA ; Department of Statistics and Mathematics , Vienna University of Economics and Business , Vienna, Austria","institution_ids":["https://openalex.org/I126307644","https://openalex.org/I102248843"]},{"raw_affiliation_string":"Department of Management Sciences , University of Iowa , Iowa City, Iowa, USA","institution_ids":["https://openalex.org/I126307644"]},{"raw_affiliation_string":"Department of Statistics and Mathematics , Vienna University of Economics and Business , Vienna, Austria","institution_ids":["https://openalex.org/I102248843"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5086824133"],"corresponding_institution_ids":["https://openalex.org/I102248843","https://openalex.org/I126307644"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.19003713,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":95},"biblio":{"volume":"39","issue":"1","first_page":"137","last_page":"156"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9973000288009644,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9973000288009644,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9965999722480774,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9904999732971191,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/predictability","display_name":"Predictability","score":0.8192012310028076},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.6722058057785034},{"id":"https://openalex.org/keywords/time-series","display_name":"Time series","score":0.5583691000938416},{"id":"https://openalex.org/keywords/notice","display_name":"Notice","score":0.5498901009559631},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5286241769790649},{"id":"https://openalex.org/keywords/canonical-correlation","display_name":"Canonical correlation","score":0.5175037384033203},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4771532416343689},{"id":"https://openalex.org/keywords/seasonal-adjustment","display_name":"Seasonal adjustment","score":0.44023963809013367},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.42295610904693604},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3939780294895172}],"concepts":[{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.8192012310028076},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.6722058057785034},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.5583691000938416},{"id":"https://openalex.org/C2779913896","wikidata":"https://www.wikidata.org/wiki/Q7063001","display_name":"Notice","level":2,"score":0.5498901009559631},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5286241769790649},{"id":"https://openalex.org/C153874254","wikidata":"https://www.wikidata.org/wiki/Q115542","display_name":"Canonical correlation","level":2,"score":0.5175037384033203},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4771532416343689},{"id":"https://openalex.org/C169446498","wikidata":"https://www.wikidata.org/wiki/Q622893","display_name":"Seasonal adjustment","level":3,"score":0.44023963809013367},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.42295610904693604},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3939780294895172},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C182365436","wikidata":"https://www.wikidata.org/wiki/Q50701","display_name":"Variable (mathematics)","level":2,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/03610910903350516","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610910903350516","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},{"id":"pmh:oai:research.wu.ac.at:publications/289eef15-f508-4d52-80e0-ab777aed88c1","is_oa":false,"landing_page_url":"https://research.wu.ac.at/de/publications/289eef15-f508-4d52-80e0-ab777aed88c1","pdf_url":null,"source":{"id":"https://openalex.org/S7407055123","display_name":"WU Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Ledolter, J 2010, 'On the Detection of Contemporaneous Relationships among Multiple Time Series', Communications in Statistics. Simulation and Computation, vol. 39, pp. 137 - 156.","raw_type":"info:eu-repo/semantics/publishedVersion"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.7799999713897705,"display_name":"No poverty","id":"https://metadata.un.org/sdg/1"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":16,"referenced_works":["https://openalex.org/W589878955","https://openalex.org/W1965882534","https://openalex.org/W1979751344","https://openalex.org/W2008556756","https://openalex.org/W2014569459","https://openalex.org/W2070173743","https://openalex.org/W2144080759","https://openalex.org/W2367127462","https://openalex.org/W2549568718","https://openalex.org/W2947626232","https://openalex.org/W3015870966","https://openalex.org/W3121496089","https://openalex.org/W3146166473","https://openalex.org/W4206469534","https://openalex.org/W4241115065","https://openalex.org/W4299366320"],"related_works":["https://openalex.org/W2726467123","https://openalex.org/W2064726690","https://openalex.org/W4252678288","https://openalex.org/W4254065731","https://openalex.org/W1607297154","https://openalex.org/W4210820789","https://openalex.org/W2913177154","https://openalex.org/W4237782192","https://openalex.org/W4235131201","https://openalex.org/W1535527311"],"abstract_inverted_index":{"The":[0],"Box":[1,5,89,93,276],"and":[2,53,90,131,163,205,219,269,277],"Tiao":[3,11,91,99,278],"(1977":[4,92],",":[6,10,12,39,94,98,100,127],"G.":[7,13,95,101],"E.":[8,96],"P.":[9,97],"C.":[14,102],"(":[15,28,103,116],"1977":[16,104],").":[17,105],"A":[18,106],"canonical":[19,42,107,178,202,236],"analysis":[20,108,179,203,237],"of":[21,36,49,75,109,124,146,149,169,189,200,216,227,253],"multiple":[22,50,110],"time":[23,43,51,111],"series":[24,44,52,112,160],".":[25,113],"Biometrika":[26,114],"64":[27,115],"2":[29,117],"):":[30,118],"355":[31,119],"\u2013":[32,120],"365":[33,121],".[Crossref],":[34,122],"[Web":[35,123],"Science":[37,125],"\u00ae]":[38,126],"[Google":[40,128],"Scholar])":[41,129],"approach":[45,130,204,241],"considers":[46],"linear":[47,151,172],"combinations":[48],"ranks":[54],"them":[55],"according":[56],"to":[57,181,233],"their":[58,177,222,280],"predictability.":[59],"When":[60],"dealing":[61],"with":[62,238],"individually":[63],"non":[64],"stationary":[65,81],"sequences,":[66],"it":[67],"is":[68,161],"the":[69,88,147,155,166,187,197,201,214,225,235,244,254,262,270],"least":[70],"predictable":[71],"components":[72],"that":[73,136,154,170,242],"are":[74,258],"interest":[76],"as":[77],"they":[78],"suggest":[79],"cointegrated":[80,217,245],"relationships.":[82],"In":[83,192],"this":[84,193,210],"article,":[85,194],"we":[86,195,231],"review":[87],"point":[132],"out":[133],"a":[134,150,175,183,239,250],"feature":[135],"escaped":[137],"notice":[138],"for":[139,186,260],"more":[140],"than":[141],"30":[142],"years.":[143],"Their":[144],"measure":[145],"predictability":[148],"combination":[152],"assumes":[153],"history":[156],"on":[157,249],"all":[158],"individual":[159],"available,":[162],"not":[164],"just":[165],"past":[167],"realizations":[168],"particular":[171],"combination.":[173],"As":[174],"consequence,":[176],"leads":[180],"only":[182],"lower":[184],"bound":[185],"number":[188,215],"unpredictable":[190],"components.":[191],"investigate":[196],"sampling":[198],"properties":[199],"study":[206],"through":[207],"simulations":[208],"whether":[209],"method":[211],"can":[212,220],"detect":[213],"relationships":[218,246],"estimate":[221],"coefficients.":[223],"On":[224],"basis":[226],"our":[228],"simulation":[229],"results,":[230],"propose":[232],"supplement":[234],"regression":[240],"constructs":[243],"from":[247],"regressions":[248],"smaller":[251],"subset":[252],"series.":[255],"Two":[256],"examples":[257],"considered":[259,274],"illustration:":[261],"annual":[263],"Chinese":[264],"real":[265],"income":[266],"by":[267,275],"sector,":[268],"Quenouille":[271],"hog":[272],"data":[273],"in":[279],"original":[281],"article.":[282]},"counts_by_year":[{"year":2025,"cited_by_count":1}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2025-10-10T00:00:00"}
