文献类型：期刊文献

英文题名：Lead-lag cross-sectional structure and detection of correlated-anticorrelated regime shifts: Application to the volatilities of inflation and economic growth rates

作者：Zhou, Wei-Xing[1]; Sornette, Didier[2]

机构：[1]Swiss Fed Inst Technol, Dept Management Technol & Econ, CH-8032 Zurich, Switzerland;[2]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Res Ctr Syst Engn, Shanghai 200237, Peoples R China

年份：2007

卷号：380

期号：1-2

起止页码：287

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20071910592273);WOS:【SSCI(收录号:WOS:000247243600024)，SCI-EXPANDED(收录号:WOS:000247243600024)】；

语种：英文

外文关键词：thermal optimal path; time series; inflation; GDP growth; convention

摘要：We have recently introduced the "thermal optimal path" (TOP) method to investigate the real-time lead-lag structure between two time series. The TOP method consists in searching for a robust noise-averaged optimal path of the distance matrix along which the two time series have the greatest similarity. Here, we generalize the TOP method by introducing a more general definition of distance which takes into account possible regime shifts between positive and negative correlations. This generalization to track possible changes of correlation signs is able to identify possible transitions from one convention (or consensus) to another. Numerical simulations on synthetic time series verify that the new TOP method performs as expected even in the presence of substantial noise. We then apply it to investigate changes of convention in the dependence structure between the historical volatilities of the USA inflation rate and economic growth rate. Several measures show that the new TOP method significantly outperforms standard cross-correlation methods. (c) 2007 Elsevier B.V. All rights reserved.