Cointegration and Granger Causality
Cointegration, Johansen test, error correction models, Granger causality, and their applications in pairs trading, causal feature selection, and financial ML. Essential for multi-series time series analysis.
Cointegration, Johansen test, error correction models, Granger causality, and their applications in pairs trading, causal feature selection, and financial ML. Essential for multi-series time series analysis.