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Adjacency matrices sample of test statistics

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posted on 2024-02-01, 13:38 authored by Monica Billio

The matlab file contains 105 matrices of size 70 by 70. The entries of each matrix is a pairwise Granger Causality test statistic calculated from a selection of 70 European financial firm's weekly time series, resulting in 105 weeks of pairwise statistics stored in a matrix format (the raw time series datasets used to calculate the test statistics was generously supplied by Professor Monica Billio from the Economics department of Ca' Foscari University of Venice and can be provided upon request by her).

The dataset comes in a Matlab tensor format, and can be imported into MatLab, R, Julia, and Python.

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CoE MaSS

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Department/Unit

Statistics

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