Search results for " Granger causality"
showing 2 items of 12 documents
Quantifying High-Order Interactions in Cardiovascular and Cerebrovascular Networks
2022
We present a method to analyze the dynamics of physiological networks beyond the framework of pairwise interactions. Our method defines the so-called O-information rate (OIR) as a measure of the higher-order interaction among several physiological variables. The OIR measure is computed from the vector autoregressive representation of multiple time series, and is applied to the network formed by heart period, systolic and diastolic arterial pressure, respiration and cerebral blood flow variability series measured in healthy subjects at rest and after head-up tilt. Our results document that cardiovascular, cerebrovascular and respiratory interactions are highly redundant, and that redundancy …
Causalities between CO2, electricity, and other energy variables during phase I and phase II of the EU ETS
2010
The topic of this article is the analysis of the interplay between daily carbon, electricity and gas price data with the European Union Emission Trading System (EU ETS) for CO2 emissions. In a first step we have performed Granger causality tests for Phase I of the EU ETS (January 2005 until December 2007) and the first year of Phase II of the EU ETS (2008). The analysis includes both spot and forward markets—given the close interactions between the two sets of markets. The results show that during Phase I coal and gas prices, through the clean dark and spark spread, impacted CO2 futures prices, which in return Granger caused electricity prices. During the first year of the Phase II, the sho…