This paper presents a generalization of the concept of vector correlation proposed by Escoufier (1973) to the context of time series. For two jointly stationary multivariate stochastic processes { Xt} ...

Throughout the central nervous system of a mammalian brain, spike times are the only events, which carry information about incoming stimuli, represent thoughts or drive motor behaviour. If we knew ...

The autocorrelation, partial and inverse autocorrelation functions described in the preceding sections help when you want to model a series as a function of its past values and past random errors.

Two anomalies that generate continuing interest are the weekend effect and the underperformance of IPOs. Perfect and Peterson (1997) find that IPO returns are negative only on Monday and Tuesday, ...