Lead-lag time-dependent correlations (TOP method)

Hao Meng, Hai-Chuan Xu, Wei-Xing Zhou and Didier Sornette
Symmetric thermal optimal path and time-dependent lead-lag relationship:
novel statistical tests and application to UK and US real-estate and
monetary policies, Quantitative Finance 17 (6), 959-977 (2017)
(external pagehttp://arxiv.org/abs/1408.5618 and external pagehttp://ssrn.com/abstract=2529961)

Hai-Chuan Xu, Wei-Xing Zhou and Didier Sornette,
Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates,
Journal of International Financial Markets, Institutions & Money 49, 173-183 (2017)

Nicola Pestalozzi, Nighttime lights as proxy for the spatial growth of dense urbanized areas, Master thesis (November 2012)

Kun Guo, Wei-Xing Zhou, Si-Wei Cheng and Didier Sornette, the US stock market leads the Federal funds rate and Treasury bond yields, PLoS ONE 6 (8), e22794 (2011) external page(http://dx.doi.org/10.1371/journal.pone.0022794) external page(http://arxiv.org/abs/1102.2138) and external page(http://ssrn.com/abstract=1762788)

Wei-Xing Zhou and Didier Sornette, Lead-lag cross-sectional structure and detection of correlated-anticorrelated regime shifts: application to the volatilities of inflation and economic growth rates, Physica A 380, 287-296 (2007) external page(http://arxiv.org/abs/physics/0607197)

Wei-Xing Zhou and Didier Sornette, Non-parametric Determination of Real-Time Lag Structure between Two Time Series: the "Optimal Thermal Causal Path" Method with Applications to Econimic Data, Journal of Macroeconomics, 28, 195-224 (2006)

D. Sornette and W.-X. Zhou, Non-parametric Determination of Real-Time Lag Structure between Two Time Series: the "Optimal Thermal Causal Path" Method, Quantitative Finance 5 (6), 577-591 (2005)
external page(http://arXiv.org/abs/cond-mat/0408166)