Mixed-frequency time-frequency canonical correlation analysis (MF-TFCCA) is a method for identifying causal relationships between time series of different temporal resolutions.
This repository contains the MATLAB code for the paper: Inferring directed spectral information flow between mixed-frequency time series
The following MATLAB toolboxes are required to run the code:
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The Multivariate Granger Causality (MVGC) Toolbox for generating VAR systems and estimating Granger causality.
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MFVAR_toolbox (included in this repository) for estimating Granger causality in mixed-frequency VAR systems.
Please refer to demo_VAR.m for an example of how to use the code.