Causality in Stereo: How Multi-Band Granger Unveils Frequency-Specific Influence
TL;DR for operators Signals do not always influence each other on one clock. A machine vibration may create a fast alarm signature and a slower thermal drift. A brain region may interact through one rhythm quickly and another rhythm slowly. A market signal may move through intraday noise, weekly positioning, and slower macro repricing. Treating all of that as one blended time series is convenient. It is also a rather efficient way to throw away the thing you wanted to understand. ...