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Testing Causality Between Two Vectors In Multivariate Garch Models
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Book Synopsis Testing Causality Between Two Vectors in Multivariate GARCH Models by : Tomasz Woźniak
Download or read book Testing Causality Between Two Vectors in Multivariate GARCH Models written by Tomasz Woźniak and published by . This book was released on 2012 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spillover and contagion effects have gained significant interest in the recent years of financial crisis. Attention has not only been directed to relations between returns of financial variables, but to spillovers in risk as well. I use the family of Constant Conditional Correlation GARCH models to model the risk associated with financial time series and to make inferences about Granger causal relations between second conditional moments. The restrictions for second-order Granger noncausality between two vectors of variables are derived. To assess the credibility of the noncausality hypotheses, I employ posterior odds ratios. This Bayesian method constitutes an alternative for classical tests that makes such testing possible, regardless of the form of the restrictions on the parameters of the model. Moreover, it relaxes the assumptions about the existence of higher-order moments of the processes required in classical tests. In the empirical example, I find that the pound-to-Euro exchange rate second-order causes the US dollar-to-Euro exchange rate, which confirms the meteor shower hypothesis of Engle, Ito & Lin (1990).
Book Synopsis Testing Causality Between Two Vectors in Multivariate ARMA Models by : H. (Hafida) Boudjellaba
Download or read book Testing Causality Between Two Vectors in Multivariate ARMA Models written by H. (Hafida) Boudjellaba and published by Montréal : Université de Montréal, Dép. de sciences économiques. This book was released on 1991 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing Causality in Variance Using Multivariate GARCH Models by : Christian M. Hafner
Download or read book Testing Causality in Variance Using Multivariate GARCH Models written by Christian M. Hafner and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing for Causality in Variance Using Multivariate GARCH Models by : Christian M. Hafner
Download or read book Testing for Causality in Variance Using Multivariate GARCH Models written by Christian M. Hafner and published by . This book was released on 2004 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing for Causality in Variance Using Multivariate GARCH Model by :
Download or read book Testing for Causality in Variance Using Multivariate GARCH Model written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis ADVANCED ECONOMETRICS Simultaneous Equation Models, Multivariate Time Series Models And Nonlinear Models Exercises with EVIEWS, SAS and STATA by :
Download or read book ADVANCED ECONOMETRICS Simultaneous Equation Models, Multivariate Time Series Models And Nonlinear Models Exercises with EVIEWS, SAS and STATA written by and published by CESAR PEREZ. This book was released on with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Multiple Time Series Modeling Using the SAS VARMAX Procedure by : Anders Milhoj
Download or read book Multiple Time Series Modeling Using the SAS VARMAX Procedure written by Anders Milhoj and published by SAS Institute. This book was released on 2016-01-11 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aimed at econometricians who have completed at least one course in time series modeling, this comprehensive book will teach you the time series analytical possibilities that SAS offers today. --
Book Synopsis Granger-Causal Analysis of Conditional Mean and Volatility Models by : Tomasz Woźniak
Download or read book Granger-Causal Analysis of Conditional Mean and Volatility Models written by Tomasz Woźniak and published by . This book was released on 2012 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent economic developments have shown the importance of spillover and contagion effects in financial markets as well as in macroeconomic reality. Such effects are not limited to relations between the levels of variables but also impact on the volatility and the distributions. Granger causality in conditional means and conditional variances of time series is investigated in the framework of several popular multivariate econometric models. Bayesian inference is proposed as a method of assessment of the hypotheses of Granger noncausality. First, the family of ECCC-GARCH models is used in order to perform inference about Granger-causal relations in second conditional moments. The restrictions for second-order Granger noncausality between two vectors of variables are derived. Further, in order to investigate Granger causality in conditional mean and conditional variances of time series VARMA-GARCH models are employed. Parametric restrictions for the hypothesis of noncausality in conditional variances between two groups of variables, when there are other variables in the system as well are derived. These novel conditions are convenient for the analysis of potentially large systems of economic variables. Bayesian testing procedures applied to these two problems, Bayes factors and a Lindley-type test, make the testing possible regardless of the form of the restrictions on the parameters of the model. This approach also enables the assumptions about the existence of higher-order moments of the processes required by classical tests to be relaxed. Finally, a method of testing restrictions for Granger noncausality in mean, variance and distribution in the framework of Markov-switching VAR models is proposed. Due to the nonlinearity of the restrictions derived by Warne (2000), classical tests have limited use. Bayesian inference consists of a novel Block Metropolis-Hastings sampling algorithm for the estimation of the restricted models, and of standard methods of computing posterior odds ratios. The analysis may be applied to financial and macroeconomic time series with changes of parameter values over time and heteroskedasticity.
Book Synopsis Computing Intelligence in Capital Market by : Asef Yelghi
Download or read book Computing Intelligence in Capital Market written by Asef Yelghi and published by Springer Nature. This book was released on with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Information Spillover Effect and Autoregressive Conditional Duration Models by : Xiangli Liu
Download or read book Information Spillover Effect and Autoregressive Conditional Duration Models written by Xiangli Liu and published by Routledge. This book was released on 2014-07-11 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book studies the information spillover among financial markets and explores the intraday effect and ACD models with high frequency data. This book also contributes theoretically by providing a new statistical methodology with comparative advantages for analyzing comovements between two time series. It explores this new method by testing the information spillover between the Chinese stock market and the international market, futures market and spot market. Using the high frequency data, this book investigates the intraday effect and examines which type of ACD model is particularly suited in capturing financial duration dynamics. The book will be of invaluable use to scholars and graduate students interested in comovements among different financial markets and financial market microstructure and to investors and regulation departments looking to improve their risk management.
Author :Torben Gustav Andersen Publisher :Springer Science & Business Media ISBN 13 :3540712976 Total Pages :1045 pages Book Rating :4.5/5 (47 download)
Book Synopsis Handbook of Financial Time Series by : Torben Gustav Andersen
Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Book Synopsis Applied Informatics and Communication, Part IV by : Jun Zhang
Download or read book Applied Informatics and Communication, Part IV written by Jun Zhang and published by Springer Science & Business Media. This book was released on 2011-08-02 with total page 739 pages. Available in PDF, EPUB and Kindle. Book excerpt: The five volume set CCIS 224-228 constitutes the refereed proceedings of the International conference on Applied Informatics and Communication, ICAIC 2011, held in Xi'an, China in August 2011. The 446 revised papers presented were carefully reviewed and selected from numerous submissions. The papers cover a broad range of topics in computer science and interdisciplinary applications including control, hardware and software systems, neural computing, wireless networks, information systems, and image processing.
Book Synopsis Modeling Dependence in Econometrics by : Van-Nam Huynh
Download or read book Modeling Dependence in Econometrics written by Van-Nam Huynh and published by Springer Science & Business Media. This book was released on 2013-11-18 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.
Book Synopsis The Effect of the GARCH (1,1) on the Granger Causality Test in Stable VAR Models by : Panagiotis Mantalos
Download or read book The Effect of the GARCH (1,1) on the Granger Causality Test in Stable VAR Models written by Panagiotis Mantalos and published by . This book was released on 2005 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Companion to Theoretical Econometrics by : Badi H. Baltagi
Download or read book A Companion to Theoretical Econometrics written by Badi H. Baltagi and published by John Wiley & Sons. This book was released on 2008-04-15 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Companion to Theoretical Econometrics provides a comprehensive reference to the basics of econometrics. This companion focuses on the foundations of the field and at the same time integrates popular topics often encountered by practitioners. The chapters are written by international experts and provide up-to-date research in areas not usually covered by standard econometric texts. Focuses on the foundations of econometrics. Integrates real-world topics encountered by professionals and practitioners. Draws on up-to-date research in areas not covered by standard econometrics texts. Organized to provide clear, accessible information and point to further readings.
Book Synopsis Fourth Moment Structure of Multivariate GARCH Models by : Christian Hafner
Download or read book Fourth Moment Structure of Multivariate GARCH Models written by Christian Hafner and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article derives conditions for the existence of fourth moments of multivariate GARCH processes in the general vector specification and gives explicit results for the fourth moments and autocovariances of the squares and cross products. Results are provided for the kurtosis and cokurtosis between components. Applications of the results include the definition of impulse response functions for kurtosis and cokurtosis, the derivation of the spectral density matrix of the squares and cross products, and a measure for causality in volatility. A bivariate exchange rate example illustrates the applications.
Book Synopsis Modelling and Forecasting in Dry Bulk Shipping by : Shun Chen
Download or read book Modelling and Forecasting in Dry Bulk Shipping written by Shun Chen and published by CRC Press. This book was released on 2014-04-24 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book models price behaviour and forecasts prices in the dry bulk shipping market, a major component of the world shipping industry. Recent uncertainties in the world economy, shipbuilding developments and fleet changes mean the dry bulk shipping market has become extremely volatile, highly speculative and more sensitive to external shocks. In response to these challenging circumstances, this book models price behaviour and forecasts prices in various markets including the freight market, the new build ship market and the second-hand ship market. The authors have carried out an extensive investigation of dry bulk shipping over a 60-year period in diverse sub-markets, trading routes, market conditions and dry bulk vessels. The authors also propose a framework for analysing and modelling the economic processes of numerous variables in the dry bulk shipping market, making use of modern econometric techniques and other economic approaches. This will be especially useful for the control and assessment of risk for ship owners and charterers in ship operation, ship chartering and ship trading activities. This book will be extremely useful for shipbuilders, owners and charterers, as well as shipping analysts and policymakers. It will also be of great interest to academics and researchers concerned with the economics of the shipping industry.
