The Resource Granger-causal analysis of VARMA-GARCH models, Tomasz Woźniak

Granger-causal analysis of VARMA-GARCH models, Tomasz Woźniak

Label
Granger-causal analysis of VARMA-GARCH models
Title
Granger-causal analysis of VARMA-GARCH models
Statement of responsibility
Tomasz Woźniak
Creator
Contributor
Subject
Language
eng
Summary
Recent economic developments have shown the importance of spillover and contagion effects in financial markets. Such effects are not limited to relations between the levels of financial variables but also impact on their volatility. I investigate Granger causality in conditional mean and conditional variances of time series. For this purpose a VARMA-GARCH model is used. I derive 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. These novel conditions are convenient for the analysis of potentially large systems of economic variables. Such systems should be considered in order to avoid the problem of omitted variable bias. Further, I propose a Bayesian Lindley-type testing procedure in order to evaluate hypotheses of noncausality. It avoids the singularity problem that may appear in the Wald test. Also, it relaxes the assumption of the existence of higher-order moments of the residuals required for the derivation of asymptotic results of the classical tests. In the empirical example, I find that the dollar-to-Euro exchange rate does not second-order cause the pound-to-Euro exchange rate, in the system of variables containing also the Swiss frank-to-Euro exchange rate, which confirms the meteor shower hypothesis of Engle, Ito & Lin (1990)
Member of
Cataloging source
IT-FiEUI
http://library.link/vocab/creatorName
Woźniak, Tomasz
Index
no index present
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
European University Institute
Series statement
  • EUI working papers. ECO
  • EUI papers
Series volume
2012/19
http://library.link/vocab/subjectName
  • Econometric models
  • Bayesian statistical decision theory
  • GARCH model
Label
Granger-causal analysis of VARMA-GARCH models, Tomasz Woźniak
Link
http://hdl.handle.net/1814/23336
Instantiates
Publication
Note
Subject: Granger causality; second-order noncausality; VARMA-GARCH models; Bayesian testing; C11; C12; C32; C53
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17136660
Dimensions
30 cm.
Extent
42 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)817743768
Label
Granger-causal analysis of VARMA-GARCH models, Tomasz Woźniak
Link
http://hdl.handle.net/1814/23336
Publication
Note
Subject: Granger causality; second-order noncausality; VARMA-GARCH models; Bayesian testing; C11; C12; C32; C53
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17136660
Dimensions
30 cm.
Extent
42 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)817743768

Library Locations

    • Badia FiesolanaBorrow it
      Via dei Roccettini 9, San Domenico di Fiesole, 50014, IT
      43.803074 11.283055
Processing Feedback ...