The Resource Testing causality between two vectors in multivariate GARCH models, Tomasz Woźniak

Testing causality between two vectors in multivariate GARCH models, Tomasz Woźniak

Label
Testing causality between two vectors in multivariate GARCH models
Title
Testing causality between two vectors in multivariate GARCH models
Statement of responsibility
Tomasz Woźniak
Creator
Contributor
Subject
Language
eng
Summary
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)
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
2012/20
http://library.link/vocab/subjectName
  • Econometric models
  • Financial risk
  • GARCH model
Label
Testing causality between two vectors in multivariate GARCH models, Tomasz Woźniak
Link
http://hdl.handle.net/1814/23337
Instantiates
Publication
Note
Subject: Second-Order Causality; Volatility Spillovers; Posterior Odds; GARCH Models; 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
FIEb1713660x
Dimensions
30 cm.
Extent
27 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)817743749
Label
Testing causality between two vectors in multivariate GARCH models, Tomasz Woźniak
Link
http://hdl.handle.net/1814/23337
Publication
Note
Subject: Second-Order Causality; Volatility Spillovers; Posterior Odds; GARCH Models; 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
FIEb1713660x
Dimensions
30 cm.
Extent
27 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)817743749

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