The Simultaneous Multivariate Hawkes-type Point Processes and Their Application to Financial Markets

Naoto Kunitomo, Daisuke Kurisu, Yusuke Amano and Naoki Awaya
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Naoto Kunitomo: School of Political Sicence and Economics, Meiji University,
Daisuke Kurisu: Graduate School of Economics, The University of Tokyo
Yusuke Amano: Graduate School of Economics, The University of Tokyo
Naoki Awaya: Graduate School of Economics, The University of Tokyo

No CIRJE-F-1045, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: In economic and financial time series we sometimes observe sudden and large jumps. Although these events are relatively rare, they would have significant influence not only on a financial market but also several different markets and macro economies. By using the simultaneous Hawkes-type multivariate point processes (SHPP) models, it is possible to analyze the causal effects of large events in the sense of the Granger-non-causality (GNC) and the instantaneous Granger-non-causality (IGNC). We investigate the financial market of Tokyo and other markets, and apply the Granger non-causality tests. We have found several important empirical findings among financial markets and macro economies.

Pages: 51 pages
Date: 2017-04
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2017cf1045

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